I sometimes have the same intuition as banx. You're right that the problem is not in the choice, but in the utility function and it most likely stems from thinking about utility as money.

Lets examine the previous example and make it into money (dollars):
-100 [dollars] with 99.9% chance and +10,000 [dollars] with 0.1% vs 100% chance at +1 [dollar]

When doing the math, you have to take into future consequences as well. For example, if you knew you would be offered 100 loaded bets with an expected payoff of $0.50 in the future, each of which only cost you ... (read more)

I sometimes have the same intuition as banx. You're right that the problem is not in the choice, but in the utility function and it most likely stems from thinking about utility as money.

Lets examine the previous example and make it into money (dollars): -100 [dollars] with 99.9% chance and +10,000 [dollars] with 0.1% vs 100% chance at +1 [dollar]

When doing the math, you have to take into future consequences as well. For example, if you knew you would be offered 100 loaded bets with an expected payoff of $0.50 in the future, each of which only cost you ... (read more)