It's part of the individual user profile. Hit the drop-down arrow by your avatar in the top-right corner. Choose Settings or Profile Settings. Choose Reviews. You'll see various Review Notification Events that you can set to email you Never, Immediately, or in Batch.
I recommend to my users to use Batch for most, Immediate for "Participant Finished" and "File revisions added", "Yes" to "Uncomplete review if revision is added", but "No" to "Uncomplete review if a defect is raised". That works well with how I handle reviews.
Just pick the settings that work best to remind you when you have an action. Some of my users like notifications for everything, and some prefer to never get notifications and just manually check daily.
In addition to what Tini said, you may use the page https://confluence.atlassian.com/display/FISHEYE/Changing+your+user+profile as a reference to the notifications sent by reviews (look under the Reviews section on this page).
There are also notifications for changes on repositories, which are based on the watches a user have set. Please check further about this under Watches on this same document.
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