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ADVANCES IN INDUSTRIAL ENGINEERING AND MANAGEMENT
ISSN:2222-7059 (Print);EISSN: 2222-7067 (Online)
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Title : Coordinating the Decisions of a Risk-Averse Supplier and a Risk-Averse Retailer in Terms of Conditional Value-at-Risk
Author(s) : Jianwu Sun
Author affiliation : Department of Mathematics, Binzhou University, Binzhou, China
Corresponding author img Corresponding author at : Corresponding author img  

Abstract:
Based on the CVaR measure, this paper introduces a Cooperation and Competition model for the risk management of the two-stage supply chain. It is supposed that both the supplier and the retailer are risk-averse and their objectives are to minimize their own CVaR (Conditional Value-at-Risk) objective instead of the expected profit. We introduce an optimal equilibrium solution to this model, which implies the supplier and the retailer should give up a same value no more than for their cooperation. It is proved that the optimal equilibrium solution can be obtained by solving a corresponding mathematical programming problem. Numerical results show that this method is efficient to improve the risk management of the two-stage supply chain.

Key words:Conditional value-at-risk; equilibrium solution; supply chain management; risk management

Cite it:
Jianwu Sun, Coordinating the Decisions of a Risk-Averse Supplier and a Risk-Averse Retailer in Terms of Conditional Value-at-Risk, Advances in Industrial Engineering and Management, vol. 4, no. 1, 2015, pp. 71-78, doi: 10.7508/aiem.2015.01.007

Full Text : PDF(size: 327.05 kB, pp. 71-78, Download times:345)

DOI : 10.7508/aiem.2015.01.007

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