Allied World Assurance 8-K Allied World Reports 97.0% Combined Ratio for the Fourth Quarter 2015

Exhibit 99.2

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

4th Quarter Ended December 31, 2015

Investor Contact:        This report is for informational purposes only. It should be read in conjunction with documents filed by

Sarah Doran            Allied World Assurance Company Holdings, AG with the U.S. Securities and Exchange Commission.

Phone: (646)794-0590

Email: sarah.doran@awac.com

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

Any forward-looking statements made in this report reflect our current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties, which may cause actual results to differ materially from those set forth in these statements. For example, our forward-looking statements could be affected by pricing and policy term trends; increased competition; the adequacy of our loss reserves; negative rating agency actions; greater frequency or severity of unpredictable catastrophic events; the impact of acts of terrorism and acts of war; the company or its subsidiaries becoming subject to significant income taxes in the United States or elsewhere; changes in regulations or tax laws; changes in the availability, cost or quality of reinsurance or retrocessional coverage; adverse general economic conditions; and judicial, legislative, political and other governmental developments, as well as management's response to these factors, and other factors identified in our filings with the U.S. Securities and Exchange Commission. You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. We are under no obligation (and expressly disclaim any such obligation) to update or revise any forward-looking statement that may be made from time to time, whether as a result of new information, future developments or otherwise.

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
FINANCIAL SUPPLEMENT TABLE OF CONTENTS
		Page
	Basis of Presentation	4
I.	Financial Highlights
	- Consolidated Financial Highlights	5
II.	Consolidated Financial Statements
	- Consolidated Statements of Operations	6
	- Consolidated Balance Sheets	7
	- Consolidated Statement of Cash Flows	8
III.	Segment Results
	- Consolidated Segment Results - Current Quarter	9
	- Consolidated Segment Results - Prior Year Quarter	10
	- Consolidated Segment Results - Current Year to Date	11
	- Consolidated Segment Results - Prior Year to Date	12
	- Gross Premiums Written by Segment and Geographic Location	13
	- Gross Premiums Written by Line of Business	14
IV.	Incurred Losses, Loss Reserves and PMLs
	- Consolidated Incurred Loss Analysis by Segment	15
	- Net Loss Reserve Development by Loss Year - Current Quarter	16
	- Net Loss Reserve Development by Loss Year - Prior Year Quarter	17
	- Net Loss Reserve Development by Loss Year - Current Year to Date	18
	- Net Loss Reserve Development by Loss Year - Prior Year to Date	19
	- Reserves for Losses and Loss Expenses	20
	- Reinsurance Recoverable	21
	- Probable Maximum Losses	22
V.	Investment Portfolio
	- Consolidated Total Investment Portfolio	23
	- Investment Income, Book Yield and Portfolio Return	24
	- Additional Investment Detail	25
VI.	Capital Structure
	- Share Repurchase Detail	27
	- Capital Structure and Leverage Ratios	28
VII.	Non-GAAP Reconciliations
	- Operating Income Reconciliation and Basic and Diluted Earnings per Share	29
	- Return on Average Shareholders' Equity and Reconciliation of Average Shareholders' Equity	30
	- Reconciliation of Diluted Book Value per Share	31
	- Regulation G	32

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

• All financial information contained herein is unaudited.

• Unless otherwise noted, all data is in thousands of U.S. dollars, except for share, per share, percentage and ratio information.

• Allied World Assurance Company Holdings, AG, along with others in the industry, use underwriting ratios as measures of performance. The loss and loss expense ratio is calculated by dividing net losses and loss expenses by net premiums earned. The acquisition cost ratio is calculated by dividing acquisition costs by net premiums earned. The general and administrative expense ratio is calculated by dividing general and administrative expenses by net premiums earned. The expense ratio is calculated by combining the acquisition cost ratio and the general and administrative expense ratio. The combined ratio is calculated by combining the loss and loss expense ratios, the acquisition cost ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned, the costs of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss.

