Edit Profile (opens in new tab) Overbeck, Ludger Co-Author Distance Author ID: overbeck.ludger Published as: Overbeck, Ludger; Overbeck, L. Documents Indexed: 38 Publications since 1992, including 4 Books and 1 Additional arXiv Preprint 2 Contributions as Editor Co-Authors: 27 Co-Authors with 29 Joint Publications 635 Co-Co-Authors all top 5 Co-Authors 11 single-authored 7 Kromer, Eduard 3 Bluhm, Christian E. 3 Härdle, Wolfgang Karl 3 Mandler, Christian 3 Röckner, Michael 3 Röder, Jasmin A. L. 2 Filipović, Damir 2 Schmidt, Thorsten 2 Wagner, Christoph K. J. 2 Zilch, K. 1 Ackermann, Julia 1 Biswas, Arunangshu 1 Chen, Cathy Yi-Hsuan 1 Choroś-Tomczyk, Barbara 1 Eberlein, Ernst W. 1 Frey, Rüdiger 1 Goswami, Anindya 1 Hautsch, Nikolaus 1 Kalkbrener, Michael 1 Kalkbrenner, M. 1 Kruse, Thomas 1 Ma, Zhi-Ming 1 Packham, Natalie 1 Schmidt, Wolfgang M. 1 Schmuland, Byron 1 Sokolova, Maria 1 Weckend, J. all top 5 Serials 3 Chapman & Hall/CRC Financial Mathematics Series 2 The Annals of Probability 2 Statistics & Probability Letters 2 Probability Theory and Related Fields 2 Stochastic Processes and their Applications 2 Mathematical Methods of Operations Research 2 International Journal of Theoretical and Applied Finance 1 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) 1 Scandinavian Journal of Statistics 1 Journal of Applied Probability 1 Osaka Journal of Mathematics 1 Operations Research Letters 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Random Operators and Stochastic Equations 1 Electronic Communications in Probability 1 Mathematical Finance 1 Quantitative Finance 1 Stochastics and Dynamics 1 Bonner Mathematische Schriften 1 Dependence Modeling 1 Statistics and Computing (Cham) 1 Probability, Uncertainty and Quantitative Risk all top 5 Fields 26 Probability theory and stochastic processes (60-XX) 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Statistics (62-XX) 2 General and overarching topics; collections (00-XX) 2 Operations research, mathematical programming (90-XX) 1 Potential theory (31-XX) 1 Functional analysis (46-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 33 Publications have been cited 265 times in 239 Documents Cited by ▼ Year ▼ Systemic risk measures on general measurable spaces. Zbl 1371.91200 Kromer, E.; Overbeck, L.; Zilch, K. 32 2016 An introduction to credit risk modeling. Zbl 1066.91055 Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph 27 2003 Estimation for continuous branching processes. Zbl 0905.62083 Overbeck, Ludger 26 1998 Markov processes associated with semi-Dirichlet forms. Zbl 0834.60086 Ma, Zhi-Ming; Overbeck, Ludger; Röckner, Michael 24 1995 An analytic approach to the Fleming-Viot processes with interactive selection. Zbl 0833.60053 Overbeck, Ludger; Röckner, Michael; Schmuland, Byron 18 1995 Allocation of economic capital in loan portfolios. Zbl 0958.91019 Overbeck, Ludger 18 2000 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266 Kromer, Eduard; Overbeck, Ludger 18 2017 Dynamic CDO term structure modeling. Zbl 1229.91306 Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten 15 2011 Introduction to credit risk modeling. 2nd ed. Zbl 1207.91001 Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph 13 2010 Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle. Zbl 1444.60046 Overbeck, Ludger; Röder, Jasmin A. L. 9 2018 Structured credit portfolio analysis, baskets & CDOs. Zbl 1104.91030 Bluhm, Christian; Overbeck, Ludger 7 2007 Conditioned super-Brownian motion. Zbl 0792.60037 Overbeck, L. 6 1993 Representation of BSDE-based dynamic risk measures and dynamic capital allocations. Zbl 1309.91150 Kromer, Eduard; Overbeck, Ludger 6 2014 Option pricing in a regime switching stochastic volatility model. Zbl 1393.91131 Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger 6 2018 Feynman-Kac for functional jump diffusions with an application to credit value adjustment. Zbl 1330.60098 Kromer, E.; Overbeck, L.; Röder, J. A. L. 5 2015 Pathwise construction of additive \(H\)-transforms