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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2019

Fair Value Disclosures [Abstract]

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

		Quoted prices in active markets for identical assets (Level 1)				Significant other observable inputs (Level 2)				Significant unobservable inputs (Level 3)				Fair value based on NAV practical expedient				Total fair value
	At March 31, 2019
	Assets
	Fixed maturities
	U.S. government and agency	$	1,958,315			$	15,339			$	—			$	—			$	1,973,654
	Non-U.S. government	—				487,663				—				—				487,663
	Corporate debt	—				4,797,140				41,125				—				4,838,265
	Agency RMBS	—				1,705,962				—				—				1,705,962
	CMBS	—				1,040,995				11,145				—				1,052,140
	Non-Agency RMBS	—				47,411				—				—				47,411
	ABS	—				1,600,967				12,043				—				1,613,010
	Municipals	—				156,413				—				—				156,413
		1,958,315				9,851,890				64,313				—				11,874,518
	Equity securities
	Common stocks	585				—				—				—				585
	Exchange-traded funds	271,608				—				—				—				271,608
	Bond mutual funds	—				146,670				—				—				146,670
		272,193				146,670				—				—				418,863
	Other investments
	Hedge funds (1)	—				—				—				184,747				184,747
	Direct lending funds	—				—				—				272,752				272,752
	Private equity funds	—				—				—				61,526				61,526
	Real estate funds	—				—				—				111,169				111,169
	Other privately held investments	—				—				47,685				—				47,685
	CLO-Equities	—				—				18,022				—				18,022
	Overseas deposits	—				99,430				—				—				99,430
		—				99,430				65,707				630,194				795,331
	Short-term investments	—				41,853				—				—				41,853
	Other assets
	Derivative instruments (refer to Note 5)	—				3,468				—				—				3,468
	Total Assets	$	2,230,508			$	10,143,311			$	130,020			$	630,194			$	13,134,033
	Liabilities
	Derivative instruments (refer to Note 5)	$	—			$	3,604			$	10,233			$	—			$	13,837
	Cash settled awards (refer to Note 8)	—				7,878				—				—				7,878
	Total Liabilities	$	—			$	11,482			$	10,233			$	—			$	21,715

(1) Includes Long/short equity, Multi-strategy and Event-driven funds.

		Quoted prices in active markets for identical assets (Level 1)				Significant other observable inputs (Level 2)				Significant unobservable inputs (Level 3)				Fair value based on NAV practical expedient				Total fair value
	At December 31, 2018
	Assets
	Fixed maturities
	U.S. government and agency	$	1,480,466			$	35,231			$	—			$	—			$	1,515,697
	Non-U.S. government	—				493,016				—				—				493,016
	Corporate debt	—				4,827,909				49,012				—				4,876,921
	Agency RMBS	—				1,643,308				—				—				1,643,308
	CMBS	—				1,073,396				19,134				—				1,092,530
	Non-Agency RMBS	—				40,687				—				—				40,687
	ABS	—				1,619,070				18,533				—				1,637,603
	Municipals	—				135,585				—				—				135,585
		1,480,466				9,868,202				86,679				—				11,435,347
	Equity securities
	Common stocks	527				—				—				—				527
	Exchange-traded funds	236,839				—				—				—				236,839
	Bond mutual funds	—				144,267				—				—				144,267
		237,366				144,267				—				—				381,633
	Other investments
	Hedge funds (1)	—				—				—				194,598				194,598
	Direct lending funds	—				—				—				274,478				274,478
	Private equity funds	—				—				—				64,566				64,566
	Real estate funds	—				—				—				84,202				84,202
	Other privately held investments	—				—				44,518				—				44,518
	CLO-Equities	—				—				21,271				—				21,271
	Overseas deposits	—				104,154				—				—				104,154
		—				104,154				65,789				617,844				787,787
	Short-term investments	—				144,040				—				—				144,040
	Other assets
	Derivative instruments (refer to Note 5)	—				8,237				—				—				8,237
	Total Assets	$	1,717,832			$	10,268,900			$	152,468			$	617,844			$	12,757,044
	Liabilities
	Derivative instruments (refer to Note 5)	$	—			$	4,223			$	10,299			$	—			$	14,522
	Cash settled awards (refer to Note 8)	—				20,648				—				—				20,648
	Total Liabilities	$	—			$	24,871			$	10,299			$	—			$	35,170

(1) Includes Long/short equity, Multi-strategy and Event-driven funds.

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at March 31, 2019 of investments classified as Level 3 in the fair value hierarchy.

		Fair value			Valuation technique	Unobservable input	Range	Weighted average
	Other investments - CLO-Equities	$	18,022		Discounted cash flow	Default rates	3.0%	3.0%
						Loss severity rate	35.0%	35.0%
						Collateral spreads	3.0%	3.0%
						Estimated maturity dates	7 years	7 years
	Other investments - Other privately held investments	$	47,685		Discounted cash flow	Discount rate	3.0% - 8.0%	6.5%
	Derivatives - Other underwriting-related derivatives	$	(10,233	)	Discounted cash flow	Discount rate	2.3%	2.3%

Note: Fixed maturities and insurance-linked securities that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis for the periods indicated:

