Abstract Many fine‐grained (if not bigger picture) decisions concerning climate change involve significant, even severe, uncertainty. Here, we focus on modelling the decisions of single agents, whether individual persons or groups perceived as corporate entities. We offer a taxonomy of the sources and kinds of uncertainty that arise in framing these decision problems, as well as strategies for making a choice in spite of uncertainty. The aim is to facilitate a more transparent and structured treatment of uncertainty in climate decision making.