  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 to introduce a
longevity bond under model uncertainty in a consistent way with the classical
case under one prior, and to compute its valuation numerically. Moreover, we
are able to 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].
