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If you think about it, isn't buying insurance pretty similar (especially if you pay extra for really rare insurance policies, like lightning strike insurance).

You're essentially making a bet with your insurance company that xxxx will happen. Just like with the lottery, the expected monetary value of insurance is always negative (it has to be, otherwise the insurance company won't make money), but the utility value of that insurance is different for each person.

E.g. for me, insurance on a phone doesn't make sense, since I easily buy a another cheap phone if mine breaks. But for somebody with less money, those few hundred dollars might have a much higher utility.