  Increased penetration of wind energy will make electricity market prices more
volatile. As a result, market participants will bear increased financial risks,
which impact investment decisions and in turn, makes it harder to achieve
sustainable energy goals. As a remedy, in this paper, we propose an insurance
market that complements any wholesale market design. Our mechanism can be run
by any suitable financial entity such as an independent system operator, with
the aim of reducing the financial impacts of volatile prices. We provide
theoretical guarantees, analytically characterize the outcomes over a
copperplate power system example, and numerically explore the same for a
modified IEEE 14-bus test system.
