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 expected utility, but it's not a Dutch Book in the usual sense: it doesn't guarantee either side a profit.
The Allais paradox points out that people are not only averse to risk, but also inconsistent about how they are averse about it. The utility function U(X cents) = X is not risk-averse, and it picks gambles 1A and 2A (in Wikipedia's notation). The utility function U(X cents) = log X is extremely risk-averse, and it picks gambles 1B and 2B. Picking gambles 1A and 2B, on the other hand, cannot be described by any utility function.
There's a Dutch book for the Allais paradox in this post reading after "money pump".
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Why is CFAR's main venue for teaching those skills a 4-day workshop?
Why not weekly classes of 2 to 3 hours?
Why not a focus on written material as the original sequences had?
Why not a focus on creating videos that teach rationality skills?
Why not focus on creating software that trains the skills?
This is my main question. I've never seen anything to imply that multi-day workshops are effective methods of learning. Going further, I'm not sure how Less Wrong supports Spaced Repetition and Distributed Practice on one hand, while also supporting an organization that's primary outreach seems to be crash courses. It's like Less Wrong is showing a forum wide cognitive dissonance that nobody notices.
That leaves a few options: