Derivatives (Tables)

6 Months Ended

Jun. 30, 2011

Disclosure - Derivatives [Abstract]

Fair values and related notional values of derivatives, balance sheets

	Asset		Liability		Net derivatives
	derivatives		derivatives		Net notional
June 30, 2011	at fair value		at fair value		exposure		Fair value
Derivatives not designated as hedges
Foreign exchange forward contracts	$	11,634	$	(4,512)	$	2,956,150	$	7,122
Foreign currency option contracts		2,921		(470)		163,304		2,451
Futures contracts		6,398		(19,613)		2,334,365		(13,215)
Credit default swaps (protection purchased)		4		(2,162)		109,890		(2,158)
Credit default swaps (assumed risks)		906		—		27,500		906
Insurance-linked securities		274		(15,126)		95,848		(14,852)
Total return swaps		4,685		(11,459)		159,720		(6,774)
Interest rate swaps(1)		52		(5,203)		—		(5,151)
Total derivatives	$	26,874	$	(58,545)			$	(31,671)
	Asset		Liability		Net derivatives
	derivatives		derivatives		Net notional
December 31, 2010	at fair value		at fair value		exposure		Fair value
Derivatives designated as hedges
Foreign exchange forward contracts (net investment hedge)	$	—	$	(1,160)	$	198,448	$	(1,160)
Total derivatives designated as hedges	$	—	$	(1,160)			$	(1,160)
Derivatives not designated as hedges
Foreign exchange forward contracts	$	27,880	$	(12,487)	$	1,770,448	$	15,393
Foreign currency option contracts		3,516		—		104,386		3,516
Futures contracts		30,593		(7,956)		1,756,811		22,637
Credit default swaps (protection purchased)		93		(2,407)		113,752		(2,314)
Credit default swaps (assumed risks)		533		(401)		27,500		132
Insurance-linked securities		1,320		(1,393)		88,765		(73)
Total return swaps		6,041		(12,848)		161,408		(6,807)
Interest rate swaps(1)		246		(6,033)		—		(5,787)
Total derivatives not designated as hedges	$	70,222	$	(43,525)			$	26,697
Total derivatives	$	70,222	$	(44,685)			$	25,537

Gains and losses for derivatives not designated as hedges, statement of operations

		Amount of gain		Amount of gain		Amount of gain		Amount of gain
		(loss) on derivatives		(loss) on derivatives		(loss) on derivatives		(loss) on derivatives
		recognized in		recognized in		recognized in		recognized in
		income for the		income for the		income for the		income for the
		three months ended		three months ended		six months ended		six months ended
		June 30, 2011		June 30, 2010		June 30, 2011		June 30, 2010
Foreign exchange forward contracts		$	65,250	$	14,557	$	48,234	$	10,542
Foreign currency option contracts			2,457		(1,066)		2,381		1,134
Total included in net foreign exchange gains and losses		$	67,707	$	13,491	$	50,615	$	11,676
Futures contracts		$	(66,231)	$	(55,170)	$	(86,514)	$	(76,115)
Credit default swaps (protection purchased)			(306)		311		(551)		(341)
Credit default swaps (assumed risks)			770		(1,400)		1,607		(1,379)
Insurance-linked securities			(2,546)		2,676		(9,620)		3,814
Total return swaps			(115)		(212)		684		2,409
Interest rate swaps			(182)		(104)		641		393
Interest rate derivatives			—		—		—		(3,848)
Other			—		55		—		(66)
Total included in net realized and unrealized
	investment gains and losses	$	(68,610)	$	(53,844)	$	(93,753)	$	(75,133)
Total derivatives		$	(903)	$	(40,353)	$	(43,138)	$	(63,457)