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In this paper we extend the reduced-form setting under model uncertaintyintroduced in [5] to include intensities following an affine process underparameter uncertainty, as defined in [15]. This framework allows to introduce alongevity bond under model uncertainty in a consistent way with the classicalcase under one prior, and to compute its valuation numerically. Moreover, weare able to price a contingent claim with the sublinear conditional operatorsuch that the extended market is still arbitrage-free in the sense of "NoArbitrage of the first kind" as in [6].

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