计算机科学
运筹学
采购
项目管理
风险分析(工程)
运营管理
业务
经济
数学
管理
作者
Huachun Xiong,Jinxing Xie,Xiaoxue Deng
标识
DOI:10.1057/jors.2010.130
摘要
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.
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