Humans will, at times, act against their own economic self-interest, for example, in gambling situations. To explore the evolutionary roots of this behavior, we modified a traditional human gambling task, the Iowa Gambling Task (IGT), for use with chimpanzees, capuchin monkeys and humans. We expanded the traditional task to include two additional payoff structures to fully elucidate the ways in which these primate species respond to differing reward distributions versus overall quantities of rewards, a component often missing in the existing literature. We found that while all three species respond as typical humans do in the standard IGT payoff structure, species and individual differences emerge in our new payoff structures. Specifically, when variance avoidance and reward maximization conflicted, roughly equivalent numbers of apes maximized their rewards and avoided variance, indicating that the traditional payoff structure of the IGT is insufficient to disentangle these competing strategies. Capuchin monkeys showed little consistency in their choices. To determine whether this was a true species difference or an effect of task presentation, we replicated the experiment but increased the intertrial interval. In this case, several capuchin monkeys followed a reward maximization strategy, while chimpanzees retained the same strategy they had used previously. This suggests that individual differences in strategies for interacting with variance and reward maximization are present in apes, but not in capuchin monkeys. The primate gambling task presented here is a useful methodology for disentangling strategies of variance avoidance and reward maximization.