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• W3037996972 abstract "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]." @default.
• W3037996972 created "2020-07-02" @default.
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• W3037996972 date "2020-06-25" @default.
• W3037996972 modified "2023-09-27" @default.
• W3037996972 title "Reduced-form setting under model uncertainty with non-linear affine processes" @default.
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• W3037996972 hasPublicationYear "2020" @default.
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