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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2019
Summary of Derivative Instruments [Abstract] |
Schedule of Location on Consolidated Balance Sheets and Fair Value of Principal Derivative Instruments | The tables below show the gross and net amounts of recognized derivative assets and liabilities at fair value, including the location on the consolidated balance sheets of the Company’s principal derivative instruments:
|  | Derivative Assets |
| At September 30, 2019 | Gross Amounts of Recognized Assets |  | Gross Amounts Offset in the Balance Sheet |  | Net Amounts of Assets Presented in the Balance Sheet |  | Balance Sheet Location |  | Collateral |  | Net Amount |
| Derivative instruments not designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate futures | $ | 175 |  |  | $ | 145 |  |  | $ | 30 |  |  | Other assets |  | $ | — |  |  | $ | 30 |  |
| Interest rate swaps | 5 |  |  | — |  |  | 5 |  |  | Other assets |  | — |  |  | 5 |  |
| Foreign currency forward contracts (1) | 21,822 |  |  | — |  |  | 21,822 |  |  | Other assets |  | — |  |  | 21,822 |  |
| Foreign currency forward contracts (2) | 1,105 |  |  | 368 |  |  | 737 |  |  | Other assets |  | — |  |  | 737 |  |
| Credit default swaps | 209 |  |  | — |  |  | 209 |  |  | Other assets |  | — |  |  | 209 |  |
| Total return swaps | 1,177 |  |  | — |  |  | 1,177 |  |  | Other assets |  | — |  |  | 1,177 |  |
| Equity futures | 555 |  |  | — |  |  | 555 |  |  | Other assets |  | — |  |  | 555 |  |
| Total derivative instruments not designated as hedges | 25,048 |  |  | 513 |  |  | 24,535 |  |  |  |  | — |  |  | 24,535 |  |
| Derivative instruments designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Foreign currency forward contracts (3) | 1,072 |  |  | — |  |  | 1,072 |  |  | Other assets |  | — |  |  | 1,072 |  |
| Total derivative instruments designated as hedges | 1,072 |  |  | — |  |  | 1,072 |  |  |  |  | — |  |  | 1,072 |  |
| Total | $ | 26,120 |  |  | $ | 513 |  |  | $ | 25,607 |  |  |  |  | $ | — |  |  | $ | 25,607 |  |
|  | Derivative Liabilities |
| At September 30, 2019 | Gross Amounts of Recognized Liabilities |  | Gross Amounts Offset in the Balance Sheet |  | Net Amounts of Liabilities Presented in the Balance Sheet |  | Balance Sheet Location |  | Collateral Pledged |  | Net Amount |
| Derivative instruments not designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate futures | $ | 518 |  |  | $ | 145 |  |  | $ | 373 |  |  | Other liabilities |  | $ | 373 |  |  | $ | — |  |
| Interest rate swaps | 16 |  |  | — |  |  | 16 |  |  | Other liabilities |  | 16 |  |  | — |  |
| Foreign currency forward contracts (1) | 6,676 |  |  | 497 |  |  | 6,179 |  |  | Other liabilities |  | — |  |  | 6,179 |  |
| Foreign currency forward contracts (2) | 1,078 |  |  | 368 |  |  | 710 |  |  | Other liabilities |  | — |  |  | 710 |  |
| Total return swaps | 180 |  |  | — |  |  | 180 |  |  | Other liabilities |  | — |  |  | 180 |  |
| Total derivative instruments not designated as hedges | 8,468 |  |  | 1,010 |  |  | 7,458 |  |  |  |  | 389 |  |  | 7,069 |  |
| Derivative instruments designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Foreign currency forward contracts (3) | — |  |  | 416 |  |  | (416 | ) |  | Other liabilities |  | — |  |  | (416 | ) |
| Total | $ | 8,468 |  |  | $ | 1,426 |  |  | $ | 7,042 |  |  |  |  | $ | 389 |  |  | $ | 6,653 |  |
(1) | Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(2) | Contracts used to manage foreign currency risks in investment operations.
(3) | Contracts designated as hedges of a net investment in a foreign operation.
