scholarly journals Oligopoly Power Producer’s Capacity Investment Model with Contracts for Differences

2013 ◽  
Vol 2013 ◽  
pp. 1-13
Author(s):  
Xinhua Zhang ◽  
Hairong Huang ◽  
Xiaohua Xia
Keyword(s):  
Power Supply ◽  
Supply And Demand ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Investment Model ◽  
Capacity Investment ◽  
Unit Load ◽  
Price Cap ◽  
Renewable Power ◽  
Regulation Policy

This paper presents a three-level oligopoly power producer’s capacity investment game model, whose first level considers optimal regulation policy, and second-level models producer’s capacity investment strategy based on the analysis of power producer’s equilibrium biding strategy with capacity and price cap constraints at third level. We solve the model with backward induction and simulate the symmetric case. Precisely, we examine the effect of the number of oligopoly power producers, price cap, and contracts for differences (CFDs) on the unit load and power sale price and explore the optimal investment policy based on the maximization of discounted social welfare. For the proportion of power in CFDs being very big and power supply being relatively nervous in Chinese power market, we discuss the effect of power capacity investment subsidies and CFDs power price on power supply and demand, whose results indicate that reducing the proportion of CFDs’ power in the power producer’s access grid power is an effective way to alleviate the tension in power supply and demand, and the current renewable energy policy can neither necessarily ease the tension condition of power supply nor can it necessarily promote the construction of renewable power generation units.

scholarly journals Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Yun Xiao ◽  
Zhijian Qiu
Keyword(s):  
Risk Model ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Optimization Criterion ◽  
Investment Model ◽  
Insurance Companies ◽  
Investment Portfolio ◽  
Market Competitiveness ◽  
Optimal Investment Strategy ◽  
Risk Investment

The reinsurance and investment portfolio of insurance companies has always been a hot issue in insurance business. In insurance practice, it is inevitable for insurance companies to invest their own funds in order to expand their capital scale and enhance market competitiveness so as to obtain greater returns. At the same time, in order for insurance companies to disperse insurance risks and to avoid too concentrated claims or catastrophes caused by failure to perform compensation responsibilities, the purchase of reinsurance business has also become an important way. Stochastic control theory is widely used in reinsurance and investment issues. Based on the reinsurance system architecture, this paper establishes a reinsurance delay risk investment model, which reduces the amount of claims to be borne by buying proportional reinsurance to avoid bankruptcy caused by the excessive amount of claims. By using the delayed venture capital model to describe the earnings of insurance companies, the optimal investment and reinsurance strategy are solved under the optimization criterion of minimizing the probability of bankruptcy. By analyzing the model parameter data, the influence of each parameter on optimal investment strategy and optimal reinsurance strategy is discussed.

Solar Renewable Energy Credit Price Volatility and Investment Returns: Have Policies Stranded Capital Investment?

Commonwealth ◽  
2017 ◽  
Vol 19 (1) ◽  
Author(s):  
Somayeh Youssefi ◽  
Patrick L. Gurian
Keyword(s):  
Solar Energy ◽  
Capital Investment ◽  
Supply And Demand ◽  
Price Volatility ◽  
The United States ◽  
Investment Model ◽  
Capital Investments ◽  
Demand Model ◽  
Market Prices ◽  
Investment Returns

Pennsylvania is one of a number of U.S. states that provide incentives for the generation of electricity by solar energy through Solar Renewal Energy Credits (SRECs). This article develops a return on investment model for solar energy generation in the PJM (mid-­Atlantic) region of the United States. Model results indicate that SREC values of roughly $150 are needed for residential scale systems to break even over a 25-­year project period at 3% interest. Market prices for SRECs in Pennsylvania have been well below this range from late 2011 through the first half of 2016, indicating that previous capital investments in solar generation have been stranded as a result of steep declines in the value of SRECs. A simple conceptual supply and demand model is developed to explain the sharp decline in market prices for SRECs. Also discussed is a possible policy remedy that would add unsold SRECs in a given year to the SREC quota for the subsequent year.

A Dynamic Investment Model with Profit-Sharing in an Interest-Free Economy

1991 ◽  
Vol 8 (1) ◽  
pp. 109-127
Author(s):  
Zaidi Sattar
Keyword(s):  
Optimal Investment ◽  
Integrated Approach ◽  
Building Blocks ◽  
Profit Sharing ◽  
Comparative Statics ◽  
Investment Model ◽  
Financial Contracts ◽  
Endogenous Variables ◽  
Rate Of Profit ◽  
Component Models

The present paper is a contribution to the building blocks of an investmentmodel within the framework of an integrated macroeconomic model of anIslamic economy. Investment behavior in the model is guided by an Islamicethicalvalue system and profit-sharing financial contracts. The typical firm’sinvestment decision is believed to emerge from a dynamic inter-temporalmaximization exercise within an infinite time horizon. The method of Calculusof Variations is applied to arrive at the optimal investment and employmentcriteria for the firm. The result is then incorporated into a macroeconomicmodel to study the behavior of key endogenous variables like national incomeand the rate of profit-share. Comparative statics exercised within a generalequilibrium framework reveal the potency of monetary policy but the neutralityof fiscal policy with respect to output and employment.IntroductionThe past decade has witnessed a tremendous outpouring of interest aswell as effort in the formalization of economic models based on profit-sharingfinancial arrangements as an Islamic alternative to the conventional interestbasedeconomic system. Several macroeconomic models for interest-freeeconomies have been proposed (Anwar 1987; Habibi 1987; Metwally 1981& 1983). The rigor of an integrated approach to such macroeconomic modelhgdepends on the rigor of the component models, namely, the consumption,investment, monetary, and fiscal relationships. Economists have writtenextensively on different aspects of consumer behavior in Islamic societies.Kahf (1978) and Khan (1984), among others, have contributed to the conceptualand analytical formulation of the consumption function under ...

scholarly journals Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market

2016 ◽  
Vol 2016 ◽  
pp. 1-17 ◽  
Author(s):  
Huiling Wu
Keyword(s):  
Regime Switching ◽  
Stock Price ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Power Utility ◽  
Optimal Investment Strategy ◽  
Admissible Strategies ◽  
Definition Of ◽  
Markovian Regime Switching ◽  
Optimal Investment And Consumption

This paper studies an investment-consumption problem under inflation. The consumption price level, the prices of the available assets, and the coefficient of the power utility are assumed to be sensitive to the states of underlying economy modulated by a continuous-time Markovian chain. The definition of admissible strategies and the verification theory corresponding to this stochastic control problem are presented. The analytical expression of the optimal investment strategy is derived. The existence, boundedness, and feasibility of the optimal consumption are proven. Finally, we analyze in detail by mathematical and numerical analysis how the risk aversion, the correlation coefficient between the inflation and the stock price, the inflation parameters, and the coefficient of utility affect the optimal investment and consumption strategy.

scholarly journals Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1610
Author(s):  
Katia Colaneri ◽  
Alessandra Cretarola ◽  
Benedetta Salterini
Keyword(s):  
Stock Prices ◽  
Regime Switching ◽  
Common Factor ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Market Model ◽  
Sensitivity Analyses ◽  
Model Parameters ◽  
Insurance Company ◽  
Optimal Investment Strategy

In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the optimal investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters.

Sign in / Sign up

Export Citation Format

Share Document