An appropriate option must be a verb here "naturally ___ a risk"; considering the context of the words.
From the options, 'taking' in this context means 'to perform an action', 'to take a risk'; 'taking' is a participle that performs the function of a verb (was naturally taking, where 'was' refers to a past tense). Hence option B is correct.
'But' is a conjunction that refers to contrast, 'or' is a conjunction that refers to an alternative and 'to' is a preposition. These words do not perform any action.
Consider: was naturally but a risk; it means that the subject "anyone" was a risk, this has no meaning. Also, 'was naturally 'or' a risk' does not provide a coherent meaning. Same goes for 'was naturally to a risk'.
Hence options A, C and D are incorrect.