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FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2020

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 December 31, 2020
			Assets
			Fixed maturities
			U.S. government and agency			$	1,861,240					$	57,459					$	—					$	—					$	1,918,699
			Non-U.S. government			—						671,273						—						—						671,273
			Corporate debt			—						4,653,447						2,504						—						4,655,951
			Agency RMBS			—						1,286,209						—						—						1,286,209
			CMBS			—						1,351,847						1,740						—						1,353,587
			Non-agency RMBS			—						140,104						—						—						140,104
			ABS			—						1,709,413						10,665						—						1,720,078
			Municipals			—						295,898						—						—						295,898
						1,861,240						10,165,650						14,909						—						12,041,799
			Equity securities
			Common stocks			10,942						—						—						—						10,942
			Preferred stocks			8,068						—						—						—						8,068
			Exchange-traded funds			221,718						—						—						—						221,718
			Bond mutual funds			—						277,717						—						—						277,717
						240,728						277,717						—						—						518,445
			Other investments
			Hedge funds(1)			—						—						—						146,720						146,720
			Direct lending funds			—						—						—						272,131						272,131
			Private equity funds			—						—						—						124,706						124,706
			Real estate funds			—						—						—						164,250						164,250
			CLO-Equities			—						—						6,173						—						6,173
			Other privately held investments			—						—						70,011						—						70,011
			Overseas deposits			—						45,165						—						—						45,165
						—						45,165						76,184						707,807						829,156
			Short-term investments			—						161,897						—						—						161,897
			Other assets
			Derivative instruments (refer to Note 7)			—						18,875						—						—						18,875
			Total Assets			$	2,101,968					$	10,669,304					$	91,093					$	707,807					$	13,570,172
			Liabilities
			Derivative instruments (refer to Note 7)			$	—					$	2,364					$	9,122					$	—					$	11,486
			Cash settled awards (refer to Note 16)			—						13,273						—						—						13,273
			Total Liabilities			$	—					$	15,637					$	9,122					$	—					$	24,759

(1)    Includes Long/short equity and Multi-strategy 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, 2019
			Assets
			Fixed maturities
			U.S. government and agency			$	2,053,622					$	59,259					$	—					$	—					$	2,112,881
			Non-U.S. government			—						576,592						—						—						576,592
			Corporate debt			—						4,927,957						2,297						—						4,930,254
			Agency RMBS			—						1,592,584						—						—						1,592,584
			CMBS			—						1,359,817						5,235						—						1,365,052
			Non-agency RMBS			—						84,922						—						—						84,922
			ABS			—						1,598,204						489						—						1,598,693
			Municipals			—						207,227						—						—						207,227
						2,053,622						10,406,562						8,021						—						12,468,205
			Equity securities
			Common stocks			193						—						—						—						193
			Preferred stocks			—						—						—						—						—
			Exchange-traded funds			297,325						—						—						—						297,325
			Bond mutual funds			—						176,689						—						—						176,689
						297,518						176,689						—						—						474,207
			Other investments
			Hedge funds(1)			—						—						—						167,790						167,790
			Direct lending funds			—						—						—						277,395						277,395
			Private equity funds			—						—						—						80,412						80,412
			Real estate funds			—						—						—						130,112						130,112
			CLO-Equities			—						—						14,328						—						14,328
			Other privately held investments			—						—						36,934						—						36,934
			Overseas deposits			—						63,952						—						—						63,952
						—						63,952						51,262						655,709						770,923
			Short-term investments			—						38,471						—						—						38,471
			Other assets
			Derivative instruments (refer to Note 7)			—						3,174						—						—						3,174
			Total Assets			$	2,351,140					$	10,688,848					$	59,283					$	655,709					$	13,754,980
			Liabilities
			Derivative instruments (refer to Note 7)			$	—					$	3,965					$	9,672					$	—					$	13,637
			Cash settled awards (refer to Note 16)			—						21,731						—						—						21,731
			Total Liabilities			$	—					$	25,696					$	9,672					$	—					$	35,368

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

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at December 31, 2020 of investments classified as Level 3 in the fair value hierarchy:

						Fair value			Valuation technique			Unobservable input			Range			Weighted average
			Other investments - CLO-Equities			$	6,173		Discounted cash flow			Default rates			4.5%			4.5%
												Loss severity rate			50.0%			50.0%
												Collateral spreads			3.0%			3.0%
												Estimated maturity dates			5 years			5 years
			Other investments - Other privately held investments			$	21,643		Discounted cash flow			Discount rate			1.3%			1.3%
												Default rate			0.5%			0.5%
												Loss absorption yield			1.0%			1.0%
												Estimated maturity date			5 years			5 years
			Derivatives - Other underwriting- related derivatives			$	(9,122)		Discounted cash flow			Discount rate			0.4%			0.4%

