  The roll-out of stochastic renewable energy sources (RES) undermines the
efficiency of power system and market operations. This paper proposes an
approach to derive electricity prices that internalize RES stochasticity. We
leverage a chance-constrained AC Optimal Power Flow (CC AC-OPF) model, which is
robust against RES uncertainty and is also aware of the resulting variability
(variance) of the system state variables. Using conic duality theory, we derive
and analyze energy and balancing reserve prices that internalize the risk of
system limit violations and the variance of system state variables. We compare
the risk- and variance-aware prices on the IEEE 118-node testbed.
