In a competitive market where all producers must participate in the market, WPPs (wind power producers) face two sources of uncertainty: (i) future market prices, and (ii) their production capability in coming hours. In this paper a risk-constrained optimal self-scheduling method for a WPP considering the uncertainty associated with market prices and wind generation is proposed. IGDT (Information Gap Decision Theory) is used to address theses uncertainties in WPP's self-scheduling. The proposed IGDT-based model is a bilevel programming approach, which is transformed to an equivalent single level bilinear programming model that can be solved using available solvers. Numerical simulations and discussions are provided. (C) 2015 Elsevier Ltd. All rights reserved.