outage pricing model revision : allowing for power price vs . outage correlation
i have included provision for providing rank correlation between " jump
occurrence in daily average power price " and " outage occurrence " . the model
will provide the same claim distribution as before when pricevsoutage
correlation = 0 is used . claim goes up as the correlation is increased . i
have performed some sensitivity analysis and the results seem to make sense .
the new model workbook is " 40901 . xls " and corresponding
dll is " outagepricingo 40901 . dll " , both located in
o : \ grm \ research \ outagerisk \ subdirectory . the price vs . outage rank
correlation input will need to be provided in " main " spreadsheet . please
call me if you have any questions .
- amitava
outage pricing model revision : allowing for power price vs . outage
correlation
i have included provision for providing rank correlation between " jump
occurrence in daily average power price " and " outage occurrence " . the model
will provide the same claim distribution as before when pricevsoutage
correlation = 0 is used . claim goes up as the correlation is increased . i
have performed some sensitivity analysis and the results seem to make sense .
the new model workbook is " 40901 . xls " and corresponding
dll is " outagepricingo 40901 . dll " , both located in
o : \ grm \ research \ outagerisk \ subdirectory . the price vs . outage rank
correlation input will need to be provided in " main " spreadsheet . please
call me if you have any questions .
- amitava