Several extraordinary rainfall events have occurred in Denmark within the last few years. For each event, problems in urban areas occurred as the capacity of the existing drainage systems were exceeded. Adaptation to climate change is necessary but also very challenging as urban drainage systems are characterized by long technical lifetimes and high, unrecoverable construction costs. One of the most important barriers for the initiation and implementation of the adaptation strategies is therefore the uncertainty when predicting the magnitude of the extreme rainfall in the future. This challenge is explored through the application and discussion of three different theoretical decision support strategies: the precautionary principle, the minimax strategy and Bayesian decision support. The reviewed decision support strategies all proved valuable for addressing the identified uncertainties, at best applied together as they all yield information that improved decision making and thus enabled more robust decisions.