Volatility demand management for electricity: a moral hazard approach by Dylan Possamaï

Event Date: 

Wednesday, February 8, 2017 -
3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 p.m

Event Location: 

  • South Hall 5607F

Dylan Possamaï — Université Paris Dauphine

Title: Volatility demand management for electricity: a moral hazard approach

Abstract: In this work, we propose a model of electricity demand management through a principal-agent problem, allowing to obtain almost explicit optimal compensations for the consumer. We then illustrate our findings through several numerical experiments, putting the emphasis on the practical implementation of the contracts. This is a joint work with René Aïd and Nizar Touzi.