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 05:28:00 -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