Dissertation
Revenue management in the Presence of Shifts in Customers' Reservation Price
Doctor of Philosophy (PhD), Washington State University
01/2020
Handle:
https://hdl.handle.net/2376/111035
Abstract
This dissertation considers the problem of characterizing the distribution of maximum likelihood estimate (MLE) of a single changepoint in a sequence of independent time-ordered Bernoulli random variables. We study the asymptotic properties of the changepoint model and derive the distribution of the MLE of the changepoint. We propose two approximations and present an algorithmic procedure to assist with the numerical computation of the asymptotic distribution. Simulation results show that the two approximations to the distribution of the estimate precisely match the empirical distribution of the MLE. Furthermore, numerical studies show that the proposed algorithmic procedure accurately estimates the distribution of the changepoint over a wide range of sample sizes and process parameters. Motivated by real-life pricing practices, we also consider a pricing problem under uncertain conditions where the customers' willingness-to-pay (WtP) distribution changes at an unknown point over the selling horizon. An important feature of our model is that the seller only observes the sales outcomes and has limited knowledge of the underlying WtP distribution before and after the change. Given the uncertainty associated with the seller's estimate of the intervention time, we derive exact expressions for the probability mass function of the seller's MLE of the intervention time. Furthermore, we characterize the seller's expected revenue loss due to under- or overestimation of the intervention time and propose an easily implementable procedure to compute the seller's revenue under-performance. While our analytical results significantly contribute to the revenue management literature on their own, our pricing method improves the online sellers' revenue performance and provides a series of price recommendations for managerial use.
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Details
- Title
- Revenue management in the Presence of Shifts in Customers' Reservation Price
- Creators
- Mohammad Sadegh Kazemi Zarkouei
- Contributors
- Stergios B. Fotopoulos (Advisor)Charles L. Munson (Committee Member)Sung K. Ahn (Committee Member)
- Awarding Institution
- Washington State University
- Academic Unit
- Carson College of Business
- Theses and Dissertations
- Doctor of Philosophy (PhD), Washington State University
- Number of pages
- 112
- Identifiers
- 99900581611401842
- Language
- English
- Resource Type
- Dissertation