From watching and listening to personal stories from comedians all around the world, I can say that most of the best comedians come out of tragedy. It is usually the same sad story of struggles while growing up that they all have. They then choose to look at the bright sides of their tragedy.
Erma Bombeck once wrote, "There is a thin line that separates laughter and pain, comedy and tragedy, humor and hurt." Many comedians through the years have turned personal tragedies into comedic stories. The most recent example of this would be Tig Notaro, who found out she had cancer in both breasts and a few days later used that material in a stand-up comedy act. She became famous, almost overnight.
The best comedians come out of tragedy because comedy becomes their coping mechanism for a lot of things. Humor covers up the pain but they can also find a way to make humor using their pain and tragedy directly. The ones who have lived through tragedies almost always also have the best stories that they use for their jokes.
Comedians don't have to be sad people, despite the myth and the tendancy for this, but tragedy is always an important element. Tragedy teaches people to have a sense of humor. It also makes for the best stories and the most unique point of view. Not all comedy is tragic, but that is one kind.