【作者】 王绵斌；

【导师】 乞建勋； 谭忠富；

【作者基本信息】 华北电力大学（北京） ， 技术经济及管理， 2009， 博士

【摘要】 电价是电力市场的经济杠杆,电价改革是电力市场重要的内容之一。随着电力体制改革的进一步深化,电价将划分为上网电价(购电电价)、输配电价、销售电价。上网电价和销售电价由市场竞争形成,其波动会给供电公司带来一定风险;输配电价由政府管制,如果不能合理反映成本也会给供电公司带来一定风险。电力市场环境下,供电公司作为独立的市场参与者将从自身利益最大化、风险最小化的角度出发,根据不同的情况控制电价风险,作出不同的购售电决策。本文针对供电公司面临的电价风险的研究工作及创新内容概括如下:首先,介绍了风险管理理论,根据风险管理程序,阐述了风险识别的方法、风险评估方法和风险控制方法,并讨论它们在供电公司电价风险管理中的运用。第二,介绍了分形理论,并给出其特征函数的表达式;以美国加州电力市场和PJM电力市场的上网电价数据为基础,运用stable程序对其分形特征函数的参数进行估算,结果表明上网电价服从分形分布;根据风险价值的定义和性质,推导出分形分布下VaR风险度量、CVaR风险度量和分形刻度参数风险度量的计算公式;在传统投资组合模型的基础上,分别构建基于分形VaR风险度量的供电公司购电组合模型、基于分形CVaR风险度量的供电公司动态购电组合模型和基于分形分布理论的可容许均值-刻度参数购电组合模型,并讨论了供电公司在多个市场中购电之前需确定最优的购电量问题,通过求解可得出供电公司的最优购电策略,可为供电公司购电策略提供一定的参考。第三,对输配电价给供电公司带来的风险进行分析;研究了电网投资中影响供电企业效益的风险变量,提出了一种市场环境下的电网投资项目的风险评价方法,利用“增量法”建立风险评价模型,从而达到对输配电价波动下电网投资风险评估的目的。从电网结构的角度,把输配电费用转化成发电侧输配电价和用户侧输配电价两部分;针对发电侧部分,采用两部制邮票法构建其输配电价模型;针对用户侧,采用分电压等级两部制邮票法构建其输配电价传递模型,它能较好反映输配电价成本和用户需求情况,有利于输配电网资金的回收和电网再建设,从而达到对输配电价风险控制的目的。第四,采用VaR历史模拟方法对谷段和峰段的用电量进行预测;并采用区间数学方法,构建供电公司实行峰谷分时电价的风险评估模型;提出发电侧与供电侧分时电价的联动模型,通过两级分解进行优化,合理的分配发、供电侧实施峰谷分时电价的利益和风险;采用CVaR法对供电公司实行可中断电价的风险进行度量;根据经济学中供需理论,将可中断电价与峰谷分时电价相结合,在分析供电公司成本和效益基础上,建立联合优化模型,采用分解算法进行求解,解决当前可中断电价缺少激励机制的问题。更多还原

【Abstract】 Electricity price is the economic lever in the electricity market and the reform of electricity price is the major content in the electricity market.With the further deepening of the power system reform,electricity price can be divided into generation price(electricity purchase price),transmission and distribution price and sales price.Generation price and sales price are formed by market competition,whose fluctuation will bring risks to the power supply corporation.Transmission and distribution price is regulated by the government.And if it not reflect the construction and operation cost reasonably,oower supply corporation will also suffer from risks.Under the electricity market environment,as an independent market participant,power supply corporation will make different decisions on purchasing and selling electricity according to different conditions in view of benefit maximization and risk minimization.The paper does researches and the innovations on the problems of electricity price risks as follows:Firstly,general risk management theory is introduced.According to the procedures of general risk management,the theories of risk identification,risk assessment and risk control are illustrated,and their applications in electricity price risk management in power supply corporation are discussed.Secondly,fractal theory is introduced with its corresponding characteristic function. Based on the data of generation price in California and PJM electricity market,the generation price obeys fractal distribution resulting from the estimation of parameters in fractal characteristic functions by stable program.Then according to the definition and property of risk value,formulas of VaR risk measurement,CVaR risk measurement under fractal distribution and fractal calibration parameter risk measurement are deduced.Based on traditional portfolio model,an optimal combination model of purchasing electricity is built with VaR risk measurement under fractal distribution,a dynamic combination model of purchasing electricity on the basis of CVaR risk measurement under fractal distribution and a combination model of purchasing electricity on the basis of admissible mean-calibration parameters in fractal distribution theory.Also,the problem of optimal quantity of purchasing electricity should be solved before power supply corporation make decisions in multiple markets.Then the optimal strategy for purchasing electricity can be obtained,thus providing some references to power supply corporation.Thirdly,analyze the risks which the transmission and distribution electricity price bring to power supply corporation.Have studied the risk variables which impact the power supply corporation benefit in the power grid investment,make a proposal of a risk assessment method of power grid investment program in market environment,establish a risk assessment model using "addition method" to evaluate the power grid investment risks under the fluctuations of transmission and distribution electricity price.From the viewpoint of power grid structure,with this basis the transmission and distribution charges are converted into two parts,i.e.,the transmission and distribution price at generation side and that at consumer side. For the part at generation side,the transmission and distribution price model is constructed by two-part postage stamp method;for the part at consumer side,tne transmission and distribution price model is constructed by two-part postage stamp method related to different voltage grades,it can better reflect the cost of transmission and distribution electricity price and demand of users,and it is better to recover the transmission and distribution grid fund and re-construct the power grids,thus it can control the transmission and distribution electricity price risk.Lastly,the electricity consumptions in peak and valley periods are forecasted by value at risk(VaR) method based on historical data.Then by use of interval method a risk assessment model is proposed to weigh up the risk of practicing time-of-use(TOU) electricity price for power supply corporation.A linkage model optimized by two steps is presented taking the generating side and the retail side into account,and it can allocate the benefit and risk of both generation companies and electricity supply corporations reasonably from after implementing the time of use electricity price.CvaR method is adopted to measure the risk of practicing interruptible electricity price by power supply corporation.Then according to the supply and demand theory in economics,by combining interruptible electricity price and time-of-use electricity price in peak-valley period,an integrated optimization model is built on the analysis of cost and benefit of power supply corporation,and the model can be solved by decomposition algorithm.Thus,the problem of incentive mechanism in interruptible price is to be settled.更多还原