Diez, FranziskaFranziskaDiezKorn, RalfRalfKorn2022-03-062022-03-062020https://publica.fraunhofer.de/handle/publica/26318210.1007/s13385-019-00214-0We consider two aspects of Vasicek interest rate models arising from chance-risk classification of German pension products. First, we show that the two-factor Vasicek model can explain significantly more effects that are observed at the market than its one-factor variant. Among them are humped shapes independent of the interest rate level and the occurrence of dipped yield curves. We further introduce a general change of measure framework for the Monte Carlo simulation of the Vasicek model under a subjective measure. In chance-risk classification it can then be used to avoid the occurrence of a far too high frequency of inverse yield curves with growing time.en003006519journal article