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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
Section: Articles
Title: Correction to : Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products / Franziska Diez, Ralf KornAuthor: Diez, Franziska ‌
Notes: Sumario: 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.Related records: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Número 1 - junio 2021 , p. 341-347Materia / lugar / evento: Simulación ‌Pensiones ‌Cálculo actuarial ‌Otros autores: Korn, Ralf ‌
Other categories: 6
Rights: In Copyright (InC)
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