论文标题
在偶然受限的随机电力市场中的风险交易
Risk Trading in a Chance-Constrained Stochastic Electricity Market
论文作者
论文摘要
现有的电力市场设计具有风险中立性，并且缺乏围墙式工具，从而导致次优市场的成果并降低了整体市场效率。本文通过引入Arrow-debreu证券（ADS），并在风险交易中推出了一种规避风险的市场清除模型，从而实现了偶然约束随机电力市场的风险交易。为了实现风险交易，在有限数量的结果中离散了基本不确定性的概率空间，这使设计实用的风险合同并产生能源，平衡储备金和风险价格。值得注意的是，尽管风险合同是离散的，但该模型仍保留了机会限制的连续性。该案例研究说明了拟议中的风险交易的拟议规避风险限制的电力市场的有用性。
Existing electricity market designs assume risk neutrality and lack risk-hedging instruments, which leads to suboptimal market outcomes and reduces the overall market efficiency. This paper enables risk-trading in the chance-constrained stochastic electricity market by introducing Arrow-Debreu Securities (ADS) and derives a risk-averse market-clearing model with risk trading. To enable risk trading, the probability space of underlying uncertainty is discretized in a finite number of outcomes, which makes it possible to design practical risk contracts and to produce energy, balancing reserve and risk prices. Notably, although risk contracts are discrete, the model preserves the continuity of chance constraints. The case study illustrates the usefulness of the proposed risk-averse chance-constrained electricity market with risk trading.
