The paper presents a method for decision support under risk. Decision making under risk is a situation in which the outcome of the system is ambiguous and depends on the state of the environment. The decision making process is modeled by a multi-criteria optimization problem, in which individual functions represent the results of decisions in several possible scenarios. The decision support method is an interactive decision making process. The choice is made by solving the problem depending on the control parameters that define the aspirations of the decision maker as well as on an evaluation of the obtained solutions. The decision maker selects a parameter that influences a solution, then it evaluates the obtained solution by accepting or rejecting it. In another case, the decision maker selects a new value and the problem is solved again for the new parameter. In the present paper an example of supporting decision making under risk is presented.