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- W2116791157 abstract "Deregulation of electricity industries often poses enormous risk for retailers who must purchase electricity from spot markets at volatile prices and sell it to end-use consumers at stable retail rates. Absent any demand-side response, one recourse available to retailers in order to hedge against this exposure is to ofier interruptible load (IL) contracts. These flnancial instruments enable the retailer to curtail provision of electricity to the consumer for a flxed duration a given number of times during a time horizon in return for either a rebate on the retail rate or a per-use flne. Assuming an exogenous and stochastic electricity price, we set up the retailer’s decision-making problem as a stochastic dynamic program and solve it using the least-squares Monte Carlo (LSMC) simulation algorithm. Consequently, we obtain not only the value of such contracts, but also their optimal interruption policies and risk measures, such as value-at-risk (VaR) and expected tail loss (ETL)." @default.
- W2116791157 created "2016-06-24" @default.
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- W2116791157 date "2008-01-01" @default.
- W2116791157 modified "2023-09-27" @default.
- W2116791157 title "Risk Analysis of Interruptible Load Contracts" @default.
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