


Matthias Koenig, Joern Meissner


Abstract 

Consider a singleleg dynamic revenue management problem with fare classes controlled
by capacity in a riskaverse setting. The revenue management strategy aims at limiting
the downside risk, and in particular, valueatrisk. A valueatrisk optimised policy
oers an advantage when considering applications which do not allow for a large number
of reiterations. They allow for specifying a confidence level regarding undesired scenarios.
We introduce a computational method for determining policies which optimises the
valueatrisk for a given confidence level. This is achieved by computing dynamic programming
solutions for a set of target revenue values and combining the solutions in
order to attain the requested multistage riskaverse policy. We reduce the state space
used in the dynamic programming in order to provide a solution which is feasible and
has less computational requirements. Numerical examples and comparison with other
risksensitive approaches are discussed. 

Keywords 

Capacity Control, Revenue Management, Risk, ValueatRisk


Status 

Working Paper 

Download 

www.meiss.com/download/RMKoenigMeissner04.pdf (350 kb) 

Reference 

BibTeX,
Plain Text 



