Managing the Cumulative Distribution Function of the Profit: a Producer Risk Management Case

摘要

This paper presents a new framework for risk consideration of participants in electricity markets. Current approaches add risk measures to stochastic problem formulation in order to control the variation of the profits (costs). However, in the proposed method, cumulative distribution function of profit is utilized and it is shaped based on the preferred risk levels of the producer (buyer). The features of this new method are compared with the current approaches based on a detailed case study performed on the problem of a producer participating in a three settlement market.