摘要
将条件风险价值(CVaR)度量准则应用于集装箱舱位超订的风险管理研究.建立了在CVaR准则下的海运集装箱舱位超订模型,解此模型得到舱位最优超订水平需满足的方程组,并讨论了风险厌恶程度和空箱调运对舱位最优超订水平的影响.分析结果表明,在风险厌恶环境中,集装箱舱位的最优超订水平依赖于需求的分布和风险厌恶程度,不一定小于风险中性时的最优超订水平;与不考虑空箱调运时比较,考虑空箱调运时,最优超订水平会降低.
Conditional value-at-risk （CVaR） was applied to a study on overbooking problem of ocean shipping containers. An overbooking model of ocean shipping containers was proposed in the CVaR framework, and a set of equations for optimal overbooking levels were obtained by solving the model. The effects of risk aversion and empty container pick-up on optimal overbooking levels were analyzed. The analysis results show that the optimal overbooking level for a risk averse company depends on demand distribution and degree of risk aversion, and may not be less than that for a risk neutral one ; and optimal overbooking levels decline if empty container pick-up is considered.
出处
《西南交通大学学报》
EI
CSCD
北大核心
2007年第5期636-640,共5页
Journal of Southwest Jiaotong University
基金
四川省教育厅青年基金项目(2005B025)
关键词
集装箱班轮
条件风险价值
超订
模型
container liner
conditional value-at-risk （CVaR）
overbooking
model