of super-Brownian motion. Zbl 0813.60046 Overbeck, L. 4 1994 Martin boundaries of some branching processes. Zbl 0807.60079 Overbeck, Ludger 4 1994 On the predictable representation property for superprocesses. Zbl 0831.60055 Overbeck, L. 3 1995 Dynamic systemic risk measures for bounded discrete time processes. Zbl 1426.91307 Kromer, E.; Overbeck, L.; Zilch, K. 3 2019 Nonlinear superprocesses. Zbl 0869.60042 Overbeck, L. 2 1996 Geometric aspects of finite and infinite-dimensional Fleming-Viot processes. Zbl 0880.60087 Overbeck, Ludger; Röckner, Michael 2 1997 Some aspects of the Martin boundary of measure-valued diffusions. Zbl 0806.60037 Overbeck, Ludger 2 1994 Mathematics in financial risk management. Zbl 1154.91030 Eberlein, E.; Frey, R.; Kalkbrenner, M.; Overbeck, L. 2 2007 Asymptotic behaviour of multivariate default probabilities and default correlations under stress. Zbl 1345.60032 Packham, N.; Kalkbrener, M.; Overbeck, L. 2 2016 Path-dependent BSDEs with jumps and their connection to PPIDEs. Zbl 1370.60099 Kromer, Eduard; Overbeck, Ludger; Röder, Jasmin A. L. 2 2017 Applied quantitative finance. 2nd ed. Zbl 1145.91005 2 2009 Uniqueness of the Fleming-Viot process with selection. Zbl 0844.60059 Overbeck, Ludger 1 1995 Effects of regime switching on pricing credit options in a shifted CIR model. Zbl 1383.62250 Overbeck, L.; Weckend, J. 1 2017 Multivariate Markov families of copulas. Zbl 1335.60134 Overbeck, Ludger; Schmidt, Wolfgang M. 1 2015 Copula dynamics in CDOs. Zbl 1402.91765 Choroś-Tomczyk, Barbara; Härdle, Wolfgang Karl; Overbeck, Ludger 1 2014 Risk measurement with spectral capital allocation. 2nd ed. Zbl 1258.91109 Overbeck, Ludger; Sokolova, Maria 1 2009 A functional Itō-formula for Dawson-Watanabe superprocesses. Zbl 1480.60253 Mandler, Christian; Overbeck, Ludger 1 2022 A note on optimal risk sharing on \(L^p\) spaces. Zbl 1408.91101 Kromer, Eduard; Overbeck, Ludger 1 2016 A functional Itō-formula for Dawson-Watanabe superprocesses. Zbl 1480.60253 Mandler, Christian; Overbeck, Ludger 1 2022 Dynamic systemic risk measures for bounded discrete time processes. Zbl 1426.91307 Kromer, E.; Overbeck, L.; Zilch, K. 3 2019 Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle. Zbl 1444.60046 Overbeck, Ludger; Röder, Jasmin A. L. 9 2018 Option pricing in a regime switching stochastic volatility model. Zbl 1393.91131 Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger 6 2018 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266 Kromer, Eduard; Overbeck, Ludger 18 2017 Path-dependent BSDEs with jumps and their connection to PPIDEs. Zbl 1370.60099 Kromer, Eduard; Overbeck, Ludger; Röder, Jasmin A. L. 2 2017 Effects of regime switching on pricing credit options in a shifted CIR model. Zbl 1383.62250 Overbeck, L.; Weckend, J. 1 2017 Systemic risk measures on general measurable spaces. Zbl 1371.91200 Kromer, E.; Overbeck, L.; Zilch, K. 32 2016 Asymptotic behaviour of multivariate default probabilities and default correlations under stress. Zbl 1345.60032 Packham, N.; Kalkbrener, M.; Overbeck, L. 2 2016 A note on optimal risk sharing on \(L^p\) spaces. Zbl 1408.91101 Kromer, Eduard; Overbeck, Ludger 1 2016 Feynman-Kac for functional jump diffusions with an application to credit value adjustment. Zbl 1330.60098 Kromer, E.; Overbeck, L.; Röder, J. A. L. 5 2015 Multivariate Markov families of copulas. Zbl 1335.60134 Overbeck, Ludger; Schmidt, Wolfgang M. 1 2015 Representation of BSDE-based dynamic risk measures and dynamic capital allocations. Zbl 1309.91150 Kromer, Eduard; Overbeck, Ludger 6 2014 Copula dynamics in CDOs. Zbl 1402.91765 Choroś-Tomczyk, Barbara; Härdle, Wolfgang Karl; Overbeck, Ludger 1 2014 Dynamic CDO term structure modeling. Zbl 1229.91306 Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten 15 2011 Introduction to credit risk modeling. 2nd ed. Zbl 1207.91001 Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph 13 2010 Applied quantitative finance. 2nd ed. Zbl 1145.91005 2 2009 Risk measurement with spectral capital allocation. 