**Abstract**

We seek to develop a distribution to model the extreme damages resulting from Natural Disasters in Kenya.The distribution is based on the Compound Extreme Value Distribution, which takes into account both the distributions of the frequency of occurrence and magnitude of the events. Threshold modelling is employed, where the extreme damages are identified as the points that lie above a sufficiently high threshold. The distribution of the number of the exceedance is found to be Negative Binomial, while that of the severity is approximated by a Generalised Pareto Distribution. Maximum likelihood estimation is used to estimate the parameters, and the log-likelihood is maximised using numerical methods. Probability weighted moments estimation is used to determine the starting values for the iterations. Prediction study is then carried out to investigate the performance of the proposed distribution in predicting future events.

**Keywords:** natural disasters, extreme events, compound distributions
