http://swrc.ontoware.org/ontology#UnrefereedArticle
Risk Assessment for Generation Investment by Random NPV Probit Model based on UNPV Method
en
expected utility theory
generation
investment evaluation
Monte Carlo method
natural gas
power system economics
probit model
random net present value
risk
utility indifference pricing
Miyauchi Hajime
Misawa Tetsuya
Graduate School of Economics, Nagoya City University
Graduate School of Science and Technology, Kumamoto University
Following the deregulation of the electric power industry, uncertainties such as volatilities in the demand and price of electric power and fuel have increased. It is therefore necessary to develop a new method to evaluate investment risks. We have previously developed a risk assessment method using utility indifference net present value (UNPV method).Though identifying the utility function used in the UNPV method is difficult, we propose a “probit” type statistical model to evaluate the investments. The model is derived from a simplification of the UNPV method, and is provided as a type of regression equation for thestatistical moments of random net present value (RNPV). We compose a probit model for investment evaluation of a gas thermal power plant project, and compare the results of the UNPV method and the proposed probit model to examine the effectiveness of the proposed probit model.
オイコノミカ
54
1
75-89
2017-07-31
03891364
AN00025971
application/pdf