We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and ...We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately. Market search is measured as the fraction of customers who unsatisfied with their ＂local＂ retailer due to stock-out, and search for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash equilibrium of order strategies.展开更多
We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional va...We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional value-at-risk for random immediate reward variables in Markov decision processes, under whose risk measure criteria the risk-optimal policies are characterized by the optimality equations for the discounted or average case. As an application, the inventory models are considered.展开更多
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...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。展开更多
基金Supported by the National Natural Science Foundation of China (70471034, A0324666)
文摘We consider a distribution system with one supplier and two retailers. For the two retailers, they face different demand and are both risk averse. We study a single period model which the supplier has ample goods and the retailers order goods separately. Market search is measured as the fraction of customers who unsatisfied with their ＂local＂ retailer due to stock-out, and search for the goods at the other retailer before leaving the system. We investigate how the retailers game for order quantity in a Conditional Value-at-Risk framework and study how risk averse degree, market search level, holding cost and backorder cost influence the optimal order strategies. Furthermore, we use uniform distribution to illustrate these results and obtain Nash equilibrium of order strategies.
文摘We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced using conditional value-at-risk for random immediate reward variables in Markov decision processes, under whose risk measure criteria the risk-optimal policies are characterized by the optimality equations for the discounted or average case. As an application, the inventory models are considered.
文摘供应突发事件下,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。
