Related papers: Insurance Contract for High Renewable Energy Integ…
Energy storage technologies are key to improving grid flexibility in the presence of increasing amounts of intermittent renewable generation. We propose an insurance contract that suitably compensates energy storage systems for providing…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
Renewable energy-based microgrids play a critical role in future smart grids. Due to the uncertainties of renewable generations, the microgrids face potential risk of load shedding during operation. To address this problem, we propose a…
Large electricity customers (e.g., large data centers) can exhibit huge and variable electricity demands, which poses significant challenges for the electricity suppliers to plan for sufficient capacity. Thus, it is desirable to design…
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their efficiency questionable to achieve the flexibility needed for…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
Bernard et al. (2015) study an optimal insurance design problem where an individual's preference is of the rank-dependent utility (RDU) type, and show that in general an optimal contract covers both large and small losses. However, their…
We study the design of an optimal insurance contract in which the insured maximizes her expected utility and the insurer limits the variance of his risk exposure while maintaining the principle of indemnity and charging the premium…
To achieve ambitious greenhouse gas emission reduction targets in time, the planning of future energy systems needs to accommodate societal preferences, e.g. low levels of acceptance for transmission expansion or onshore wind turbines, and…
The interplay between risk aversion and financial derivatives has received increasing attention since the advent of electricity market liberalization. One important challenge in this context is how to develop economically efficient and…
Integrating the gas and district heating with the electrical grid in a multi-energy grid has been shown to provide flexibility and prevent bottlenecks in the operation of electrical distribution grids. This integration assumes a top-down…
One of the major issues with the integration of renewable energy sources into the power grid is the increased uncertainty and variability that they bring. If this uncertainty is not sufficiently addressed, it will limit the further…
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…
We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…
The high variability of renewable energy resources presents significant challenges to the operation of the electric power grid. Conventional generators can be used to mitigate this variability but are costly to operate and produce carbon…
As smart meters continue to be deployed around the world collecting unprecedented levels of fine-grained data about consumers, we need to find mechanisms that are fair to both, (1) the electric utility who needs the data to improve their…
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types. Instead of using the classical expected utility framework,…
This paper studies an optimal reinsurance problem for a utility-maximizing insurer, subject to the reinsurer's endogenous default and background risk. An endogenous default occurs when the insurer's contractual indemnity exceeds the…