期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 259, 期 1, 页码 367-383出版社
ELSEVIER
DOI: 10.1016/j.ejor.2016.10.020
关键词
Stochastic equilibrium; Nonlinear programming; Risk measures; Natural gas markets
资金
- Centre for Sustainable Energy Studies - FME CenSES, Research Council of Norway [209697]
This paper presents a natural gas market equilibrium model that considers uncertainty in shale gas reserve exploration. Risk aversion is modeled using a risk measure known as the Average Value-at-Risk (also referred to as the Conditional Value-at-Risk). In the context of the European natural gas market, we show how risk aversion affects investment behavior of a Polish and a Ukrainian natural gas supplier. As expected, increased risk aversion leads generally to lower investment, and a larger share of investments in the form of lower risk alternatives, i.e., conventional resources. However, in our market setting where multiple risk-averse agents each maximize their own profits we do observe some counter-intuitive, non monotonic results. It is noteworthy that in a competitive market, risk aversion leads to significantly lower reserve exploration, which may be interpreted as a credible threat by a large dominating supplier (such as Russia). A threat to flood natural gas markets could deter importing countries from extending their own reserve bases. (C) 2016 Elsevier B.V. All rights reserved.
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