供应突发事件下基于CVaR的供应链订货决策及协调

Supply Chain Ordering Decision and Coordination Mechanism Based on CVa R under Supply Disruption

供应突发事件下,引入条件风险值(conditional value at risk-CVa R)刻画了零售商的运营目标,构建了收益共享契约下的供应链订货模型,着重研究了CVa R下的供应链协调及零售商最优订货量对供应商可靠性及对其自身的风险规避系数的敏感性。研究表明:收益共享契约具有一定的鲁棒性,能协调突发事件风险下的供应链;风险规避型零售商的最优订货量总是不小于风险中性情况,且风险规避程度越高,订货量越大;最优订货量对供应商可靠性均值的敏感性不依赖于零售商的风险规避程度,且均值越小,最优订货量越大,这与风险中性情况是类似的;最优订货量对供应商可靠性标准差的敏感性则依赖于零售商的风险规避程度,当零售商的风险规避程度较高时,供应可靠性标准差越大,最优订货量越大,这与风险中性情况是相反的。

Unexpected events are occurring more frequently and creating a series of supply chain risks to companies, such as supplier risk. Supplier risk is originated from strike, fire, natural disasters and other emergencies, which can interrupt supply chain operations and create operational risk to companies in the downstream supply chain. Under disruption risk, ex post coping method （after disruption） is limited by the lack of emergency resources, the urgency of the emergency response time and inadequate emergency plan due to the personalized eharaeteristie of products and components. Thus, ex ante coping method （prior to disruption） is very important for decision-makers. With the increasingly frequent occurrence of unexpected events and their serious consequences, decision makers become more conservative, and their behaviors can change buyer＇s ordering strategy. To serve the market, the retailer needs to consider the uncertainty of supply and demand for ordering decisions before production and selling seasons, and coordinate supply chain by the means ofreveune sharing contract. The research mainly studies the retailer＇s optimal order quantity and the eondition of supply chain coordination. In the first part, this paper assumes that two supply chain agents＇ attitude is risk neutral, and studies a two-echelon supply chain coordination model with one supplier and one retailer in the newsvendor problem context. In the second part, we consider that retailer＇s risk attitude may be converted to risk averse from risk neutral in the face of the risk of unreliable supply or serious supply disruption because the supplier is unreliable as a result of unexpeeted events. As the most used two criteria in the domain of finance risk measurement, VaR and CVaR can be used to describe decision-maker＇s risk-averse attitude. Compared to VaR, CVaR can measure the average loss that is beyond fl -quartile which VaR ignores. At the same time, the average loss that is beyond fl -quartile is exactly what decision-makers are concerned in the face of unexpected events. In this pan, we introduce CVaR to depict the retailer＇s operation goal under supply disruption, and establish revenue sharing contract model to achieve supply chain coordination. We mainly study the retailer＇s optimal order quantity and the condition of supply chain coordination under CVaR criterion. In the third pan, we analyze the retailer＇s optimal order quantity＇ sensitivity, the mean value of supplier reliability, supplier reliability＇s standard deviation, and the retailer＇s risk aversion coefficient. In addition, this study compares supply chain optimal order quantity under both the risk-neutral case and the risk-averse case （CVaR criterion）. The results show that revenue sharing contract has a certain degree of robustness, and can coordinate the supply ehain under disruption. Risk-averse retailer＇s optimal quantity is always no less than risk-neutral case. The higher the degree of risk aversion, the greater the quantity is. The quantity is decreasing in supplier reliability＇s mean which is analogous to the risk neutral case, and, the sensitivity to supplier reliability mean value does not depend on the coefficient of risk aversion. While the degree of risk aversion is high, the quantity is increasing within supplier reliability＇s standard deviation which is contrary to risk neutral case. Our findings show that the retailer is sensitive to the volatility of supply reliability when the coefficient of risk aversion reaches a certain threshold. When the volatility of supplier reliability is high, the retailer always increases order quantity in order to avoid the supply risk.