This article deals with the basic contradictions of risk management and responsibility regarding problem gambling and self-exclusions, and draws special attention to the role knowledge production and science play in the construction and evaluation of gambling risks. This remarkable case of corporate social responsibility (CSR) is analyzed from a risk-governance perspective. It is grounded on a case study of the CSR practice of the Dutch casino monopoly, in particular the problem gambling mitigation and self-exclusion program of this corporation. The intentions and operations of this ‘responsible gambling’ practice constitute new business values and working norms. At the same time empirical evaluations of the self-exclusion program reveal that despite all the efforts put in the risk-management strategies, a significant part of the problem cannot be addressed at all. This points toward a major paradox of risk management. Overall the article highlights the ambiguous nature of risk management and responsible gambling.