01
The idea
The Stoics classed fear among the passions: an assent to the proposition that something bad is approaching. Which means fear, like the rest, is built on a claim — and claims have parts that can be separated.
Almost every fear contains two. First: this thing is coming. Second: I will not be able to handle it. People argue with the first, which is usually the more defensible of the two, and leave the second entirely untouched.
The second is where the exercise goes. Rehearsal does not primarily attack the probability of the event; it attacks the claim that you would be unable to meet it, by making you walk through meeting it while you are calm enough to plan.
02
Why this matters
Reassurance about probability does not work, and everyone has noticed. Telling a frightened person the thing probably will not happen leaves the "and I could not survive it" claim fully intact, which is the one keeping them awake.
The two-part structure also explains why competent people can be frightened of small things. The event is trivial and the second claim — I will be exposed, I will not cope, everyone will see — is doing all the work.
And it makes fear actionable. You cannot decide what will happen. You can substantially change whether you would be able to meet it, and you can do that today.