To measure a person's risk‐taking tendency, research has relied interchangeably on self‐report scales (e.g., “Indicate your likelihood of engaging in the risky behavior”) and more direct measures, such as behavioral tasks (e.g., “Do you accept or reject the risky option?”). It is currently unclear, however, how the two approaches map upon each other. We examined the relationship between self‐report likelihood ratings for risky choice in a monetary gamble task and actual choice, and tested how the relationship is affected by task ambiguity (i.e., when part of the information about risks and benefits is missing) and age. Five hundred participants (aged 19–85 years) were presented with 27 gambles, either in an unambiguous or an ambiguous condition. In a likelihood rating task, participants rated for each gamble the likelihood that they would accept it. In a separate choice task, they were asked to either accept or reject each gamble. Analyses using a signal‐detection approach showed that people's likelihood ratings discriminated between accept and reject cases in their choices rather well. However, task ambiguity weakened the association between likelihood ratings and choice. Further, older adults' likelihood ratings anticipated their choices more poorly than younger adults'. We discuss implications of these findings for existing approaches to the study of risk‐taking propensity, which have often relied on self‐reported risk tendency for ambiguous activities. Copyright © 2016 John Wiley & Sons, Ltd.