This research project is finished (2016-2017). Climate change ahead have already caused increased frequency of occurrence of high-severity events such as hurricanes, floods and droughts, affecting the well-being of millions of people around the world. As a result, interest in the management of risks associated with weather events is increasing, whether in view of the financial service consumer (the personal and institutional levels), or insurance companies. However, the literature indicates that both sides of the market seem unaware of what the other side demand/supply (Kunreuther & Dinan, 2013). So, has become imperative to develop research around the problem of protection against climatic event risks. In parallel, since the last economic crisis of global proportions, financial innovations have been seen as welfare-inducing, as they are designed new products and new financial mechanisms (Allen, Yago & Barth, 2012). This project aims to analyze the behavior of citizens with respect to their propensity to buy protection from extreme rainfall risks. Therefore, it is expected to conduct a survey in three cities: Petropolis, Rio de Janeiro and Sao Paulo. The conceptual theoretical apparatus is essentially supported in modern theoretical perspectives employed in behavioral finance, especially the little explored Theory SP/A (Lopes, 1987; Shefrin, 2015), applied to insurance purchasing decisions; and yet the Theory of Extreme Value (Ahn et al., 2012), which explores low probability of occurring events, but high severity, i.e. the case of weather events.