An Equilibrium Analysis of Risk-Hedging Strategies in Decentralized Electricity Markets
Résumé
We investigate equilibrium problems arising in various decentralized designs of the electricity market involving riskaverse prosumers. The prosumers have the possibility to hedge their risks through financial contracts that they can trade with peers or purchase from an insurance company. We build several market designs of increasing complexity, from a one-stage market design with inter-agent financial contract trading to a Stackelberg game where an insurance company acts as a leader and prosumers are followers. We derive risk-hedging pricing scheme for each model and show that the Stackelberg game pessimistic formulation might have no solution. We propose an equivalent reformulation as a parametrizated generalized Nash equilibrium problem, and characterize the set of equilibria. We prove that the insurance company can design price incentives that guarantee the existence of a solution of the pessimistic formulation, which is ε close to the optimistic one. We then derive economic properties of the Stackelberg equilibria such as fairness, equity, and efficiency. We also quantify the impact of the insurance company incomplete information on the prosumers' riskaversion levels on its cost and social cost. Finally, we evaluate numerically the proposed risk-hedging market models, using residential data provided by Pecan Street.
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