“Being an entrepreneur is irrational,” Jason Cohen, WP Engine CTO and founder, said Friday evening while kicking off a SXSW Interactive panel examining what prompts serial entrepreneurs to continue launching startups after finding success with one.

Launching a startup is risky. It’s time-consuming. The chances for success are slim. And the levels of stress are monstrous.

“The expected value is pretty foul for being an entrepreneur,” Cohen added.

Yet, the panel, “Unicorn #2: How Entrepreneur Choose the Next Idea,” assembled a handful of serial entrepreneurs who have launched multiple companies successfully, all of whom grinned when asked why they do it.

Why do they subject themselves to this torment over and over and how do they push forward with a big idea despite the looming risk? And what advice do they have for entrepreneurs chasing their first, or maybe second, unicorn?

Bob Fabbio, founder of Tivoli Software, which successfully went public and was acquired by IBM, and now of eRelevance Corp., said he examines the “whats” of an idea — What pain does it solve? What is the customer base? What will people spend money on? What is the distribution method? And so on. — and if he can confidently answer those, then the idea is worth pursuing. It’s about clearly defining business goals.

Dean Drako, who launched Barracuda Networks and now Eagle Eye Networks, said he bases his business ideas on problems he has experienced personally and can identify with. And when launching a second, third, or fourth startup, it’s imperative to eye a market you already know and understand.

“It’s very hard to go into an industry you don’t know anything about,” he said, later adding, “You have to have passion for the idea that you’re going to go do something and it’s going to matter.”

As for how he chooses the next business idea to chase, Drako said: “It’s much easier to sell painkillers than it is to sell vitamins.” You have to build a product that not only solves a problem, but a problem that people will pay cash to solve, he said.

Vinay Bhagat, current founder and CEO of TrustRadius, who launched and later sold Convio, a SaaS platform for non-profits, said when exiting one company and seeking a new idea, he keeps his eyes open and stays aware of what’s in the market. Bhagat said that before launching TrustRadius he evaluated nearly a dozen new ideas, and bootstrapped TrustRadius because it filled a major gap in the market: user-generated reviews of pricy business software.

While it’s hard, and not always glamorous, the drive to launch a new business after successfully doing so is a way entrepreneurs pursue the goal of trying to “build a life that is fulfilling in a certain way,” Cohen said.

Overall, the members of the panel said chasing that second or third unicorn, despite the challenges and risk, is a thrill and they love building new businesses, cultures, and markets, and taking a chance on a big idea.

“It’s a blast,” Drako said.

Fabbio concluded, “It’s fun. It’s a challenge.”