Subject: Outage Pricing Model Revision : Allowing for power price vs. outage correlation
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Tue, 10 Apr 2001 15:28:00 -0700 (PDT)

I have included provision for providing rank correlation between "jump occurrence in daily average power price" and "outage occurrence".  The model will provide the same claim distribution as before when PriceVsOutage Correlation = 0 is used.  Claim goes up as the correlation is increased.  I have performed some sensitivity analysis and the results seem to make sense.  

The new model workbook is "OutagePricingModel040901.xls" and corresponding dll is "OutagePricing040901.dll", both located in O:\GRM\RESEARCH\OUTAGERISK\  subdirectory.  The price vs. outage rank correlation input will need to be provided in "MAIN" spreadsheet.  Please call me if you have any questions.

-Amitava