Related papers: Insurance Contract for High Renewable Energy Integ…

In recent years, the contribution of renewable energy resources to the electrical grid has increased drastically; the most common of these are photovoltaic solar panels and wind turbines. These resources rely on inverters to interface with…

It is well-known that Excess-of-Loss reinsurance has more marketability than Stop-Loss reinsurance, though Stop-Loss reinsurance is the most prominent setting discussed in the optimal (re)insurance design literature. We point out that…

The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…

We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing…

A reinsurance contract should address the conflicting interests of the insurer and reinsurer. Most of existing optimal reinsurance contracts only considers the interests of one party. This article combines the proportional and stop-loss…

The resource quality and the temporal generation pattern of variable renewable energy sources vary significantly across Europe. In this paper spatial distributions of renewable assets are explored which exploit this heterogeneity to lower…

One of the main challenges in the emerging smart grid is the integration of renewable energy resources (RER). The latter introduces both intermittency and uncertainty into the grid, both of which can affect the underlying energy market. An…

Investments into renewable energy are increasing rapidly around the world. Energy system models are able to provide insights into optimal investment capacities and thus are widely used to aid the long-term investment decision-making under…

Load-serving entities which procure electricity from the wholesale electricity market to service end-users face significant quantity and price risks due to the volatile nature of electricity demand and quasi-fixed residential tariffs at…

In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…

This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and introducing an incentive compatibility constraint to address…

We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…

High wind energy penetration critically challenges the economic dispatch of current and future power systems. Supply and demand must be balanced at every bus of the grid, while respecting transmission line ratings and accounting for the…

We propose to study electricity capacity remuneration mechanism design through a Principal-Agent approach. The Principal represents the aggregation of electricity consumers (or a representative entity), subject to the physical risk of…

In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…

The deepening penetration of renewable energy is challenging how power system operators cope with the associated variability and uncertainty in the unit commitment problem. Given its computational complexity, several optimization-based…

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…

We investigate the profitability and risk of energy storage arbitrage in electricity markets under price uncertainty, exploring both robust and chance-constrained optimization approaches. We analyze various uncertainty representations,…

This paper studies how to aggregate prosumers (or large consumers) and their collective decisions in electricity markets, with a focus on fairness. Fairness is essential for prosumers to participate in aggregation schemes. Some prosumers…

The planning and operation of renewable energy, especially wind power, depend crucially on accurate, timely, and high-resolution weather information. Coarse-grid global numerical weather forecasts are typically downscaled to meet these…