The Allais paradox, first presented over lunch by Maurice Allais to Jimmie Savage during a symposium in Paris in 1952, is among the best known decision problems in contemporary behavioral and social science. The present article documents the history of the Allais paradox, and shows that underneath the many discussions of the various protagonists, lay different, irreconcilable epistemological positions. This paper will explore these different positions and show their consequences for Kahneman and Tversky’s seminal 1979 Econometrica article and the subsequent development of behavioral economics.