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Uncertainty poses a substantial problem for animals, making it is essential for individuals to anticipate changes in their environment to select suitable behavioral strategies. In nest-building species where parents care for dependent young, predation is a major cause of reproductive failure. However, because parents generally have inadequate information about nest predation risks, attaining information about predation hazards increases their likelihood of making informed, optimal decisions. Risk assessment should therefore be widespread, particularly in incubating parents of species that breed in cavities or closed nests, which have limited information about predator presence. This study experimentally investigated the dynamic risk assessment in incubating female brown thornbill (Acanthiza pusilla), a long-lived Australian passerine, which builds closed dome nests in dense vegetation. When the females were exposed to the calls of a nest predator, a predator of adults, and a nonpredatory species, they reacted most strongly to the predator of adults’ calls, by looking out of the nest for longest. Females significantly increased their level of alertness on hearing calls of both predator species and maintained their higher level of alertness after the simulated predator presence ended. Females in nests with a high degree of visual cover, and therefore a larger information deficit, reacted more strongly to predator calls than females in more open nests. Moreover, poorly concealed nests had a higher probability of being predated. These results show that incubating female thornbills use dynamic risk assessment and base their response on who is at risk and the degree of information deficit.