2nd ed. Zbl 1258.91109 Overbeck, Ludger; Sokolova, Maria 1 2009 Structured credit portfolio analysis, baskets & CDOs. Zbl 1104.91030 Bluhm, Christian; Overbeck, Ludger 7 2007 Mathematics in financial risk management. Zbl 1154.91030 Eberlein, E.; Frey, R.; Kalkbrenner, M.; Overbeck, L. 2 2007 An introduction to credit risk modeling. Zbl 1066.91055 Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph 27 2003 Allocation of economic capital in loan portfolios. Zbl 0958.91019 Overbeck, Ludger 18 2000 Estimation for continuous branching processes. Zbl 0905.62083 Overbeck, Ludger 26 1998 Geometric aspects of finite and infinite-dimensional Fleming-Viot processes. Zbl 0880.60087 Overbeck, Ludger; Röckner, Michael 2 1997 Nonlinear superprocesses. Zbl 0869.60042 Overbeck, L. 2 1996 Markov processes associated with semi-Dirichlet forms. Zbl 0834.60086 Ma, Zhi-Ming; Overbeck, Ludger; Röckner, Michael 24 1995 An analytic approach to the Fleming-Viot processes with interactive selection. Zbl 0833.60053 Overbeck, Ludger; Röckner, Michael; Schmuland, Byron 18 1995 On the predictable representation property for superprocesses. Zbl 0831.60055 Overbeck, L. 3 1995 Uniqueness of the Fleming-Viot process with selection. Zbl 0844.60059 Overbeck, Ludger 1 1995 Pathwise construction of additive \(H\)-transforms of super-Brownian motion. Zbl 0813.60046 Overbeck, L. 4 1994 Martin boundaries of some branching processes. Zbl 0807.60079 Overbeck, Ludger 4 1994 Some aspects of the Martin boundary of measure-valued diffusions. Zbl 0806.60037 Overbeck, Ludger 2 1994 Conditioned super-Brownian motion. Zbl 0792.60037 Overbeck, L. 6 1993 all cited Publications top 5 cited Publications all top 5 Cited by 386 Authors 10 Overbeck, Ludger 7 D’Amico, Guglielmo 7 Feinstein, Zachary 7 Ma, Zhi-Ming 7 Meyer-Brandis, Thilo 7 Pap, Gyula 7 Sun, Wei 6 Barczy, Mátyás 6 Kebaier, Ahmed 6 Manca, Raimondo 6 Rudloff, Birgit 5 Beznea, Lucian 5 Frittelli, Marco 5 Janssen, Jacques 5 Wang, Hanxiao 5 Yong, Jiongmin 4 Alaya, Mohamed Ben 4 Biagini, Francesca 4 Dello Schiavo, Lorenzo 4 Kromer, Eduard 4 Rosazza Gianin, Emanuela 4 Schmidt, Thorsten 4 Wang, Feng-Yu 3 Agram, Nacira 3 Centrone, Francesca 3 Doldi, Alessandro 3 du Roy de Chaumaray, M. 3 Embrechts, Paul 3 Fouque, Jean-Pierre 3 Hu, Ze-Chun 3 Li, Zenghu 3 Ren, Panpan 3 Röckner, Michael 3 Shi, Yufeng 3 Wen, Jiaqiang 2 Abraham, Romain 2 Bae, Taehan 2 Boboc, Nicu 2 Bosserhoff, Frank 2 Canna, Gabriele 2 Chen, Yanhong 2 Choroś-Tomczyk, Barbara 2 Cuchiero, Christa 2 Delmas, Jean-François 2 Detering, Nils 2 Dhaene, Jan 2 Djehiche, Boualem 2 Döring, Leif 2 Engländer, János 2 Ghosh, Mrinal Kanti 2 Goovaerts, Marc J. 2 Griffiths, Robert C. 2 Guambe, Calisto 2 Hamaguchi, Yushi 2 Härdle, Wolfgang Karl 2 Hoffmann, Hannes 2 Hu, Yijun 2 Jacob, Niels 2 Jarrow, Robert Alan 2 Jin, Peng 2 Kalkbrener, Michael 2 Kim, Joseph Hyun Tae 2 Kley, Oliver 2 Klüppelberg, Claudia 2 Kremer, Jonas 2 Kufakunesu, Rodwell 2 Kuwae, Kazuhiro 2 Ma, Chunhua 2 Ma, Li 2 Mabitsela, Lesedi 2 Mandler, Christian 2 Mazzon, Andrea 2 Oshima, Yoichi 2 Pal, Soumik 2 Panagiotou, Konstantinos D. 2 Pasricha, Puneet 2 Peng, Shige 2 Protter, Philip Elliott 2 Reinert, Gesine D. 2 Ritter, Daniel 2 Röder, Jasmin A. L. 2 Rüdiger, Barbara 2 Schilling, René Leander 2 Stadje, Mitja 2 Svindland, Gregor 2 Tang, Qihe 2 Uemura, Toshihiro 2 Vanduffel, Steven 2 Weissbach, Rafael 2 Zani, Marguerite 2 Zitikis, Ričardas 1 Aas, Kjersti 1 Ackerer, Damien 1 Ahn, Dohyun 1 Alaya, Ben Mohamed 1 Alfonsi, Aurélien 1 Amédée-Manesme, Charles-Olivier 1 Amini, Hamed 1 Ansari, Jonathan 1 Ararat, Çağın ...and 286 more Authors all top 5 Cited in 95 Serials 17 Stochastic Processes and their Applications 15 Insurance Mathematics & Economics 12 International Journal of Theoretical and Applied Finance 9 The Annals of Probability 9 SIAM Journal on Financial Mathematics 7 Mathematics and Financial Economics 5 Statistics & Probability Letters 5 The Annals of Applied Probability 5 Communications in Statistics. Theory and Methods 