Fallende markedsrenter har ført til en markant reduksjon i lønnsomheten og økt risikoen på pensjonsprodukter med en garantert, årlig avkastning. I Norge er fripoliser et eksempel på et slikt produkt, og utgjør mer enn 300 ...

In this thesis we combine multivariate time series modelling with real options theory to value a combined cycle gas turbine. We propose a novel price model with co-integrated power, gas and carbon prices, with multivariate ...

Despite an abundance of research on the topic, firms continue to struggle with integrating their value chains in order to create and deliver more value to customers. Silo-thinking (rather than systems-thinking) is a typical ...

Modern power markets often consist of a series of sequential markets where power is traded. Market agents must coordinate their trading strategy across all markets. In this paper, we formulate the mult-market bidding problem ...

This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR forecasts using one ...

As the time between the decision about what to produce and the moment when demand is observed (the decision lead time) increases, the demand forecast becomes more uncertain. Uncertainty can increase gradually in decision ...

When a particular service is performed many times, the duration of the service might reduce due to the effect of learning from similar tasks that have been performed before. In this article, we present an approach to account ...