The Auction Model with Lowest Risk in a Duopolistic Electricity Market

Estrella Alonso and Gustavo Juan Tejada
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Estrella Alonso: Escuela Técnica Superior de Ingeniería, Universidad Pontificia Comillas
Gustavo Juan Tejada: Instituto de Matemática Interdisciplinar, Universidad Complutense de Madrid

Económica, 2012, vol. LVIII, 3-21

Abstract: The present paper models the electricity market auction as a two-person game with incomplete information under the assumption that bidders are symmetric, risk neutral and have independent private costs. Alonso and Tejada (2010) define an extensive parametric family of auction models which contains the classic auction models; Uniform, Discriminatory and Vickrey auction models. The present paper analyzes this parametric family of auction models from the viewpoint of the risk. It develops a new auction model called DV, which has lower risk than any other classic auction model.

Keywords: auctions; Value at Risk; electricity market. (search for similar items in EconPapers)
JEL-codes: D44 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:akh:journl:580

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