Fair Value (Tables)

12 Months Ended

Dec. 31, 2011

Financial instruments measured at fair value and categorized between Levels 1, 2 and 3

			Quoted prices in				Significant
			active markets for		Significant other		unobservable
			identical assets		observable inputs		inputs
December 31, 2011			(Level 1)		(Level 2)		(Level 3)		Total
Fixed maturities
	U.S. government and government sponsored enterprises		$	—	$	1,115,777	$	—	$	1,115,777
	U.S. states, territories and municipalities			—		12,269		111,415		123,684
	Non-U.S. sovereign government,
		supranational and government related		—		2,964,091		—		2,964,091
	Corporate			—		5,635,297		111,700		5,746,997
	Asset-backed securities			—		376,384		257,415		633,799
	Residential mortgage-backed securities			—		3,282,901		—		3,282,901
	Other mortgage-backed securities			—		74,580		—		74,580
Fixed maturities			$	—	$	13,461,299	$	480,530	$	13,941,829
Short-term investments			$	—	$	42,571	$	—	$	42,571
Equities
	Consumer noncyclical		$	124,697	$	154	$	—	$	124,851
	Energy			83,403		858		—		84,261
	Finance			69,722		191		9,670		79,583
	Technology			74,729		—		—		74,729
	Communications			64,036		44		—		64,080
	Industrials			58,254		—		—		58,254
	Insurance			58,017		—		—		58,017
	Consumer cyclical			52,305		108		—		52,413
	Other			69,457		239		—		69,696
	Mutual funds and exchange traded funds			35,285		237,027		6,495		278,807
Equities			$	689,905	$	238,621	$	16,165	$	944,691
Other invested assets
	Derivative assets
		Foreign exchange forward contracts	$	—	$	7,865	$	—	$	7,865
		Foreign currency option contracts		—		1,074		—		1,074
		Futures contracts		13,524		48		—		13,572
		Credit default swaps (protection purchased)		—		92		—		92
		Credit default swaps (assumed risks)		—		246		—		246
		Total return swaps		—		443		7,230		7,673
		TBAs		—		747		—		747
	Other assets			—		—		91,405		91,405
	Derivative liabilities
		Foreign exchange forward contracts		—		(5,816)		—		(5,816)
		Foreign currency option contracts		—		(321)		—		(321)
		Futures contracts		(12,905)		(1,268)		—		(14,173)
		Credit default swaps (protection purchased)		—		(1,285)		—		(1,285)
		Credit default swaps (assumed risks)		—		(772)		—		(772)
		Insurance-linked securities		—		—		(968)		(968)
		Total return swaps		—		—		(640)		(640)
		Interest rate swaps		—		(7,992)		—		(7,992)
		TBAs		—		(58)		—		(58)
	Other liabilities			—		(137)		—		(137)
Other invested assets			$	619	$	(7,134)	$	97,027	$	90,512
Funds held – directly managed
	U.S. government and government sponsored enterprises		$	—	$	268,539	$	—	$	268,539
	U.S. states, territories and municipalities			—		—		334		334
	Non-U.S. sovereign government,
		supranational and government related		—		274,665		—		274,665
	Corporate			—		480,485		—		480,485
	Short-term investments			—		18,097		—		18,097
	Other invested assets			—		—		15,433		15,433
Funds held – directly managed			$	—	$	1,041,786	$	15,767	$	1,057,553
Total			$	690,524	$	14,777,143	$	609,489	$	16,077,156

