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This paper proposes electricity insurance pricing for bilateral contract market, which is supervised by the independent system operation (ISO). The ISO controls all transactions occurring in the system as well as it can curtail some transactions in case there exists a congestion problem. The pricing scheme is based on the fair game principle. We use Monte Carlo simulation to generate contingency events; and use them to price the fair insurance premium. Application of this method to IEEE RTS-79 test system is shown as an example.