The delusion of certainty in Savage's sure-thing principle

Abstract

In risky choice situations Savage's sure-thing principle is regularly advocated as a rational way to clarify one's preferences. It is also used to justify controversial features of the expected utility procedure. This paper sets out explicitly the four steps of Savage's sure-thing principle and argues that the principle is irrational and internally inconsistent. Its repeated use can lead to a truncated probability distribution and a delusion of certainty.