5 European Journal of Operational Research 4 Journal of Differential Equations 4 Electronic Journal of Probability 4 Mathematical Finance 4 Stochastics and Dynamics 3 Journal of Mathematical Analysis and Applications 3 Journal of Functional Analysis 3 Journal of Statistical Planning and Inference 3 Stochastic Analysis and Applications 3 Potential Analysis 3 Electronic Communications in Probability 3 Finance and Stochastics 3 Quantitative Finance 3 ASTIN Bulletin 3 Stochastics 3 Statistics & Risk Modeling 3 Probability, Uncertainty and Quantitative Risk 2 Journal of Mathematical Biology 2 Theory of Probability and its Applications 2 Journal of Applied Probability 2 Operations Research 2 Tôhoku Mathematical Journal. Second Series 2 Transactions of the American Mathematical Society 2 Operations Research Letters 2 Statistics 2 Probability Theory and Related Fields 2 Journal of Economic Dynamics & Control 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Acta Mathematica Sinica. English Series 2 Methodology and Computing in Applied Probability 2 Applied Stochastic Models in Business and Industry 2 Decisions in Economics and Finance 2 Stochastic Models 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Review of Derivatives Research 2 Electronic Journal of Statistics 2 European Actuarial Journal 2 Dependence Modeling 1 Advances in Applied Probability 1 The Canadian Journal of Statistics 1 Computers & Mathematics with Applications 1 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) 1 Journal of Statistical Physics 1 Applied Mathematics and Computation 1 Applied Mathematics and Optimization 1 Bulletin of the London Mathematical Society 1 Integral Equations and Operator Theory 1 Journal of Multivariate Analysis 1 Mathematics of Operations Research 1 Proceedings of the American Mathematical Society 1 SIAM Journal on Control and Optimization 1 Systems & Control Letters 1 Zeitschrift für Analysis und ihre Anwendungen 1 Chinese Annals of Mathematics. Series B 1 Journal of Theoretical Probability 1 Queueing Systems 1 Journal of Scientific Computing 1 Science in China. Series A 1 Annals of Operations Research 1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences 1 Computational Statistics 1 Economic Quality Control 1 Arab Journal of Mathematical Sciences 1 Mathematical Methods of Operations Research 1 Journal of Applied Mathematics and Decision Sciences 1 Communications in Nonlinear Science and Numerical Simulation 1 CEJOR. Central European Journal of Operations Research 1 International Journal of Nonlinear Sciences and Numerical Simulation 1 Scandinavian Actuarial Journal 1 Acta Mathematica Scientia. Series B. (English Edition) 1 Statistical Modelling 1 North American Actuarial Journal 1 Computational Management Science 1 Advances in Difference Equations 1 Engineering Optimization 1 Journal of Forecasting 1 AStA. Advances in Statistical Analysis 1 Advances in Applied Mathematics and Mechanics 1 Science China. Mathematics 1 Advances in Decision Sciences 1 Kyoto Journal of Mathematics 1 Journal of Probability and Statistics 1 Analysis and Mathematical Physics 1 ISRN Mathematical Physics all top 5 Cited in 23 Fields 137 Probability theory and stochastic processes (60-XX) 127 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 61 Statistics (62-XX) 23 Potential theory (31-XX) 13 Partial differential equations (35-XX) 12 Integral equations (45-XX) 12 Operator theory (47-XX) 12 Operations research, mathematical programming (90-XX) 8 Numerical analysis (65-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 7 Systems theory; control (93-XX) 6 Biology and other natural sciences (92-XX) 5 Real functions (26-XX) 4 Functional analysis (46-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Combinatorics (05-XX) 2 Special functions (33-XX) 2 Ordinary differential equations (34-XX) 1 General and overarching topics; collections (00-XX) 1 Integral transforms, operational calculus (44-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) Citations by Year