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

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      <subfield code="a">Diez, Franziska</subfield>
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      <subfield code="a">Correction to</subfield>
      <subfield code="b">: Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products</subfield>
      <subfield code="c">Franziska Diez, Ralf Korn</subfield>
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      <subfield code="a">Due 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.</subfield>
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      <subfield code="a">Simulación</subfield>
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      <subfield code="a">Pensiones</subfield>
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      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
      <subfield code="g">07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 341-347</subfield>
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