This chapter applies the extreme value theory to the Constant Proportion Portfolio Insurance (CPPI). A quantile hedging approach is introduced, which provides an upper bound on the standard multiple m. This bound is statistically estimated from the behavior of extreme variations in rates of asset returns. Additionally, we can consider also the distributions of inter arrival times of these extreme fluctuations. We illustrate their impact on this portfolio insurance strategy using S&P 500 data. We show how the multiple can be chosen to satisfy the guarantee condition, at a given level of probability and for standard lengths of the portfolio management period.