The worldwide development of the natural gas industry
resulted in an integration process between electrical and
gas sectors in several countries. In Brazil, this process has been
taking place in a consistent manner, especially on account of
the increase in gas consumption for industrial use and of the
installation of thermoelectric plants. Due to the predominance of
hydro plants in electric power generation, thermoelectric energy
production is basically dependent on hydrology and, as a result,
presents a wide annual variability. Consequently, the investment
applied to gas production and transportation infrastructure may
become under-utilized during a large part of the time; thus, it is
important to find mechanisms apt to improve its utilization. In
this respect, the present work investigates the creation of a flexible
market for gas, where contracts for flexible gas supply would be
offered to industrial users, who would receive the gas assigned
to thermal power plants when the latter are not dispatched, and
would resort to an alternate fuel when these plants are dispatched.
The attractiveness of such a contract would depend, of course, on
its price. The purpose of this work is to develop a stochastic model
for pricing flexible gas supply contracts, taking into account the
uncertainty associated to the supply-dependent on the dispatch
of the thermal power plants, which have the priority of use of the
gas-and the risk profile of potential consumers.
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