> Only if you ignore non-monetary costs and benefits. Risk reduction/mitigation is a benefit and has a value. If it had no value, people would not bother buying insurance.

As mentioned below, expected value here refers to the flow of funds. Yes, it is different from the utility of the (guaranteed) value, which is also different from (and greater than) the expected utility of the risky action.

The monetary difference between what I'm referring to and what you're referring to, incidentally, is what economists call the premium. (The naming of "insurance premiums" is not a coincidence.)

Arrow wrote the seminal paper on understanding insurance, for anyone who's interested in how this is calculated.