the caterpillars are called woolly bears because they are so very hairy. They feed on ragwort which in NZ (I don't know about Europe) is a noxious pest and cinnabar moths were introduced here to try and control it. I've seen the caterpillars but I've never seen an adult moth.
Are you sure about the caterpillars because I'm quite sure they are yellow-black striped and not that hairy ? Will up-load a picture of what I think is a caterpillar of this species.
The caterpillers have little to no hair they are yellow and black as you say VC. to show they aren't good to eat, they store toxins from the ragwort plant in their bodies to act as a further defence ragwort being a toxic plant if ingested.
I found hundreds of them 2 years ago munching through ragwort in a local field, but since then haven't found any they seem to be an all or nothing species.
They also pupate on the ground so the damp winters/summer we have had of late may not be to their liking either.
oh, you guys are quite right sorry. In NZ the native magpie moth also feeds on ragwort and their caterpillars are the ones called woolly bears. So in fact I haven't seen either moth or caterpillar of the cinnabar moth, but I have seen the moths and caterpillars of magpie moths. http://www.landcareresearch.co.nz/__data/assets/pdf_file/0014/20534/Ragwort_Cinnabar_Moth.pdf
