Reduced-form setting under model uncertainty with non-linear affine intensities

In this paper we extend the reduced-form setting under model uncertainty introduced in [5] to include intensities following an affine process under parameter uncertainty, as defined in [15]. This framework allows us to introduce a longevity bond under model uncertainty in a way consistent with the classical case under one prior and to compute its valuation numerically. Moreover, we price a contingent claim with the sublinear conditional operator such that the extended market is still arbitrage-free in the sense of “no arbitrage of the first kind” as in [6].