I think it still depends which school do you belong, Bayesian or frequentists. A real frequntist may not assign a probability to a single instance of society! he is either an engineer or not!
I think, when the money you may gain or lose goes way over your possible wealth you will start to think really non-linear (non-rational).
but I agree that people with same wealth level will weight risk factor differently ( in each gain or loss). in other words simple utility function is not enough!