In the future, meteorological extremes (e.g. droughts) are expected to become more frequent because of climate change. Natural disasters deeply impact the economy and the society all over the globe. However, Africa is widely recognized as the continent with the highest vulnerability to weather risks. To mitigate the effects of natural disasters, it is necessary to develop financial tools and infrastructures to help countries to manage the risk of extreme events, and to adapt to climate change. CaseXtreme was aimed at creating a data-driven methodology to identify meteorological extremes in Africa, and to forecast their variability in the future. To this end, a novel methodology has been developed to distinguish systematic changes in the frequency of extremes from the natural fluctuations of the climate system. A payout scheme for an insurance product based on such a method has been defined. Moreover, its financial viability has been assessed over Africa for different scenarios of green-house gasses concentrations through the exploitation of the outputs of several climate models collected during the 5th Coupled Model Intercomparison Project (CMIP5).