Revenue management aims to sell the right product to the right customer at the right time. Airline industry has a leading role in revenue management. Overbooking is a profitable strategy which is widely used by airline firms. In this setting, an airline firm needs to make critical decisions such as to accept a customer request for a seat in a specific time or to overbook a request in order to manage its revenue. This problem has been modelled using Markov Decision Processes. In the literature, control limit policy for risk neutral models is a well-studied subject. In this study, our aim is to show whether a control limit policy exists for single-leg risk-averse model with overbooking, cancellation and no-shows under coherent measures of risk.
Keywords: Revenue Management, Risk-Averse Markov Decision Processes, Control Limit