Risk-averse decision making in overbooking problem / H. Xiong in Journal of the operational research society (JORS), Vol. 62 N° 9 (Septembre 2011)  

Public ISBD [article]  inJournal of the operational research society (JORS) > Vol. 62 N° 9 (Septembre 2011) . - pp. 1655–1665 Titre : Risk-averse decision making in overbooking problem Type de document : texte imprimé Auteurs : H. Xiong, Auteur ; J. Xie, Auteur ; X. Deng, Auteur Année de publication : 2011 Article en page(s) : pp. 1655–1665 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Revenue management Risk-averse Overbooking Marketing Inventory Index. décimale : 001.424 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 [article] Risk-averse decision making in overbooking problem [texte imprimé] / H. Xiong, Auteur ; J. Xie, Auteur ; X. Deng, Auteur . - 2011 . - pp. 1655–1665. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 62 N° 9 (Septembre 2011) . - pp. 1655–1665 Mots-clés : Revenue management Risk-averse Overbooking Marketing Inventory Index. décimale : 001.424 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

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