Suppose someone offers you a (single trial) gamble C in which you stand to gain a nickel with probability 0.95 and stand to lose an arm and a leg with probability 0.05. Even though expectation is (-0.05arm −0.05leg + 0.95nickel), you should still take the gamble since the probability of winning on a single trial is very high − 0.95 to be exact.
Non-sarcastic version: Losing $100M is much worse than gaining $100K is good, regardless of utility of money being nonlinear. This is something you must consider, rather than looking at just the probabilities—so you shouldn’t take gamble A. This is easier to see if you formulate the problems with gains and losses you can actually visualize.
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