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Kahneman and Tversky say what we do is
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that in our minds we weight the probabilities in a distorted way
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and this is the weighting function.
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So, we have the weight
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--that's weight not wealth here--against the probability
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and I'm going to exaggerate a little bit.
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This is zero and this is one
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because probabilities range from zero to one.
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The weighting function looks like this
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--I'm exaggerating a little bit so you can see but
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--and then it jumps up or it jumps down here;
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this is the idea.