• In presenting the company’s results, management has included and discussed certain non-generally accepted accounting principles (“non-GAAP”) financial measures, as such term is defined in Regulation G promulgated by the SEC. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“GAAP”). The reconciliation of such non-GAAP financial measures to their respective most directly comparable GAAP financial measures in accordance with Regulation G is included in this financial supplement. See page 32 for further details.

Page 4

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED FINANCIAL HIGHLIGHTS

			Three Months Ended											Year Ended
			December 31,						$			%		December 31,						$			%
			2015			2014			Difference			Difference		2015			2014			Difference			Difference
HIGHLIGHTS
	Gross premiums written		$	632,357		$	565,743		$	66,614		11.8	%	$	3,093,003		$	2,935,425		$	157,578		5.4	%
	Net premiums written		464,818			427,795			37,023			8.7	%	2,448,007			2,322,075			125,932			5.4	%
	Net premiums earned		622,809			573,489			49,320			8.6	%	2,488,386			2,182,758			305,628			14.0	%
	Underwriting income		19,090			118,898			(99,808		)	(83.9	)%	120,372			322,710			(202,338		)	(62.7	)%
	Operating income		43,012			148,526			(105,514		)	(71.0	)%	211,967			415,062			(203,095		)	(48.9	)%
	Net income		1,707			130,509			(128,802		)	(98.7	)%	83,891			490,259			(406,368		)	(82.9	)%
	Total shareholders' equity		3,532,542			3,778,291			(245,749		)	(6.5	)%	3,532,542			3,778,291			(245,749		)	(6.5	)%
	Cash flows (used in) provided by operating activities		(78,648		)	(252,884		)	174,236			68.9	%	512,738			416,849			95,889			23.0	%
PER SHARE AND SHARE DATA
	Diluted earnings per share
		Net income	$	0.02		$	1.33		$	(1.31	)	(98.5	)%	$	0.89		$	4.92		$	(4.03	)	(81.9	)%
		Operating income	$	0.47		$	1.51		$	(1.04	)	(68.9	)%	$	2.25		$	4.17		$	(1.92	)	(46.0	)%
	Diluted book value per share		$	37.78		$	38.27		$	(0.49	)	(1.3	)%	$	37.78		$	38.27		$	(0.49	)	(1.3	)%
	Diluted tangible book value per share		$	32.38		$	34.98		$	(2.60	)	(7.4	)%	$	32.38		$	34.98		$	(2.60	)	(7.4	)%
FINANCIAL RATIOS
	Annualized return on average equity (ROAE), net income		0.2		%	14.0		%				(13.8) pts		2.3		%	13.4		%				(11.1) pts
	Annualized ROAE, operating income		4.8		%	15.9		%				(11.1) pts		5.8		%	11.4		%				(5.6) pts
	Financial statement portfolio return		0.1		%	0.4		%				(0.3) pts		0.6		%	3.1		%				(2.5) pts
	GAAP Ratios
	Loss and loss expense ratio		66.3		%	47.6		%				(18.7) pts		63.7		%	54.9		%				(8.8) pts
	Acquisition cost ratio		15.4		%	14.1		%				(1.3) pts		15.1		%	13.5		%				(1.6) pts
	General and administrative expense ratio		15.3		%	17.6		%				2.3 pts		16.3		%	16.8		%				0.5 pts
	Expense ratio		30.7		%	31.7		%				1.0 pts		31.4		%	30.3		%				(1.1) pts
	Combined ratio		97.0		%	79.3		%				(17.7) pts		95.1		%	85.2		%				(9.9) pts