			Quoted prices in				Significant
			active markets for		Significant other		unobservable
			identical assets		observable inputs		inputs
December 31, 2010			(Level 1)		(Level 2)		(Level 3)		Total
Fixed maturities
	U.S. government and government sponsored enterprises		$	—	$	906,032	$	—	$	906,032
	U.S. states, territories and municipalities			—		11,568		55,124		66,692
	Non-U.S. sovereign government,
		supranational and government related		—		2,819,193		—		2,819,193
	Corporate			—		6,066,865		76,982		6,143,847
	Asset-backed securities			—		343,518		213,139		556,657
	Residential mortgage-backed securities			—		2,305,525		—		2,305,525
	Other mortgage-backed securities			—		26,153		290		26,443
Fixed maturities			$	—	$	12,478,854	$	345,535	$	12,824,389
Short-term investments			$	—	$	49,397	$	—	$	49,397
Equities
	Consumer noncyclical		$	186,016	$	—	$	—	$	186,016
	Technology			119,214		—		—		119,214
	Energy			118,372		—		—		118,372
	Finance			112,309		—		2,486		114,795
	Communications			110,982		—		—		110,982
	Industrials			100,572		—		—		100,572
	Consumer cyclical			81,595		—		—		81,595
	Insurance			48,611		—		—		48,611
	Other			90,220		—		—		90,220
	Mutual funds and exchange traded funds			60,372		—		40,927		101,299
Equities			$	1,028,263	$	—	$	43,413	$	1,071,676
Other invested assets
	Derivative assets
		Foreign exchange forward contracts	$	—	$	27,880	$	—	$	27,880
		Foreign currency option contracts		—		3,516		—		3,516
		Futures contracts		30,593		—		—		30,593
		Credit default swaps (protection purchased)		—		93		—		93
		Credit default swaps (assumed risks)		—		533		—		533
		Insurance-linked securities		1,320		—		—		1,320
		Total return swaps		—		449		5,592		6,041
		Interest rate swaps		—		246		—		246
		TBAs		—		363		—		363
	Other assets			—		—		86,278		86,278
	Derivative liabilities
		Foreign exchange forward contracts		—		(13,647)		—		(13,647)
		Futures contracts		(7,956)		—		—		(7,956)
		Credit default swaps (protection purchased)		—		(2,407)		—		(2,407)
		Credit default swaps (assumed risks)		—		(401)		—		(401)
		Insurance-linked securities		(695)		—		(698)		(1,393)
		Total return swaps		—		—		(12,848)		(12,848)
		Interest rate swaps		—		(6,033)		—		(6,033)
		TBAs		—		(553)		—		(553)
	Other liabilities			—		(251)		—		(251)
Other invested assets			$	23,262	$	9,788	$	78,324	$	111,374
Funds held – directly managed
	U.S. government and government sponsored enterprises		$	—	$	288,164	$	—	$	288,164
	U.S. states, territories and municipalities			—		—		368		368
	Non-U.S. sovereign government,
		supranational and government related		—		384,553		—		384,553
	Corporate			—		798,587		—		798,587
	Mortgage/asset-backed securities			—		—		12,118		12,118
	Short-term investments			—		38,613		—		38,613
	Other invested assets			—		—		20,528		20,528
Funds held – directly managed			$	—	$	1,509,917	$	33,014	$	1,542,931
Total			$	1,051,525	$	14,047,956	$	500,286	$	15,599,767

Reconciliation of beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs

															Change in
						Realized and										unrealized
						unrealized										investment
						investment						Net				gains (losses)
				Balance at		gains (losses)		Purchases		Sales		transfers		Balance		relating to
For the year ended			beginning		included in		and		and		into		at end		assets held at
December 31, 2011			of year		net loss		issuances⁽¹⁾		settlements⁽¹⁾		Level 3 ⁽²⁾		of year		end of year
Fixed maturities
	U.S. states, territories
		and municipalities	$	55,124	$	5,288	$	51,163	$	(160)	$	—	$	111,415	$	5,288
	Corporate			76,982		(36,617)		41,246		(10,091)		40,180		111,700		2,430
	Asset-backed securities			213,139		15,161		182,090		(152,975)		—		257,415		14,938
	Residential mortgage-backed
		securities		—		1,385		4,212		(5,597)		—		—		—
	Other mortgage-backed securities			290		(225)		408		(473)		—		—		—
Fixed maturities			$	345,535	$	(15,008)	$	279,119	$	(169,296)	$	40,180	$	480,530	$	22,656
Short-term investments			$	—	$	(1,069)	$	3,992	$	(2,923)	$	—	$	—	$	—
Equities
	Finance		$	2,486	$	223	$	9,523	$	(2,562)	$	—	$	9,670	$	(4)
	Mutual funds and exchange
		traded funds		40,927		1,195		—		(35,627)		—		6,495		(429)
Equities			$	43,413	$	1,418	$	9,523	$	(38,189)	$	—	$	16,165	$	(433)
Other invested assets
	Derivatives, net		$	(7,954)	$	(3,546)	$	(4,103)	$	21,225	$	—	$	5,622	$	2,548
	Other assets			86,278		(23,698)		61,574		(32,749)		—		91,405		(24,499)
Other invested assets			$	78,324	$	(27,244)	$	57,471	$	(11,524)	$	—	$	97,027	$	(21,951)
Funds held – directly managed
	U.S. states, territories
		and municipalities	$	368	$	(34)	$	—	$	—	$	—	$	334	$	(34)
	Mortgage/asset-backed securities			12,118		(150)		—		(11,968)		—		—		—
	Other invested assets			20,528		(3,855)		—		(1,240)		—		15,433		(3,519)
Funds held – directly managed			$	33,014	$	(4,039)	$	—	$	(13,208)	$	—	$	15,767	$	(3,553)
Total			$	500,286	$	(45,942)	$	350,105	$	(235,140)	$	40,180	$	609,489	$	(3,281)

