風力発電における予測誤差損失補填のためのデリバティブ設計

抄録

One of the most difficult issues for using wind power in practice is that the power output largely depends on the wind condition, and as a result, the future output may be volatile or uncertain. Therefore, the prediction of power output in the future is key to electric power generating industries making the wind power electricity market work properly. However, the use of predictions may cause other problems due to “prediction errors.” The objective of this work is to propose a new type of weather derivatives based on the prediction errors for wind speeds and estimate their hedge effect on wind power energy businesses. We will develop a methodology that will optimally construct a wind derivative based on the prediction errors using nonparametric regressions. Then an optimization technique of loss function for a given payoff function of wind derivatives is demonstrated based on the empirical data.