9.7 ODP vs GLM Bootstrap Summary

ODP Bootstrap is a specific case of the GLM model with the following parameters:

• Parameters for every AY

• Parameters for every development year minus the first

• Variance of the incremental losses \(\propto\) mean

Solution is the same as volume weighted Chainladder

GLM Bootstrap is the general model

• Can have as few as 1 row and/or column parameters

• Can include CY trend

• Variance of the incremental losses \(\propto\) \(m^z_{wd}\) (where \(z=1\) for this paper)