用户与电力公司之间电力期货合同的风险建模

本文介绍用户和电力公司之间一类可选择的电力期货合同的风险模型 ,并应用边际发电单元的概念和随机生产模拟技术 ,提出一种计算电力公司边际发电成本概率分布函数的有效方法 ,可应用于合同定价模型 .该方法不仅能考虑电力公司发电机组强迫停运和负荷预测的不确定性 ,而且易于计入燃料价格的不确定性 .算例分析表明了该方法的合理性和有效性

Modelling Risk in Electricity Future Contracts between Utilities and Consumers

An approach to modelling risk in an optional electricity future contract between utilities and consumers is introduced in this paper. On the basis of the concept of marginal generating unit and the technologies of probabilistic production simulation, an efficient method is developed for estimating probability distribution function of marginal generating cost of power utilities, which can be employed in the pricing model of future contract. In this method, not only the uncertainties of generating unit forced outage and load demand forecast are considered, but the uncertainty related to fuel price can also be easily incorporated. The presented methodology embodies clear physical concepts so that it can easily be theoretically understood and computationally realized. Case studies show its reasonableness and efficiency.