The point of the Allais paradox is less about how humans violate the axiom of independence and more about how our utility functions are nonlinear, especially with respect to infinitesimal risk.
There is an existing Dutch Book for eliminating infinitesimal risk, and it's called insurance.
Yyyyes and no. Our utility functions are nonlinear, especially with respect to infinitesimal risk, but this is not inherently bad. There's no reason for our utility to be everywhere linear with wealth: in fact, it would be very strange for someone to equally value "Having $1 million" and "Having $2 million with 50% probability, and having no money at all (and starving on the street) otherwise".
Insurance does take advantage of this, and it's weird in that both the insurance salesman and the buyers of insurance end up better off in expec...
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