On stochastic auctions in risk-averse electricity markets with uncertain supply


This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed form characterization of a risk-averse generator’s optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading.


© 2017 Ryan Cory-Wright (based on a template provided by Phil Chodrow) · Powered by the Academic theme for Hugo.