Advances in Risk Management

14

2,500

1,000

0

500

1,0001,5002,0002,5003,0003,5004,0004,5005,0005,5006,0006,5007,000

2,000

3,000

4,000

5,000

0

1,0002,0003,0004,0005,000

Threshold

Threshold

6,0007,0008,0009,00010,00011,000

5,000

7,500

10,000

Mean excess function

Mean excess function

12,500

15,000

Figure 1.3 Mean excess plots for BL1 (above) and BL2 (below)
For the sake of visual clarity, the 5 and 2 largest losses have been removed
from the MEF plots of BL1 and BL2, respectively