If you look for images of “paranormal” online you will find a lot of women (very biased!) in situations likely causing horrible and gruesome deaths. That isn’t what paranormal is to me. Its not even what the horror genre is to me. Horror should be far more interesting and the paranormal is far more unusual and unexplained than bloody.
The first, or earliest, paranormal thing I remember reading did horrify me. It was about a little girl in the schoolyard who suddenly became suspended in mid-air. Then she was smashed down to the ground. It would be typical of most paranormal/horror movies. But, there was speculation about what could have caused this to happen and if it were real. So, yes, there was the fear of something like this happening but also the curiousity of why and how it happened.
Since then I’ve read about so many other paranormal, unexplained and mysterious things. I think unexplained is a better name because paranormal has been taken over by horror fans.