					Realized and								Change in
						unrealized								unrealized
						investment		Net		Net				investment (losses)
				Balance at		gains (losses)		purchases,		transfers		Balance		gains relating
For the year ended			beginning		included in		sales and		(out of)/into		at end of		to assets held
December 31, 2010			of year		net income		settlements		Level 3 ⁽²⁾		year		at end of year
Fixed maturities
	U.S. states, territories and municipalities		$	4,286	$	2,379	$	52,745	$	(4,286)	$	55,124	$	(126)
	Corporate			15,041		38		72,653		(10,750)		76,982		38
	Asset-backed securities			99,952		20,692		95,395		(2,900)		213,139		(3,331)
	Residential mortgage-backed securities			77,440		191		(77,631)		—		—		—
	Other mortgage-backed securities			874		(239)		(345)		—		290		(239)
Fixed maturities			$	197,593	$	23,061	$	142,817	$	(17,936)	$	345,535	$	(3,658)
Equities
	Finance		$	2,488	$	(696)	$	694	$	—	$	2,486	$	(2)
	Industrials			805		(84)		(721)		—		—		—
	Mutual funds and exchange traded funds			34,810		1,117		5,000		—		40,927		1,117
Equities			$	38,103	$	337	$	4,973	$	—	$	43,413	$	1,115
Other invested assets
	Derivatives, net		$	(9,361)	$	12,939	$	(19,698)	$	8,166	$	(7,954)	$	4,348
	Other assets			25,815		1,654		58,809		—		86,278		2,506
Other invested assets			$	16,454	$	14,593	$	39,111	$	8,166	$	78,324	$	6,854
Funds held – directly managed
	U.S. states, territories and municipalities		$	375	$	(7)	$	—	$	—	$	368	$	(7)
	Non-U.S. sovereign government,
		supranational and government related		3,417		(13)		(3,404)		—		—		—
	Mortgage/asset-backed securities			142		(4,890)		—		16,866		12,118		(4,877)
	Other invested assets			35,685		(3,842)		(11,315)		—		20,528		(3,824)
Funds held – directly managed			$	39,619	$	(8,752)	$	(14,719)	$	16,866	$	33,014	$	(8,708)
Total			$	291,769	$	29,239	$	172,182	$	7,096	$	500,286	$	(4,397)

Change in fair value of financial instruments subject to fair value option

	2011		2010		2009
Fixed maturities and short-term investments	$	128,224	$	142,634	$	322,944
Equities		(101,860)		64,825		185,925
Other invested assets		(24,839)		(1,176)		2,053
Funds held – directly managed		5,853		24,358		1,885
Total	$	7,378	$	230,641	$	512,807

Carrying values and fair values of financial instrument liabilities

	December 31, 2011				December 31, 2010
	Carrying Value		Fair Value		Carrying Value		Fair Value
Debt related to senior notes ⁽¹⁾	$	750,000	$	781,449	$	750,000	$	781,950
Debt related to capital efficient notes ⁽²⁾		63,384		55,678		63,384		59,261

- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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Reference 4: http://www.xbrl.org/2003/role/presentationRef

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-Name Statement of Financial Accounting Standard (FAS)

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