Previous studies generally support the belief that privacy risk has a negative impact on intention to disclose personal information (Malhotra, Kim and Agarwal, 2004; Xu, Teo and Tan, 2005; Drennan, Mort and Previte, 2006). Individuals who have concerns about disclosing personal information engage in various types of risk handling behaviour to reduce their concerns. Reports conflict on whether this privacy risk handling behaviour leads to online interaction (Drennan, Mort and Previte, 2006). This study explores the role of Knightian uncertainty, ambiguity aversion, and heuristic-driven biases (availability bias, representativeness bias and anchoring and adjustment bias) as determinants of attitudes towards informational privacy and privacy risk handling behaviour. Survey data were collected from a sample of 420 individuals chosen to be representative of the population of online users. Using age as a proxy for uncertainty, analysis of the data suggests that the more uncertain individuals are about their ability to quantify the risks in a given situation the less likely they are to engage online (ambiguity aversion). The findings also suggest that an individual’s experience of recent privacy breaches increases their privacy risk behaviour (availability bias and representativeness). 20 follow-up interviews were conducted to explore the findings of the questionnaire in more detail.