Stochastic Comparisons Of Inventoryand Supply Chain Under Conditionalvalue-at-Risk

Under the globalization of economics, market competition has transformed from the competition among individual enterprise into the competition in the supply chain of these enterprises. However, turbulent market environment brings various of risk to the supply chain and its memebers. The traditional qualitative description of the supply chain risks can not provide enough support for decision-making. Therefore, it is necessary for us to adopt risk measurement to quantify risks faced by the supply chain.Based on the coherent risk measurement—Conditional Value-at-Risk, we study the newsvendor problem and supply chain coordination issues when facing random demand and sales effort dependent demand. First, with the stockout cost considered, we give the optimal order quantity and optimal cost and profit of the newsvendor facing random demand, then explore the effects of risk-averse level on the optimal decisions and objective functions. Furthermore, with the stochastic comparison method, the effects of demand on the system are examined. Second, as to the newsvendor facing sales effort dependent demand, we give the optimal effort level and order quantity on the assumption of general demand function, then analyze the influence that risk-averse level exerts on the optimal decisions. We find risk-averse attitude does not necessarily lead to lower effort level and order quantity, which are closely related to the properties of demand function. With the stochastic comparison method, we analyze how the demand uncertainty affects the system. Third, for the risk-averse supply chain composed of a risk-neutral supplier and a risk-averse retailer, we examine the wholesale price contract in the supply chain with a random demand, providing the dominating factors to the contract parameters. Our research indicates the wholesale price contract still fails to coordinate the risk-averse supply chain. Then we introduce a coordinating contract—sales and penalty contract. For the risk-averse supply chain with sale-effort dependent demand, we prove the commonly used contracts are not valid. However, the buyback contract with sales and penalty can coordinate the supply chain.