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研究生： 陳佩誼
Pei-yi Chen
論文名稱： 當供應商面臨一個未知的風險趨避零售商下制定保險合約組合
Portfolio setting of insurance contracts when facing a retailer with unknown risk preference
指導教授： 曾富祥
Fu-Shiang Tseng
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 工業管理研究所
Graduate Institute of Industrial Management
畢業學年度： 99
語文別： 英文
論文頁數： 36
中文關鍵詞： 報童問題 、協同機制 、均異分析
外文關鍵詞： Coordination Mechanism, Newsvendor Problem, Mean-Variance analysis
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    • 供應鏈的協同合作已在許多論文中被廣泛的討論，部份的文獻是假設其情境為風險中立的供應鏈成員。然而，風險態度除了中立態度之外，尚有偏好及趨避兩種風險態度，單以風險中立態度是無法完整呈現供應鏈成員的行為。因此，在本研究中，我們在報童模型下討論當供應商面臨風險趨避零售商時，如何達成通路協調消弭雙邊際效應。為了達成供應鏈的協同合作，許多學者發展了許多協同機制，例如，營收分享契約、回購契約以及數量折扣等等。
    在本研究中，我們假設供應鏈中成員為供應商及零售商各一位。此外，我們設定了三個情境及二種類型的協同契約，藉此呈現當供應商面臨風險中立及風險趨避零售商時利潤的差異。一般而言，相較於風險中立的零售商，風險趨避的零售商在面對不確定需求量的情形下，訂購量較少。然而，較少的訂購量將使得供應商的獲利相對減少。為因應供應商此問題，本研究的討論重點是由供應商提供一份契約組合給零售商，並藉由此機制設計誘因給零售商，使其願意接受契約，同時達成協同合作下的最適訂購量。

    Coordination of supply chain has been widely discussed in many research. Some of them only discussed the situation of risk-neutral agents. However, the assumption of risk-neutral seems to be inadequate for the supply chain in reality. Hence, in this study, we discussed the newsvendor model with risk-averse retailer. To eliminate the double marginalization, scholars extended many methods. Such as, revenue sharing contract, buyback contract, quantity discount and so on.
    In our study, we assume that supply chain with one supplier and one retailer. Besides, we set three scenarios and two types of contract to identify the profits of risk-neutral and risk-averse retailer. In most cases, the risk-averse retailer will order less than the risk-neutral one. The lesser order quantity causes the lesser profits of supplier. Our study is focusing on dealing with the problem about the risk-aversion. Hence, the supplier gives the risk-averse retailer some incentive to order more. The way we measure the risk-aversion is mean-variance analysis, which is widely applied in the supply chain management, the economics, and the financial. Our goal is finding a suitable portfolio of insurance contracts offered by the supplier to maximize the supplier’s profit and the retailer will choosing the unique contract of the portfolio.

    中文摘要 i Abstract ii Contents iii 1. Introduction 1 1.1. Background/Motivation 1 1.2. Research objectives 3 2. Literature Review 4 2.1. Newsvendor Problem 4 2.2. Coordination Mechanism 5 2.3. Mean-Variance Analysis 6 3. Model and Analysis 7 3.1. Scenario 0 — the original newsvendor contract (ONC) with risk-neutral supplier and retailer 12 3.2. Scenario 1 — the original newsvendor contract (ONC) with risk-neutral supplier and risk-averse retailer 13 3.3. Scenario 2 — the portfolio of insurance contracts (PIC) with risk-neutral supplier and risk-averse retailer 15 3.4. Discrete portfolio of contract apply to continuous risk parameter k 18 4. Numerical Example 20 4.1. Discrete Risk Parameter k 20 4.2. Continuous Risk Parameter k 22 5. Sensitivity Analysis 24 5.1. The scale of risk parameter k 24 5.2. The setting of , the scale of B 25 5.3. The wholesale price (w1) of the 1st contract 26 6. Conclusion and Future Research 28 6.1. Conclusion 28 6.2. Future research 29 Reference 31 Appendix: Proof of Lemma 33

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