Expected g-linear loss for under-prediction of a random outcome

Expected g-linear loss for under-prediction of a random outcome

Usage

exp_under_loss(dg = function(y) 1, F)

Arguments

dg

derivative of the increment function g.

F

predictive cdf of the outcome.

Value

A function of an allocation x giving the expected g-linear loss of under-predicting an outcome distributed according to F.

Examples

eul <- exp_under_loss(F = pnorm)
eul(0)
#> [1] 0.3989423