Correction to: The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration

1 Correction to: European Actuarial Journal https://doi.org/10.1007/s13385-021-00260-7

1. Page 8, Section 3: Wrong notation in the step function for $d_x(t)$:

The function should be

$$\begin{aligned} d_x(t) = \mathbb {1}_{t\le \tau }d_x + \mathbb {1}_{t>\tau }l_x. \end{aligned}$$

2. Page 11, Section 3.3: Sign error in the equations for the absolute risk premium function for the linear case:

The functions should be

$$\begin{aligned} RP_x(t)&= \left( \left( e^{-a(t-\min (t,\tau ))}-e^{-at}\right) \left( 1+\frac{m_x}{a}\right) - e^{-a (t-\min (t,\tau ))}m_x\min (t,\tau )\right) d_x \\&\quad + \left( 1-e^{-a (t-\min (t,\tau ))}\right) l_x, \\ RP_y(t)&= \left( \left( e^{-b(t-\min (t,\tau ))}-e^{-bt}\right) \left( 1+\frac{m_y}{b}\right) - e^{-b (t-\min (t,\tau ))}m_y\min (t,\tau )\right) d_y \\&\quad + \left( 1-e^{-b (t-\min (t,\tau ))}\right) l_y. \end{aligned}$$