We analyze the choice of a risk-averse decision maker who faces two lotteries that exhibit a trade-off between a reduction in the probability of a loss occurring and its magnitude. We make a theoretical analysis with skewed binary lotteries: lottery (L) over tilde (A) is associated with a lower magnitude and a higher probability of a loss occurring than lottery (L) over tilde (B). We show that any risk-averse decision maker will prefer (L) over tilde (A) to (L) over tilde (B) when the expected gain of (L) over tilde (A) is higher than or equal to the expected gain of (L) over tilde (B). However, in the opposite case, additional assumptions on individuals' prudence are required. We experimentally test our theoretical predictions, and provide applications and policy recommendations.