It's a basic result about utility functions really, except it now works the other way around. When any small amount of money just leaves you in more or less the

It's a basic result about utility functions really, except it now works the other way around. When any small amount of money just leaves you in more or less the same situation then your utility function stays constant and then increases, meaning it is (locally) convex (as opposed to the usual situation where it is concave). Hence why in that case the expected utility of a lottery can be greater than the utility of its expected value (which is negative).