CAS Monograph No. 4: Using The ODP Bootstrap Model: A Practitioner’s Guide
by Mark Shapland, FCAS
Shapland examines 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.
CAS monographs are authoritative, peer-reviewed, in-depth works focusing on important topics within property and casualty actuarial practice. The CAS Monograph Series initiative fulfills the goal of creating an important addition to the existing body of CAS literature, with each monograph enabling the comprehensive treatment of a single subject. The Monograph Editorial Board (MEB) manages the monograph publication process in close coordination with the CAS editorial staff. Submission guidelines can be found on the CAS website or by contacting Donna Royston at email@example.com.
This monograph is currently available to all CAS members as a free download. Print copies are available in the CAS online store.
The CAS Monograph Series showcases CAS members' extensive specialized expertise, helping to raise the performance standard for property and casualty actuaries through insightful research. The monographs represent just one way that the CAS provides its members with access to relevant information, research and resources that they can apply directly on the job to advance in their careers. For information on submitting a monograph, visit the Monograph Submission Guidelines page.