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Correction to : Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products

Recurso electrónico / Electronic resource
Registro MARC
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20220002288‎$a‎Diez, Franziska
24510‎$a‎Correction to‎$b‎: Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products‎$c‎Franziska Diez, Ralf Korn
520  ‎$a‎Due to an error in the proof of Lemma 1 in the appendix of the original article, the proof of the assertions (c) and (d) of Theorem 4 on the existence of humped and dipped yield curves in the two-factor Vasicek model needs a modification. However, the assertions stay valid. It can directly be realized that the proof of Lemma 1 holds for h:=f-g and not for h:=f+g as we falsely claimed. Consequently, Lemma 1 can not be applied. Using the notation of Section 3 in the original article, we will reformulate Theorem 4 slightly and then give the corrected proof for humped and dipped yield curves.
650 4‎$0‎MAPA20210010392‎$a‎Simulación
650 4‎$0‎MAPA20080552114‎$a‎Pensiones
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7001 ‎$0‎MAPA20110010232‎$a‎Korn, Ralf
7730 ‎$w‎MAP20220007085‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022‎$g‎07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 341-347