CAS Monograph No. 4: Using the ODP Bootstrap Model: A Practitioner’s Guide
06/01/2016–Using the ODP Bootstrap Model: A Practitioner’s Guide, the fourth volume of the new CAS Monograph Series, is now available for download. In this monograph, author Mark R. Shapland, a Fellow of the CAS, discusses the practical issues and solutions for dealing with the limitations of ODP bootstrapping models, including practical considerations for selecting the best assumptions and the best model for individual situations. The focus is on the “practical” and the paper illustrates the diagnostic tools that an actuary needs to assess whether a model is working well.
The monograph does state that it should not be assumed that the ODP bootstrap model is well suited for every data set. But the ODP bootstrap and GLM bootstrap “tool sets” can become an integral part of the actuary’s regular estimation of unpaid claim liabilities, rather than just a “black box” to be used only if necessary or after the deterministic methods have been used to select a point estimate.
Companion Excel workbooks, with detailed instructions on how to use them, allow the reader to follow, step by step, the theory presented in the monograph. An errata is available with corrections.
Mark R. Shapland is Senior Consulting Actuary in Milliman’s Dubai office, where he is responsible for various reserving and pricing projects for a variety of clients. He has a B.S. degree in Integrated Studies (Actuarial Science) from the University of Nebraskaâ€’Lincoln. He is a Fellow of the Casualty Actuarial Society, a Fellow of the Society of Actuaries and a Member of the American Academy of Actuaries. He can be contacted at mark.shapland @milliman.com.
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