Revisiting Risk Premia in Electricity Markets

Angelica Gianfreda () and Giacomo Scandolo ()
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Angelica Gianfreda: University of Modena and Reggio Emilia
Giacomo Scandolo: University of Firenze

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 291-296 from Springer

Abstract: Abstract Motivated by the controversial empirical evidence, we deeply investigate the model proposed by Bessembinder and Lemmon (2002) and their hypotheses. We inspect the accuracy of the forward premium approximation when expressed in terms of wholesale prices, and try to unveil its dependency on price kurtosis. We derive the analytical formula of the forward risk premium in terms of the first two moments of demand and relax the assumption of normality. Finally, we study the dependence of the premium in terms of the demand skewness and kurtosis.

Keywords: Electricity; Demand; Prices; Simulations (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_47

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DOI: 10.1007/978-3-030-99638-3_47

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