But that's factored in EUT anyway: you simplify the compound lottery and it turns out you have a huge probability of hitting zero. You might ask whether people

But that's factored in EUT anyway: you simplify the compound lottery and it turns out you have a huge probability of hitting zero. You might ask whether people will take the bet, and that's where the utility comes in. Enough risk averseness, and noone will take a return of a million dollars with a 1% chance of happening at a price of 100%