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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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220007351 | ||
| 003 | MAP | ||
| 005 | 20220301123904.0 | ||
| 008 | 220301e20210607esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20220002288$aDiez, Franziska | |
| 245 | 1 | 0 | $aCorrection to$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 | |
| 700 | 1 | $0MAPA20110010232$aKorn, Ralf | |
| 773 | 0 | $wMAP20220007085$tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022$g07/06/2021 Número 1 - junio 2021 , p. 341-347 |