| Titre : | Risk-averse decision making in overbooking problem (2011) |
| Auteurs : | H. Xiong, Auteur ; J. Xie, Auteur ; X. Deng, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Journal of the operational research society (JORS) (Vol. 62 N° 9, Septembre 2011) |
| Article en page(s) : | pp. 1655–1665 |
| Note générale : | Recherche opérationnelle |
| Langues : | Anglais |
| Index. décimale : | 001.424 |
| Tags : | Revenue management Risk-averse Overbooking Marketing Inventory |
| Résumé : | Traditional literature studying overbooking problems focuses on risk-neutral decision makers. In this paper, we propose a multi-period overbooking model incorporating risk-aversion and extend well-known structural results (the 3-region policy) under the risk-neutral case to the risk-averse one on the basis of an exponential utility function. We also show that the optimal policy for the risk-neutral decision maker can be obtained by letting the risk-aversion parameter approach to zero under the risk-averse case. Therefore, the extant results under the risk-neutral case can be interpreted as a special case of ours. We also investigate how the optimal policy changes with some cost parameters and the decision maker's degree of risk-aversion. Numerical results suggest that the optimal bounds in the 3-region policy may increase or decrease with the decision maker's degree of risk-aversion. |
| DEWEY : | 001.424 |
| ISSN : | 0160-5682 |
| En ligne : | http://www.palgrave-journals.com/jors/journal/v62/n9/abs/jors2010130a.html |
