unit normal loss function

The function, UNL, is defined by


where c is a constant and f(.) is the normal probability distribution function.
An alternative computational formula for UNL is the following:


where f(.) and F(.) are the probability distribution function and cumulative distribution functionMathworldPlanetmathPlanetmath for Standard Normal DistributionMathworldPlanetmath respectively.
Remark. This function has an extensive use in Risk Analysis and the Theory of Blackjack.

Title unit normal loss function
Canonical name UnitNormalLossFunction
Date of creation 2013-03-22 15:56:42
Last modified on 2013-03-22 15:56:42
Owner georgiosl (7242)
Last modified by georgiosl (7242)
Numerical id 6
Author georgiosl (7242)
Entry type Definition
Classification msc 62E15