Models and methods for electricity and gas markets in a low-carbon economy

Human activity is overloading the atmosphere with carbon dioxide and other greenhouse gas emissions, which trap heat and drive up the planet temperature, resulting in a negative impact on our health, environment and climate. Governments are considering actions to curb climate change; under this framework both electricity and gas market will face important transformations. In the first part of this thesis, two planning models to efficiently integrate renewable and storage units in electric energy system are proposed. Among the actions carried out to mitigate greenhouse gas emissions, increasing renewable energy penetration is one of the most important. This implies dealing with more variability which represent a challenge for the power system. Therefore more backup capacity is needed. Possible solutions include increasing reserves, which are supplied by dispatchable units such as thermal plants, or storage capacity, which provides flexibility to system and represent an environmentally friendly solution. In the second part, issues related to the European gas procurement are also analyzed. A significant fraction of European gas supply depends on import from foreign countries and is linked to long-term contract. For these reasons, a particular emphasis is posed on both the possible re-negotiation of the long-term natural gas contracts and on the security of supply of the Italian gas market. The renegotiation problem is tackled by estimating the dependence risk and the optimal resource allocation of the underlying assets of a gas long-term contract through pair-vine copulas and portfolio optimization methods with respect to different risk measures, respectively. An optimization problem that describes the equilibrium state of a gas supply chain where producers, mid-streamers, and final consumers exchange natural gas and Liquefied Natural Gas is instead developed to analyze the security of the Italian supplies.