# unit normal loss function

The function, $UNL$, is defined by

$$UNL(c)={\int}_{c}^{\mathrm{\infty}}(t-c)f(t)\mathit{d}t$$ |

where $c$ is a constant and $f(.)$ is the normal probability distribution function.

An alternative computational formula for $UNL$ is the following:

$$UNL(z)=f(z)-z(1-F(z))$$ |

where $f(.)$ and $F(.)$ are the probability distribution function and cumulative distribution function^{}
for Standard Normal Distribution^{} 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 |