I lost it once in an old/new world game. Almost on purpose but clearly I didn't care that much. I almost doubled the # of AIs so that the old world was crammed full... only a few of them had room for even a 2nd city, let alone more. My capitol spot wasn't even that great, only a couple of resources and half tundra. So I turtled and beelined astronomy, pre-building several settlers, and then left en masse for the new world.
Keeping enough military to hold the old capitol would have severely restricted my colonization efforts. So once I committed to the strat it was go for broke. As it was, I had saved a ton of gold to rush buy workshops and granaries. I won with a space victory.
It was a fun game, I'd encourage others to try it. Be sure and use a mapscript that puts lux resources in the new world (some of them don't, clearly a bug in my view).