--- - |2 Risk‐taking behavior is rarely a single action made in isolation but is often repeated and dynamic. Yet the role that risk perceptions play in risk taking have often been studied using descriptions of isolated single‐shot activities. To better understand the link between risk perceptions and risk‐taking behavior, we investigated risk perception in a dynamic choice environment, the Balloon Analogue Risk Task (BART). In the BART, participants repeatedly inflate a virtual balloon earning points if the balloon does not explode. Across two studies, we measured risk perceptions by asking people to estimate the probability that the balloon would explode at different levels of inflation. Our results show that the probability ratings deviate both from the actual probabilities of an explosion and from those predicted by the most successful cognitive model of the BART. Yet the probability estimates correlated with the actual choice behavior. Moreover, we found that the very first experience in the BART was a critical factor in determining the perceptions of the risks in the task, and in turn subsequent risk‐taking behavior. Taken together, the results help reveal the critical role that risk perceptions play in risky behavior and potentially can be used to improve our ability to identify real‐world risk takers. - Journal of Behavioral Decision Making, EarlyView.