Or at least that's the joke. Interesting post from Tom Rees which illustrates the utility of cross-cultural tests of general theories-of-religion. Rees notes:
One of the leading theories of why religion is so popular goes by the ominous name of 'Terror Management Theory'. Put simply, this is the idea that people turn to religion to ease their fear of death.
...
While Christians did indeed have a lower death anxiety than the non-religious, Muslims did not. In fact, their death anxiety was markedly higher than both the other groups.
When the participants were asked to explain why they felt the way they did about death, the reasons for the anxiety of Muslims became clear:
[For Christians] themes of heaven and eternal life are prevalent, whereas for Muslims the afterlife may be something to fear ("I don't know if I have been a good Muslim and so go to heaven or hell").
In other words, the Christians in this group had low death anxiety because they mostly don't believe in hell!
This focus on heaven, and disbelief in Hell, is very popular among Western Christians today. But it's a fairly recent development. For most of the history of Christianity, the fear of punishment in Hell was an ever-present and vivid theme.
According to the General Social Survey in the United States 80% of Southern Baptists "definitely believe in hell," as opposed to 35% of Episcopalians and 50% of Methodists, so our religious population has a diverse enough array of beliefs among Christians to serve as an interesting test of the generalizability of these theories even within religious groups. Anyone familiar with sermons such as Jonathan Edwards' Sinners in the Hands of the Angry God, or the literature which examines the world of the early American Puritans, is aware of the fact that terror of damnation was a very common theme among Christians of earlier eras. Additionally, a broader historical and cultural survey reminds us that many ancient religions conceived of afterlives which were generally less than pleasant, from the domain of Hades to sheol.
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Do Christians who believe in hell have greater death anxiety that those who don't? I suspect it's not just the belief in hell, but also the attached soteriology, that affects death anxiety. Many fundamentalists both believe in hell, and are certain of their own personal salvation, which their religion teaches is guaranteed to them by virtue of their conversion experience. For many sects, this is regardless of what kind of life they then lead. "Once saved, always saved."
Of course Christians aren't afraid of Hell, because they're not going there when they die. They're saved and the saved don't go to Hell. Not being afraid of a bad thing does not mean you don't believe in that bad thing.
Alan, you are missing something, did you not notice the point that this is a recent thing. For most of Christianity's history the idea of automatic salvation by accepting Christ was not part of Christian belief and theology. It is a recent belief, post Protestant revolution, and in the way you articulate it quite modern.
Look at the Puritans and Calvinists. They were wrought by fear of hell, palpable fear, because Calvinist belief was that one could not truly know if one was saved in this life.
Before we make blanket comments on a religion, we should learn more about it and its history. What most American protestants think of as normative Christianity is exceedingly modern in history.
You do not have to believe that, do your own homework.
Today, if you live in the United States and you don't believe in God, you run the risk of not going to heaven. A hundred years ago, or in medieval Europe, if you didn't believe in God, you risked being comdemned to Hell for eternity.
One hypothesis here would be that the religious societies where the idea of hell is more prominent all else equal tend to be more religious than religious societies where the concept of hell is less prominent. I find this hypothesis plausible, but some data on this would be nice.