In some cultures - especially England - insults are a friendship overture. (Yes, it's stupid, but it's the way things are.) What that means, is that the optimal response is to insult back - laughing. not to ignore it and not to take umbrage.

No, I'm not saying that all bullies are 'just trying to make friends'. They're not, some of them are vicious shits. But if you live in such a culture, your kid needs to know about it or he will never make friends (I'm not sure if this applies to girls). It will seem like every other kid is out to get them.

Laughingly insulting back says 'I have respect for myself, and I am willing to be friends'.

I didn't learn this while I was a kid.