Risk management is an effective way to mitigate the adverse consequences of extreme events, and plays an important role in climate change adaptation. On the basis of the literature, this paper presents a conceptual framework for managing the risk of extreme events under climate change, and accordingly summarizes the recent developments with a focus on several key topics. In terms of risk determinants, the impacts of climate variability on the frequency of extreme events are addressed, and the various meanings and measurements of specific vulnerability are compared. As for the process of risk management, the dynamic assessment approach regarding future climate condition is emphasized. Besides, in view of decision making the available means to enhance the effectiveness of adaptation and mitigation strategies are highlighted. Finally, uncertainty is discussed with respect to its sources and solution.