  In electricity markets, it is sensible to use a two-factor model with mean
reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU)
process driven by a Brownian motion and accounts for the small variations. The
other factor is an OU process driven by a pure jump L\'evy process and models
the characteristic spikes observed in such markets. When it comes to pricing, a
popular choice of pricing measure is given by the Esscher transform that
preserves the probabilistic structure of the driving L\'evy processes, while
changing the levels of mean reversion. Using this choice one can generate
stochastic risk premiums (in geometric spot models) but with
(deterministically) changing sign. In this paper we introduce a pricing change
of measure, which is an extension of the Esscher transform. With this new
change of measure we also can slow down the speed of mean reversion and
generate stochastic risk premiums with stochastic non constant sign, even in
arithmetic spot models. In particular, we can generate risk profiles with
positive values in the short end of the forward curve and negative values in
the long end. Finally, our pricing measure allows us to have a stationary spot
dynamics while still having randomly fluctuating forward prices for contracts
far from maturity.
