Fraunhofer-Gesellschaft

Publica

Hier finden Sie wissenschaftliche Publikationen aus den Fraunhofer-Instituten.

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

Correction to: European Actuarial Journal https://doi.org/10.1007/s13385-019-00214-0
 
: Diez, F.; Korn, R.

:

European actuarial journal (2021), Online First, 8 pp.
ISSN: 2190-9733
ISSN: 2190-9741
English
Journal Article
Fraunhofer ITWM ()

Abstract
Due to an error in the proof of Lemma 1 in the appendix of [1], 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 [1], we will reformulate Theorem 4 slightly and then give the corrected proof for humped and dipped yield curves.

: http://publica.fraunhofer.de/documents/N-637225.html