<p style='text-indent:20px;'>In this paper we extend the reduced-form setting under model uncertainty introduced in [<xref ref-type="bibr" rid="b5">5</xref>] to include intensities following an affine process under parameter uncertainty, as defined in [<xref ref-type="bibr" rid="b15">15</xref>]. 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 [<xref ref-type="bibr" rid="b6">6</xref>].</p>

中文翻译：

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具有非线性仿射强度的模型不确定性下的简化形式设置

<p style='text-indent:20px;'>在本文中，我们扩展了 [<xref ref-type="bibr" rid="b5">5</xref>] 中引入的模型不确定性下的简化形式设置包括在参数不确定下仿射过程之后的强度，如 [<xref ref-type="bibr" rid="b15">15</xref>] 中所定义。该框架允许我们在模型不确定性下以与先验条件下的经典案例一致的方式引入长寿债券，并以数字方式计算其估值。此外，我们使用次线性条件算子对或有债权进行定价，使得扩展市场在“没有第一类套利”的意义上仍然是无套利的，如 [<xref ref-type="bibr" rid="b6 ">6</xref>].</p>