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FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2021

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, 2021
			Assets
			Fixed maturities, available for sale
			U.S. government and agency			$	2,632,541					$	49,907					$	—					$	—					$	2,682,448
			Non-U.S. government			—						795,178						—						—						795,178
			Corporate debt			—						4,452,418						42,894						—						4,495,312
			Agency RMBS			—						1,074,589						—						—						1,074,589
			CMBS			—						1,248,191						—						—						1,248,191
			Non-agency RMBS			—						186,164						—						—						186,164
			ABS			—						1,622,480						—						—						1,622,480
			Municipals			—						208,838						—						—						208,838
						2,632,541						9,637,765						42,894						—						12,313,200
			Equity securities
			Common stocks			1,364						—						—						—						1,364
			Preferred stocks			179						—						—						—						179
			Exchange-traded funds			336,815						—						—						—						336,815
			Bond mutual funds			—						317,317						—						—						317,317
						338,358						317,317						—						—						655,675
			Other investments
			Hedge funds (1)			—						—						—						59,488						59,488
			Direct lending funds			—						—						—						289,867						289,867
			Private equity funds			—						—						—						249,974						249,974
			Real estate funds			—						—						—						238,222						238,222
			CLO-Equities			—						—						5,910						—						5,910
			Other privately held investments			—						—						104,521						—						104,521
			Overseas deposits			—						—						—						—						—
						—						—						110,431						837,551						947,982
			Short-term investments			—						31,063						—						—						31,063
			Other assets
			Derivative instruments (refer to Note 7)			—						3,116						—						—						3,116
			Total Assets			$	2,970,899					$	9,989,261					$	153,325					$	837,551					$	13,951,036
			Liabilities
			Derivative instruments (refer to Note 7)			$	—					$	14,987					$	5,630					$	—					$	20,617
			Cash-settled awards (refer to Note 16)			—						9,091						—						—						9,091
			Total Liabilities			$	—					$	24,078					$	5,630					$	—					$	29,708

(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, 2020
			Assets
			Fixed maturities, available for sale
			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.

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at December 31, 2021 of investments classified as Level 3 in the fair value hierarchy:

						Fair value			Valuation technique			Unobservable input			Amount /Range			Weighted average
			Other investments - CLO-Equities			$	5,910		Discounted cash flow			Default rate			4.5%			4.5%
												Loss severity rate			50.0%			50.0%
												Collateral spread			3.0%			3.0%
												Estimated maturity date			6 years			6 years
			Other investments - Other privately     held investments			$	20,867		Discounted cash flow			Discount rate			2.5%			2.5%
												Default rate			0.5%			0.5%
												Loss absorption yield			1.0%			1.0%
												Estimated maturity date			2 - 4 years			3 years
			Derivatives - Other underwriting-     related derivatives			$	(5,630)		Discounted cash flow			Discount rate			1.3%			1.3%

Note: Fixed maturities of $43 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $84 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

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, 2021
			Fixed maturities, available for sale
			Corporate debt			$	2,504					$	—					$	—					$	—					$	(642)					$	41,800					$	—					$	(768)					$	42,894					$	—
			CMBS			1,740						—						—						—						13						—						—						(1,753)						—						—
			ABS			10,665						—						(10,200)						—						35						—						—						(500)						—						—
						14,909						—						(10,200)						—						(594)						41,800						—						(3,021)						42,894						—
			Other investments
			CLO-Equities			6,173						—						—						2,819						—						—						—						(3,082)						5,910						2,819
			Other privately held investments			70,011						—						—						42,653						—						21,760						(26,980)						(2,923)						104,521						25,273
						76,184						—						—						45,472						—						21,760						(26,980)						(6,005)						110,431						28,092
			Total assets			$	91,093					$	—					$	(10,200)					$	45,472					$	(594)					$	63,560					$	(26,980)					$	(9,026)					$	153,325					$	28,092
			Other liabilities
			Derivative instruments			$	9,122					$	—					$	—					$	(2,742)					$	—					$	—					$	—					$	(750)					$	5,630					$	(1,769)
			Total liabilities			$	9,122					$	—					$	—					$	(2,742)					$	—					$	—					$	—					$	(750)					$	5,630					$	(1,769)
			Year ended December 31, 2020
			Fixed maturities, available for sale
			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)

(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, 2021
			Fixed maturities, available for sale
			Corporate debt			$	2,504					$	—					$	—					$	—					$	(642)					$	41,800					$	—					$	(768)					$	42,894					$	—
			CMBS			1,740						—						—						—						13						—						—						(1,753)						—						—
			ABS			10,665						—						(10,200)						—						35						—						—						(500)						—						—
						14,909						—						(10,200)						—						(594)						41,800						—						(3,021)						42,894						—
			Other investments
			CLO-Equities			6,173						—						—						2,819						—						—						—						(3,082)						5,910						2,819
			Other privately held investments			70,011						—						—						42,653						—						21,760						(26,980)						(2,923)						104,521						25,273
						76,184						—						—						45,472						—						21,760						(26,980)						(6,005)						110,431						28,092
			Total assets			$	91,093					$	—					$	(10,200)					$	45,472					$	(594)					$	63,560					$	(26,980)					$	(9,026)					$	153,325					$	28,092
			Other liabilities
			Derivative instruments			$	9,122					$	—					$	—					$	(2,742)					$	—					$	—					$	—					$	(750)					$	5,630					$	(1,769)
			Total liabilities			$	9,122					$	—					$	—					$	(2,742)					$	—					$	—					$	—					$	(750)					$	5,630					$	(1,769)
			Year ended December 31, 2020
			Fixed maturities, available for sale
			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)

(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).

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