//
References- D. Huff, I. Geis (1993). How to Lie with Statistics, Reissue edition. W.W. Norton & Company.
This image summarises the discussion about the sample space, the event space (which is assumed to be a sigma-algebra on the sample space), and the probability measure. I also provide the example we have seen in the podcast (mainly Episode 14).

You can find the
pdf here.
//
References- Bruno de Finetti (2017). Theory of Probability: A Critical Introductory Treatment. Wiley.
- Gerd Gigerenzer (2015). Risk Savvy: How to Make Good Decisions. Penguin Books.
- Richard Jeffrey (2004). Subjective Probability: the Real Thing. Cambridge University Press.
- Frank Ramsey (1926). Truth and Probability. Available here.
- Leonard Savage (1954). The Foundations of Statistics. Dover.
- Nassim N. Taleb (2017). Skin in the game. Penguin Books.
Regarding Bruno de Finetti, I also suggest checking this great website:
www.brunodefinetti.it