| This dissertation presents models for integrated energy risk management for electric utility companies (EUCs). First, two fundamental market factors in deregulated electricity markets (electricity demand and price) are proposed and detailed studies of the correlation between electricity load and natural gas price reveals some interesting results. Second, an optimal natural gas supply selection framework based on modern utility theory is proposed. The framework is the first integrated risk management model to address the optimal fuel supply problem, which has been much more difficult and critical to EUCs in deregulated electricity markets. The framework can be extended for use in various time frame and as a benchmarking tool for trader's strategy. Thirdly, a framework to determine the feasible structures and find out the optimal insurance on generation forced outages (IGFO) contracts for EUCs is developed and its benefits to EUCs are discussed. |
