According to a Belgian proverb, what is the comb that nature gives us when we are bald?

The comb is experience.

http://cogweb.ucla.edu/Discourse/Proverbs/Miscellaneous.html

Experience


http://realtytimes.com/rtpages/19980317_success.htm

Experience

There is another website (in French alas) that attributes the "proverb" to the French actor Bernard Blier, who in spite of his baldness became a quite popular star in France. The French version of the "proverb" (it seems to be a quotation actually)is as follows:
"L'expérience est un peigne que vous donne la vie quand vous êtes devenu chauve."
http://filmsdefrance.com/FDF_bernardblier.html
Bernard Blier / actor / acteur / films / biography