1. Introduction and motivation
Let u be the standard normal probability density function, U the standard normal cumulative distribution and U0 its complementary
function, as respectively defined by (1), (2) and (3a). Then U1 is the standard normal first order loss function, see
(4a).
The inverse of the standard normal cumulative distribution, U0inv , is defined by (3b). Wichura [1] provides an approximation
algorithm for U0inv . The focus of this article is on the inverse standard normal first order loss function