In the deregulated electricity market, one of the important decisions which a generation company(GenCo) has to make is to allocate generation asset among the spot market, the bilateral contract and the option contract. To deal with the severe uncertainty in spot market prices, by adopting a risk management technology based on the information gap decision theory(IGDT), a robust model is proposed for risk-averse GenCo's generation asset allocation. Numerical examples are presented to illustrate the reasonableness and effectiveness of the proposed method. It is shown that the proposed method can help the GenCo to assess the robustness of its generation allocation strategies against spot price fluctuation under different expected profits. A risk-averse GenCo can thus evaluate different generation allocation strategies and employ an appropriate strategy to guarantee its expected profit.