Daniel Marino
23 October 2024
Fixing Integral Divergence in the Inverse Weibull Distribution's Tail Value at Risk (TVaR)

The problem of integral divergence in determining the Tail Value at Risk (TVaR) for the Inverse Weibull distribution is the main topic of this discussion. It investigates two approaches: Monte Carlo simulation and conventional numerical integration. Divergence presents difficulties for the first strategy, but the Monte Carlo method provides a versatile substitute. Particularly for heavy-tailed distributions, every solution is tuned for precision and efficiency.