This is an excellent way of screening. The company I worked for was an opt-in service. So all people being called had at some point agreed to it (though most forget ticking the box on a form or whatever, which is totally understandable), and we therefore had their names, so it wouldn't have worked for what we were doing. But yes if a cold-caller doesn't know who they're calling then it's a good indication you don't need what they're offering.

I heard a podcast with Scott Hanselman (a technologist in the US) and he had a phone system where you had to say the name of the person you wanted to an automated gate-keeper, which sounded like a really cool system, and similar to the sort of screening you're doing.