A recent review of the overall risks of different BMI levels:

Random-effects summary all-cause mortality HRs for overweight (BMI of 25-30), obesity (BMI of ≥30), grade 1 obesity (BMI of 30-35), and grades 2 and 3 obesity (BMI of ≥35) were calculated relative to normal weight (BMI of 18.5-25).
Relative to normal weight, both obesity (all grades) and grades 2 and 3 obesity were associated with significantly higher all-cause mortality. Grade 1 obesity overall was not associated with higher mortality, and overweight was associated with significantly lower all-cause mortality. The use of predefined standard BMI groupings can facilitate between-study comparisons.

Flegal KM, Kit BK, Orpana H, Graubard BI.Association of all-cause mortality with overweight and obesity using standard body mass index categories: a systematic review and meta-analysis. JAMA. 2013 Jan 2;309(1):71-82. doi: 10.1001/jama.2012.113905.

Can help you assess your own risk.