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The paper contains a new classification of risk situations, which enables the unified treatment of all kinds of problems concerning risk and uncertainty. One of the implications which one can draw from this classification is that there is no sense to formu-late general risk theories. In majority of situation the so called risk management is based on common sense supported by past experiences and some analytical tools. However, there are situations of a particular practical significance which for nearly one hundreds of years have been intensively investigated. As a result of these endeavors a number of models have been developed, particularly models known as expected utility models, and non-expected utility models. One of the main goals of this paper is to highlight the mean-ing of the basic notations used in these models: utility and subjective expected utility.
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