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In a liberalised market, the risks associated with the investments can no longer be passed to consumers through system charges. The investors in generators have to judge their investments by means of investment indicators. The large uncertainties that are present in the electricity market means large risk for the investors. Since investors mostly behave risk averse, the risk averse indicators become relevant. The large uncertainties together with risk averse behaviour of the investors can lead to underinvestment leading to generation adequacy problems. A solution to this problem is to add a capacity mechanism to the current energy-only market. The capacity remuneration gives the investor a certain revenue leading to a reduction of risk. The capacity mechanism does not only give sufficient incentives for investment. It improves the indicators for the other markets players, like the consumers, system operator and policy makers. The research is done by first analysing the deterministic case. In the deterministic case there is perfect information about all parameters leading to one possible outcome. This outcome is the most cost efficient. Then different scenarios are introduced. These scenarios represent the different uncertainties that are present in the electricity markets. These scenarios are used in the stochastic case. In the stochastic case different outcomes are possible while the installed capacity remains constant in all different scenario outcomes. The stochastic case is split up into two parts. The risk neutral case which use the real probabilities of the scenario outcomes while the risk averse case uses the risk adjusted probabilities to determine the optimal capacity.