突发事件环境下风险厌恶型报童博弈模型

在考虑突发事件导致决策者风险厌恶的情况下,研究了一个风险厌恶型的报童博弈模型.两个零售商分别出售两种具有可替代性的商品中的一种,当其中一种商品缺货时,顾客会以一定的概率选择另一种商品作为替代品.由于两种商品可以相互替代,两个零售商之间存在竞争关系.以条件风险价值作为风险度量方法,构建了以零售商期望收益最大化为目标的非合作博弈模型,证明了纳什均衡的存在与唯一性.同时研究了商品的替代率以及零售商的风险厌恶程度对最优决策的影响.最后通过数值例子对研究结果进行了验证.

Risk-averse newsvendor game model under emergency situations

Considering of emergencies lead to the decision makers risk aversion, this paper studies a newsvendor game model in which two substitutable products are sold by two different risk-averse retailers. Before a selling season, each retailer needs to make an order quantity to maximize his expected profit. Since two products are substitutable, two retailers have to make decisions in a competitive environment, game theory model is used to find the retailers' optimal order quantity. Using conditional value-at-risk as a risk measure, research indicates that, there exists a unique Nash equilibrium in the risk-averse newsvendor game. The impacts of risk aversion and substitution rate on the optimal order quantity are also researched. At last, the results are verified by a numerical example.