My claim is that IF we don’t care about probabilities that are smaller than p (and I would claim that we shouldn’t care about probabilities less than, say, 1 in 3^^^3), then the utility function is bounded. This is because if we don’t care about probabilities smaller than p, then for any two objects x and y that are sufficiently different that we DO care about one over the other, we must have
(1-p)x+pa > (1-p)y+pb,
no matter how bad a is and how good b is. I am being somewhat sloppy in my language here. Probably differences in outcome can very continuously, so I can always find x and y that are so similar to each other that I do start carrying about other equally irrelevant differences in the distribution of outcomes. For instance, I would always choose spending 5 minutes of time and having a 10^-100 chance of being tortured for 10^1000 years over spending 10 minutes of time. But 5 minutes + chance of torture probably isn’t superior to 5+10^-1000 minutes. What I really mean is that, if x and y are sufficiently different that probabilities smaller than p just don’t come into the picture, then I can bound the range of my utility function in terms of |u(x)-u(y)| and p.
So just to be clear, my claim is that [not caring about small probabilities] implies [utility function is bounded]. This I can prove mathematically.
The other part of my claim [which I can’t prove mathematically] is that it doesn’t make sense to care about small probabilities. Of course, you can care about small probabilities while still having consistent preferences (heck, just pick some quantity that doesn’t have an obvious upper bound and maximize its expected value). But I would have a hard time believing that that is the utility function corresponding to your true set of preferences.
My claim is that IF we don’t care about probabilities that are smaller than p (and I would claim that we shouldn’t care about probabilities less than, say, 1 in 3^^^3), then the utility function is bounded. This is because if we don’t care about probabilities smaller than p, then for any two objects x and y that are sufficiently different that we DO care about one over the other, we must have
(1-p)x+pa > (1-p)y+pb,
no matter how bad a is and how good b is. I am being somewhat sloppy in my language here. Probably differences in outcome can very continuously, so I can always find x and y that are so similar to each other that I do start carrying about other equally irrelevant differences in the distribution of outcomes. For instance, I would always choose spending 5 minutes of time and having a 10^-100 chance of being tortured for 10^1000 years over spending 10 minutes of time. But 5 minutes + chance of torture probably isn’t superior to 5+10^-1000 minutes. What I really mean is that, if x and y are sufficiently different that probabilities smaller than p just don’t come into the picture, then I can bound the range of my utility function in terms of |u(x)-u(y)| and p.
So just to be clear, my claim is that [not caring about small probabilities] implies [utility function is bounded]. This I can prove mathematically.
The other part of my claim [which I can’t prove mathematically] is that it doesn’t make sense to care about small probabilities. Of course, you can care about small probabilities while still having consistent preferences (heck, just pick some quantity that doesn’t have an obvious upper bound and maximize its expected value). But I would have a hard time believing that that is the utility function corresponding to your true set of preferences.