|  | Derivative Assets |
| At December 31, 2018 | Gross Amounts of Recognized Assets |  | Gross Amounts Offset in the Balance Sheet |  | Net Amounts of Assets Presented in the Balance Sheet |  | Balance Sheet Location |  | Collateral |  | Net Amount |
| Derivative instruments not designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate futures | $ | 971 |  |  | $ | 636 |  |  | $ | 335 |  |  | Other assets |  | $ | — |  |  | $ | 335 |  |
| Interest rate swaps | 860 |  |  | — |  |  | 860 |  |  | Other assets |  | — |  |  | 860 |  |
| Foreign currency forward contracts (1) | 16,459 |  |  | 2,260 |  |  | 14,199 |  |  | Other assets |  | — |  |  | 14,199 |  |
| Foreign currency forward contracts (2) | 3,194 |  |  | 71 |  |  | 3,123 |  |  | Other assets |  | — |  |  | 3,123 |  |
| Equity futures | 1,390 |  |  | 977 |  |  | 413 |  |  | Other assets |  | — |  |  | 413 |  |
| Total | $ | 22,874 |  |  | $ | 3,944 |  |  | $ | 18,930 |  |  |  |  | $ | — |  |  | $ | 18,930 |  |
|  | Derivative Liabilities |
| At December 31, 2018 | Gross Amounts of Recognized Liabilities |  | Gross Amounts Offset in the Balance Sheet |  | Net Amounts of Liabilities Presented in the Balance Sheet |  | Balance Sheet Location |  | Collateral Pledged |  | Net Amount |
| Derivative instruments not designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate futures | $ | 910 |  |  | $ | 636 |  |  | $ | 273 |  |  | Other liabilities |  | $ | 273 |  |  | $ | — |  |
| Interest rate swaps | 506 |  |  | — |  |  | 506 |  |  | Other liabilities |  | 254 |  |  | 252 |  |
| Foreign currency forward contracts (1) | 4,154 |  |  | — |  |  | 4,154 |  |  | Other liabilities |  | — |  |  | 4,154 |  |
| Foreign currency forward contracts (2) | 72 |  |  | 71 |  |  | 1 |  |  | Other liabilities |  | — |  |  | 1 |  |
| Credit default swaps | 1,606 |  |  | — |  |  | 1,606 |  |  | Other liabilities |  | 1,605 |  |  | 1 |  |
| Equity futures | 977 |  |  | 977 |  |  | — |  |  | Other liabilities |  | — |  |  | — |  |
| Total | $ | 8,225 |  |  | $ | 1,684 |  |  | $ | 6,540 |  |  |  |  | $ | 2,132 |  |  | $ | 4,408 |  |
(1) | Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(2) Contracts used to manage foreign currency risks in investment operations.
Schedule of Gain (Loss) Recognized in Consolidated Statements of Operations Related to Principal Derivative Instruments | The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its principal derivative instruments are shown in the following table:
|  | Location of gain (loss) recognized on derivatives | Amount of gain (loss) recognized on derivatives |
| Three months ended September 30, |  | 2019 |  | 2018 |
| Derivative instruments not designated as hedges |  |  |  |  |
| Interest rate futures | Net realized and unrealized gains (losses) on investments | $ | 7,199 |  |  | $ | 2,731 |  |
| Interest rate swaps | Net realized and unrealized gains (losses) on investments | 887 |  |  | (6 | ) |
| Foreign currency forward contracts (1) | Net foreign exchange losses | (5,912 | ) |  | (2,596 | ) |
| Foreign currency forward contracts (2) | Net foreign exchange losses | 911 |  |  | 650 |  |
| Credit default swaps | Net realized and unrealized gains (losses) on investments | 65 |  |  | (191 | ) |
| Total return swaps | Net realized and unrealized gains (losses) on investments | 1,960 |  |  | — |  |
| Equity futures | Net realized and unrealized gains (losses) on investments | 1,023 |  |  | 29 |  |
| Total derivative instruments not designated as hedges |  | 6,133 |  |  | 617 |  |
| Derivative instruments designated as hedges |  |  |  |  |
| Foreign currency forward contracts (3) | Accumulated other comprehensive income (loss) | 3,264 |  |  | — |  |
| Total |  | $ | 9,397 |  |  | $ | 617 |  |
|  | Location of gain (loss) recognized on derivatives | Amount of gain (loss) recognized on derivatives |
| Nine months ended September 30, |  | 2019 |  | 2018 |
| Derivative instruments not designated as hedges |  |  |  |  |
| Interest rate futures | Net realized and unrealized gains (losses) on investments | $ | 35,136 |  |  | $ | 292 |  |
| Interest rate swaps | Net realized and unrealized gains (losses) on investments | 2,071 |  |  | 129 |  |
| Foreign currency forward contracts (1) | Net foreign exchange losses | (13,086 | ) |  | (2,227 | ) |
| Foreign currency forward contracts (2) | Net foreign exchange losses | (1,370 | ) |  | 1,302 |  |
| Credit default swaps | Net realized and unrealized gains (losses) on investments | 5,521 |  |  | (1,228 | ) |
| Total return swaps | Net realized and unrealized gains (losses) on investments | 6,995 |  |  | — |  |
| Equity futures | Net realized and unrealized gains (losses) on investments | 12,380 |  |  | 44 |  |
| Total derivative instruments not designated as hedges |  | 47,647 |  |  | (1,688 | ) |
| Derivative instruments designated as hedges |  |  |  |  |
| Foreign currency forward contracts (3) | Accumulated other comprehensive income (loss) | 4,108 |  |  | — |  |
| Total |  | $ | 51,755 |  |  | $ | (1,688 | ) |
(1) | Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(2) | Contracts used to manage foreign currency risks in investment operations.
(3) | Contracts designated as hedges of a net investment in a foreign operation.
Schedule of Derivative Instruments Designated as Hedges of a Net Investment in a Foreign Operation | The table below provides a summary of derivative instruments designated as hedges of a net investment in a foreign operation, including the weighted average U.S. dollar equivalent of foreign denominated net assets that were hedged and the resulting derivative gain that was recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive loss on the Company’s consolidated statements of changes in shareholders’ equity:
|  | Three months ended |  | Nine months ended |
|  | September 30, 2019 |  | September 30, 2018 |  | September 30, 2019 |  | September 30, 2018 |
| Weighted average of U.S. dollar equivalent of foreign denominated net assets | $ | 79,538 |  |  | $ | — |  |  | $ | 80,303 |  |  | $ | — |  |
| Derivative gains (1) | $ | 3,264 |  |  | $ | — |  |  | $ | 4,108 |  |  | $ | — |  |
(1) Derivative gains from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive loss on the Company’s consolidated statements of changes in shareholders’ equity.

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