Your model is safe from being money pumped by another agent. The disadvantage is that you’ll pass up some certain gains, which is equivalent (modulo loss aversion) to taking on some certain losses. But if you really do think that there is a nonnegligible probability that any given exchange will go bad, then you don’t have to violate any of the preference axioms, all your caution is in the probability estimate.
Your model is safe from being money pumped by another agent. The disadvantage is that you’ll pass up some certain gains, which is equivalent (modulo loss aversion) to taking on some certain losses. But if you really do think that there is a nonnegligible probability that any given exchange will go bad, then you don’t have to violate any of the preference axioms, all your caution is in the probability estimate.