Overbooking Model of Ocean Shipping Container under CVaR
-
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.Abstract: 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.
-
Key words:
- container liner /
- conditional value-at-risk(CVaR) /
- overbooking /
- model
-
HA D W.Capacity management in the container shipping industry:the application of yield management techniques[D].Knoxville:The University of Tennessee,1994.[2] 祥智.基于收益管理的集装箱班轮舱位分配随机模型研究[D].成都:西南交通大学,2005.[3] 李冰州,陈旭,武振业.基于收益管理的海运集装箱舱位定价与分配[J].系统工程,2005,23(12):69-73.LI Bingzhou,CHEN Xu,WU Zhenye.Pricing and slot allocation for container shipping based on revenue management[J].Systems Engineering,2005,23(12):69-73.[4] 陈春益,李启安.货柜航商收益管理之研究——以舱位分配为例[R].台湾:国立成功大学交通管理科学研究所,2002:1-18.[5] STIDHAM S,Lautenbacher.Airline yield management with overbooking cancellations and no-shows[J].Transportation Science,1999,33(2):147-167.[6] KASILINGAM R G.An economic model for air cargo overbooking under stochastic capacity[J].Computers IndustrialEngineering,1997,32(1):221-226.[7] CHATWIN R E.Multi-period airline overbooking with a single fare class[J].Operations Research,1998,46 (6):805-819.[8] LADANY S P,ARBEL A.Optimal cruise-liner passenger cabin pricing policy[J].European Journal of OperationalResearch,1991,55(2):136-147.[9] 李冰州,武振业,卜祥智.能力随机的海运集装箱收益管理超订模型[J].西南交通大学学报,2006,41(4):501-506.LI Bingzhou,WU Zhenye,BU Xiangzhi.Overbooking model for revenue management of ocean shipping containers under stochastic capacity[J].Journal of Southwest Jiaotong University,2006,41 (4):501-506.[10] 李冰州,武振业,叶子荣.集装箱海运收益管理超订模型研究[J].计算机应用研究,2006,23(11):19-21.LI Bingzhou,WU Zhenye,YE Zirong.Overbooking model of ocean shipping container revenue management[J].Application Research of Computers,2006,23(11):19-21.[11] FENG Youyi,XIAO Baichun.Maximizing revenues of perishable assets with a risk factor[J].Operations Research,1999,47(2):337-341.[12] 鞠彦兵,冯允成,王爱华.航空客运超售风险研究[J].北京航空航天大学学报,2002,28(5):593-596.JU Yanbing,FENG Yuncheng,WANG Aihua.Overbooking risk of civil aviation transportation[J].Journal of Beijing University of Aeronautics and Astronautics,2002,28(5):593-596.[13] 李晓花.航空公司客运收入管理动态定价与舱位控制的统一策略及其风险分析初探[D].成都:四川大学,2004.[14] GOTOH Junya,TAKANO Yuichi.Newsvendor solutions via conditional value-at-risk minimization[J].European Journal of Operational Research,2007,179 (1):80-96.[15] ROCKAFELLAR U.Optimization of conditional value-at-risk[J].Journal of Risk,2000,2(3):21-42.[16] ROCKAFELLAR U.Conditional value-at-risk for general loss distributions[J].Journal of Banking Finance,2002,26(7):1 443-1 471.
点击查看大图
计量
- 文章访问数: 1418
- HTML全文浏览量: 79
- PDF下载量: 388
- 被引次数: 0