		Opening balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ distributions				Closing balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2019
	Fixed maturities
	Corporate debt	$	49,012			$	—			$	—			$	(696	)		$	624			$	—			$	(5,547	)		$	(2,268	)		$	41,125			$	—
	CMBS	19,134				—				(4,767		)		—				143				—				—				(3,365		)		11,145				—
	ABS	18,533				—				(16,402		)		—				162				9,750				—				—				12,043				—
		86,679				—				(21,169		)		(696		)		929				9,750				(5,547		)		(5,633		)		64,313				—
	Other investments
	Other privately held investments	44,518				—				—				667				—				2,500				—				—				47,685				667
	CLO - Equities	21,271				—				—				415				—				—				—				(3,664		)		18,022				415
		65,789				—				—				1,082				—				2,500				—				(3,664		)		65,707				1,082
	Other assets
	Insurance-linked securities	—				—				—				—				—				—				—				—				—				—
		—				—				—				—				—				—				—				—				—				—
	Total assets	$	152,468			$	—			$	(21,169	)		$	386			$	929			$	12,250			$	(5,547	)		$	(9,297	)		$	130,020			$	1,082
	Other liabilities
	Derivative instruments	$	10,299			$	—			$	—			$	(66	)		$	—			$	—			$	—			$	—			$	10,233			$	(66	)
	Total liabilities	$	10,299			$	—			$	—			$	(66	)		$	—			$	—			$	—			$	—			$	10,233			$	(66	)

		Opening balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ distributions				Closing balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2018
	Fixed maturities
	Corporate debt	$	52,897			$	—			$	(4,279	)		$	(118	)		$	1,403			$	—			$	(2,536	)		$	(3,896	)		$	43,471			$	—
	CMBS	—				—				—				—				—				—				—				—				—				—
	ABS	—				—				—				—				—				—				—				—				—				—
		52,897				—				(4,279		)		(118		)		1,403				—				(2,536		)		(3,896		)		43,471				—
	Other investments
	Other privately held investments	46,430				—				—				746				—				3,111				(1,500		)		—				48,787				746
	CLO - Equities	31,413				—				—				1,616				—				—				—				(4,473		)		28,556				1,616
		77,843				—				—				2,362				—				3,111				(1,500		)		(4,473		)		77,343				2,362
	Other assets
	Insurance-linked securities	25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
		25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
	Total assets	$	155,830			$	—			$	(4,279	)		$	2,154			$	1,403			$	3,111			$	(4,036	)		$	(8,369	)		$	145,814			$	2,272
	Other liabilities
	Derivative instruments	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)
	Total liabilities	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)

(1) Realized investment gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized investment gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized investment gains (losses) relating to assets held at the reporting date.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis for the periods indicated:

		Opening balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ distributions				Closing balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2019
	Fixed maturities
	Corporate debt	$	49,012			$	—			$	—			$	(696	)		$	624			$	—			$	(5,547	)		$	(2,268	)		$	41,125			$	—
	CMBS	19,134				—				(4,767		)		—				143				—				—				(3,365		)		11,145				—
	ABS	18,533				—				(16,402		)		—				162				9,750				—				—				12,043				—
		86,679				—				(21,169		)		(696		)		929				9,750				(5,547		)		(5,633		)		64,313				—
	Other investments
	Other privately held investments	44,518				—				—				667				—				2,500				—				—				47,685				667
	CLO - Equities	21,271				—				—				415				—				—				—				(3,664		)		18,022				415
		65,789				—				—				1,082				—				2,500				—				(3,664		)		65,707				1,082
	Other assets
	Insurance-linked securities	—				—				—				—				—				—				—				—				—				—
		—				—				—				—				—				—				—				—				—				—
	Total assets	$	152,468			$	—			$	(21,169	)		$	386			$	929			$	12,250			$	(5,547	)		$	(9,297	)		$	130,020			$	1,082
	Other liabilities
	Derivative instruments	$	10,299			$	—			$	—			$	(66	)		$	—			$	—			$	—			$	—			$	10,233			$	(66	)
	Total liabilities	$	10,299			$	—			$	—			$	(66	)		$	—			$	—			$	—			$	—			$	10,233			$	(66	)

		Opening balance				Transfers into Level 3				Transfers out of Level 3				Included in net income(1)				Included in OCI (2)				Purchases				Sales				Settlements/ distributions				Closing balance				Change in unrealized investment gains/(losses) (3)
	Three months ended March 31, 2018
	Fixed maturities
	Corporate debt	$	52,897			$	—			$	(4,279	)		$	(118	)		$	1,403			$	—			$	(2,536	)		$	(3,896	)		$	43,471			$	—
	CMBS	—				—				—				—				—				—				—				—				—				—
	ABS	—				—				—				—				—				—				—				—				—				—
		52,897				—				(4,279		)		(118		)		1,403				—				(2,536		)		(3,896		)		43,471				—
	Other investments
	Other privately held investments	46,430				—				—				746				—				3,111				(1,500		)		—				48,787				746
	CLO - Equities	31,413				—				—				1,616				—				—				—				(4,473		)		28,556				1,616
		77,843				—				—				2,362				—				3,111				(1,500		)		(4,473		)		77,343				2,362
	Other assets
	Insurance-linked securities	25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
		25,090				—				—				(90		)		—				—				—				—				25,000				(90		)
	Total assets	$	155,830			$	—			$	(4,279	)		$	2,154			$	1,403			$	3,111			$	(4,036	)		$	(8,369	)		$	145,814			$	2,272
	Other liabilities
	Derivative instruments	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)
	Total liabilities	$	11,510			$	—			$	—			$	(568	)		$	—			$	—			$	—			$	—			$	10,942			$	(568	)

(1) Realized investment gains (losses) on fixed maturities, and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized investment gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized investment gains (losses) relating to assets held at the reporting date.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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-Topic 820
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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 (loss), 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, issues, 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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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 (loss) 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, issues, 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 liability.

+ References

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, 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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