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alex_zag_al comments on Why you must maximize expected utility - Less Wrong
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Maximizing expected utility can be paradoxically shown to minimize actual utility, however. Consider a game in which you place an initial bet of $1 on a 6-sided die coming up anything but 1 (2-6), which pays even money if you win and costs you your bet if you lose. The twist, however, is that upon winning (i.e. you now have $2 in front of you) you must either bet the entire sum formed by your bet and its wins or leave the game permanently. Theoretically, since the odds are in your favor, you should always keep going. Always. But wait, this means you will eventually lose it all. Even if you say "just one more and I'll stop", it'll be mathematically optimal to keep repeating this behavior. This "optimal" strategy does worse than any arbitrary random strategy possible.
Is it just me or is this essentially the same as the Lifespan Dilemma?
At the very least, in both cases, you find that you get high expected utilities by choosing very low probabilities of getting anything at all.
If your preferences can always be modelled with a utility function, does that mean that no matter how you make decisions, there's some adaptation of this paradox that will lead you to accept a near certainty of death?
It is essentially that, and it does show that trying to maximize expected utility can lead to such negative outcomes. Unfortunately, there doesn't seem to be a simple alternative to maximizing expected utility that doesn't lead to being a money pump. The kelly criterion is an excellent example of a decision-making strategy that doesn't maximize expected utility but still wins compared to it, so at least it's known that it can be done.