How do I remove the background from this kind of image?

The following code should get you started. You may want to play around with the parameters at the top of the program to fine-tune your extraction:

import cv2
import numpy as np

#== Parameters =======================================================================
BLUR = 21
CANNY_THRESH_1 = 10
CANNY_THRESH_2 = 200
MASK_DILATE_ITER = 10
MASK_ERODE_ITER = 10
MASK_COLOR = (0.0,0.0,1.0) # In BGR format


#== Processing =======================================================================

#-- Read image -----------------------------------------------------------------------
img = cv2.imread('C:/Temp/person.jpg')
gray = cv2.cvtColor(img,cv2.COLOR_BGR2GRAY)

#-- Edge detection -------------------------------------------------------------------
edges = cv2.Canny(gray, CANNY_THRESH_1, CANNY_THRESH_2)
edges = cv2.dilate(edges, None)
edges = cv2.erode(edges, None)

#-- Find contours in edges, sort by area ---------------------------------------------
contour_info = []
_, contours, _ = cv2.findContours(edges, cv2.RETR_LIST, cv2.CHAIN_APPROX_NONE)
# Previously, for a previous version of cv2, this line was: 
#  contours, _ = cv2.findContours(edges, cv2.RETR_LIST, cv2.CHAIN_APPROX_NONE)
# Thanks to notes from commenters, I've updated the code but left this note
for c in contours:
    contour_info.append((
        c,
        cv2.isContourConvex(c),
        cv2.contourArea(c),
    ))
contour_info = sorted(contour_info, key=lambda c: c[2], reverse=True)
max_contour = contour_info[0]

#-- Create empty mask, draw filled polygon on it corresponding to largest contour ----
# Mask is black, polygon is white
mask = np.zeros(edges.shape)
cv2.fillConvexPoly(mask, max_contour[0], (255))

#-- Smooth mask, then blur it --------------------------------------------------------
mask = cv2.dilate(mask, None, iterations=MASK_DILATE_ITER)
mask = cv2.erode(mask, None, iterations=MASK_ERODE_ITER)
mask = cv2.GaussianBlur(mask, (BLUR, BLUR), 0)
mask_stack = np.dstack([mask]*3)    # Create 3-channel alpha mask

#-- Blend masked img into MASK_COLOR background --------------------------------------
mask_stack  = mask_stack.astype('float32') / 255.0          # Use float matrices, 
img         = img.astype('float32') / 255.0                 #  for easy blending

masked = (mask_stack * img) + ((1-mask_stack) * MASK_COLOR) # Blend
masked = (masked * 255).astype('uint8')                     # Convert back to 8-bit 

cv2.imshow('img', masked)                                   # Display
cv2.waitKey()

#cv2.imwrite('C:/Temp/person-masked.jpg', masked)           # Save

Ouput:

As an alternative, you can use neural networks like this one: CRFRNN.

It gives the result like this:

If you wish to fill background not with a red color but make it transparent, you may add following lines to solution:

# split image into channels
c_red, c_green, c_blue = cv2.split(img)

# merge with mask got on one of a previous steps
img_a = cv2.merge((c_red, c_green, c_blue, mask.astype('float32') / 255.0))

# show on screen (optional in jupiter)
%matplotlib inline
plt.imshow(img_a)
plt.show()

# save to disk
cv2.imwrite('girl_1.png', img_a*255)

# or the same using plt
plt.imsave('girl_2.png', img_a)

If you wish you may tweak some png compression parameters to make file smaller.

Image on a white background below. Or on a black one - http://imgur.com/a/4NwmH