Abstract: A good deal of contemporary moral nonconsequentialism assumes that agents have perfect knowledge about the various features and consequences of their options. This assumption is unrealistic. More often than not, moral agents can only assess with a certain degree of probability the factual circumstances that are morally relevant for their decision making. My aim in this essay is to discuss the problem of moral decisions under risk from the point of view of nonconsequentialism. Basically, I analyze how objective moral principles can be transformed into subjective, decisional prescriptions, and argue that the standard nonconsequentialist approach to moral decision making, which focuses on probability thresholds, is wrong. In accordance with the fundamental postulates of nonconsequentialism, I seek to solve the problem of risk in moral choice by proposing a theory about the marginal moral value of various options. Actions can vary along various dimensions, and each of these dimensions can offer a different moral value function. Nonconsequentialist marginalism can level the playing field with consequentialism. Whereas consequentialism can simply borrow the notion of expected utility from economics, nonconsequentialism must introduce the notion of expectational obligation to formulate a general principle of moral choice under risk. I finally suggest that further empirical work is needed to delineate the shape of various moral value functions that are critical for applying the general principle of moral decision making under risk to well-known cases.