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

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

						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 gains/(losses) (3)
			Year ended December 31, 2020
			Fixed maturities
			Corporate debt			$	2,297					$	—					$	—					$	—					$	207					$	—					$	—					$	—					$	2,504					$	—
			CMBS			5,235						—						—						—						(11)						—						—						(3,484)						1,740						—
			ABS			489						9,091						—						—						116						969						—						—						10,665						—
						8,021						9,091						—						—						312						969						—						(3,484)						14,909						—
			Other investments
			CLO-Equities			14,328						—						—						(6,017)						—						—						—						(2,138)						6,173						(5,319)
			Other privately held investments			36,934						—						—						6,040						—						27,037						—						—						70,011						6,040
						51,262						—						—						23						—						27,037						—						(2,138)						76,184						721
			Total assets			$	59,283					$	9,091					$	—					$	23					$	312					$	28,006					$	—					$	(5,622)					$	91,093					$	721
			Other liabilities
			Derivative instruments			9,672						—						—						9,421						—						—						—						(9,971)						9,122						(550)
			Total liabilities			$	9,672					$	—					$	—					$	9,421					$	—					$	—					$	—					$	(9,971)					$	9,122					$	(550)
			Year ended December 31, 2019
			Fixed maturities
			Corporate debt			$	49,012					$	—					$	—					$	4,790					$	(4,168)					$	—					$	(6,068)					$	(41,269)					$	2,297					$	—
			CMBS			19,134						—						(7,077)						—						142						—						—						(6,964)						5,235						—
			ABS			18,533						—						(18,230)						—						186						—						—						—						489						—
						86,679						—						(25,307)						4,790						(3,840)						—						(6,068)						(48,233)						8,021						—
			Other investments
			CLO-Equities			21,271						—						—						(199)						—						—						—						(6,744)						14,328						(199)
			Other privately held investments			44,518						—						—						18,092						—						22,500						(48,176)						—						36,934						5,150
						65,789						—						—						17,893						—						22,500						(48,176)						(6,744)						51,262						4,951
			Total assets			$	152,468					$	—					$	(25,307)					$	22,683					$	(3,840)					$	22,500					$	(54,244)					$	(54,977)					$	59,283					$	4,951
			Other liabilities
			Derivative instruments			10,299						—						—						(627)						—						—						—						—						9,672						(627)
			Total liabilities			$	10,299					$	—					$	—					$	(627)					$	—					$	—					$	—					$	—					$	9,672					$	(627)

(1)    Realized 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 gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

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

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

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

						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 gains/(losses) (3)
			Year ended December 31, 2020
			Fixed maturities
			Corporate debt			$	2,297					$	—					$	—					$	—					$	207					$	—					$	—					$	—					$	2,504					$	—
			CMBS			5,235						—						—						—						(11)						—						—						(3,484)						1,740						—
			ABS			489						9,091						—						—						116						969						—						—						10,665						—
						8,021						9,091						—						—						312						969						—						(3,484)						14,909						—
			Other investments
			CLO-Equities			14,328						—						—						(6,017)						—						—						—						(2,138)						6,173						(5,319)
			Other privately held investments			36,934						—						—						6,040						—						27,037						—						—						70,011						6,040
						51,262						—						—						23						—						27,037						—						(2,138)						76,184						721
			Total assets			$	59,283					$	9,091					$	—					$	23					$	312					$	28,006					$	—					$	(5,622)					$	91,093					$	721
			Other liabilities
			Derivative instruments			9,672						—						—						9,421						—						—						—						(9,971)						9,122						(550)
			Total liabilities			$	9,672					$	—					$	—					$	9,421					$	—					$	—					$	—					$	(9,971)					$	9,122					$	(550)
			Year ended December 31, 2019
			Fixed maturities
			Corporate debt			$	49,012					$	—					$	—					$	4,790					$	(4,168)					$	—					$	(6,068)					$	(41,269)					$	2,297					$	—
			CMBS			19,134						—						(7,077)						—						142						—						—						(6,964)						5,235						—
			ABS			18,533						—						(18,230)						—						186						—						—						—						489						—
						86,679						—						(25,307)						4,790						(3,840)						—						(6,068)						(48,233)						8,021						—
			Other investments
			CLO-Equities			21,271						—						—						(199)						—						—						—						(6,744)						14,328						(199)
			Other privately held investments			44,518						—						—						18,092						—						22,500						(48,176)						—						36,934						5,150
						65,789						—						—						17,893						—						22,500						(48,176)						(6,744)						51,262						4,951
			Total assets			$	152,468					$	—					$	(25,307)					$	22,683					$	(3,840)					$	22,500					$	(54,244)					$	(54,977)					$	59,283					$	4,951
			Other liabilities
			Derivative instruments			10,299						—						—						(627)						—						—						—						—						9,672						(627)
			Total liabilities			$	10,299					$	—					$	—					$	(627)					$	—					$	—					$	—					$	—					$	9,672					$	(627)

(1)    Realized 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 gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3)    Change in unrealized gains (losses) relating to assets and liabilities 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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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.

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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).

+ References

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