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DanielVarga comments on Naturalism versus unbounded (or unmaximisable) utility options - Less Wrong Discussion
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If it really has only finitely many utility levels, then for a sufficiently small epsilon and some even smaller delta, it will not care whether it ends up in Hell with probability epsilon or probability delta.
That's if they only recognise finitely many expected utility levels. However, such an agent is not VNM-rational.