Before revision:   We assume that the stock price process dynamics depends on an exogenous unobservable stochastic factor and that at any time, investors may observe the risky asset price and know if default has occurred or not .
After revision:  We assume that the stock price process dynamics depends on an exogenous unobservable stochastic factor that also influences the mortality rate of the policyholder. To allow for mutual dependence between the financial and the insurance markets, we use the progressive enlargement of filtration approach .