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED STATEMENTS OF OPERATIONS

			Three Months Ended																Year Ended
			December 31,			September 30,			June 30,			March 31,				December 31,			December 31,			December 31,
			2015			2015			2015			2015			��	2014			2015			2014
Revenues
	Gross premiums written		$	632,357		$	754,062		$	825,970		$	880,614			$	565,743		$	3,093,003		$	2,935,425
	Net premiums written		$	464,818		$	606,992		$	603,669		$	772,528			$	427,795		$	2,448,007		$	2,322,075
	Net premiums earned		$	622,809		$	650,653		$	646,376		$	568,548			$	573,489		$	2,488,386		$	2,182,758
	Net investment income		49,099			45,667			42,760			44,551				49,050			182,077			176,874
	Net realized investment (losses) gains		(38,849		)	(113,626		)	(20,182		)	45,025				(15,329		)	(127,632		)	88,957
	Other income		982			735			924			854				1,032			3,495			2,064
		Total revenues	$	634,041		$	583,429		$	669,878		$	658,978			$	608,242		$	2,546,326		$	2,450,653
Expenses
	Net losses and loss expenses		$	412,756		$	416,881		$	431,521		$	325,176			$	272,959		$	1,586,334		$	1,199,190
	Acquisition costs		95,938			100,101			100,618			78,699				80,718			375,356			295,122
	General and administrative expenses		95,025			105,798			108,363			97,138				100,914			406,324			365,736
	Other expense		1,907			1,245			1,235			1,823				2,003			6,210			8,578
	Amortization and impairment of intangible assets		3,668			2,639			2,819			633				633			9,759			2,533
	Interest expense		18,126			14,469			14,466			14,337				14,304			61,398			57,755
	Foreign exchange loss (gain)		920			(793		)	1,265			9,897				(21		)	11,289			957
		Total expenses	$	628,340		$	640,340		$	660,287		$	527,703			$	471,510		$	2,456,670		$	1,929,871
Income (losses) before income taxes			$	5,701		$	(56,911	)	$	9,591		$	131,275			$	136,732		$	89,656		$	520,782
	Income tax expense (benefit)		3,994			(5,281		)	133			6,919				6,223			5,765			30,523
Net income (loss)			$	1,707		$	(51,630	)	$	9,458		$	124,356			$	130,509		$	83,891		$	490,259
GAAP Ratios
Loss and loss expense ratio			66.3		%	64.1		%	66.8		%	57.2		%		47.6		%	63.7		%	54.9		%
Acquisition cost ratio			15.4		%	15.4		%	15.6		%	13.8		%		14.1		%	15.1		%	13.5		%
General and administrative expense ratio			15.3		%	16.3		%	16.8		%	17.1		%		17.6		%	16.3		%	16.8		%
Expense ratio			30.7		%	31.7		%	32.4		%	30.9		%		31.7		%	31.4		%	30.3		%
Combined ratio			97.0		%	95.8		%	99.2		%	88.1		%		79.3		%	95.1		%	85.2		%
Per Share Data
Diluted earnings (loss) per share
	Net income (loss)		$	0.02		$	(0.56	)*	$	0.10		$	1.27			$	1.33		$	0.89		$	4.92
	Operating income		$	0.47		$	0.55		$	0.27		$	0.93			$	1.51		$	2.25		$	4.17
* Diluted weighted average common shares outstanding were only used in the calculation of diluted operating income per share, and not in the calculation of diluted earnings per share,
as there was a net loss during the three months ended September 30, 2015.

Page 6

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED BALANCE SHEETS

		As of		As of
		December 31, 2015		December 31, 2014
ASSETS
Fixed maturity investments trading, at fair value		$	7,201,538	$	6,069,010
Equity securities trading, at fair value		403,022		844,163
Other invested assets		966,709		955,509
	Total investments	8,571,269		7,868,682
Cash and cash equivalents		607,983		589,339
Restricted cash		60,629		80,971
Insurance balances receivable		745,888		664,815
Funds held		640,819		724,021
Prepaid reinsurance		392,265		360,732
Reinsurance recoverable		1,479,959		1,340,256
Reinsurance recoverable on paid losses		96,437		86,075
Accrued investment income		38,304		28,456
Net deferred acquisition costs		165,206		151,546
Goodwill		388,127		278,258
Intangible assets		116,623		46,298
Balances receivable on sale of investments		36,889		47,149
Net deferred tax assets		24,401		33,615
Other assets		147,149		118,641
TOTAL ASSETS		$	13,511,948	$	12,418,854
LIABILITIES
Reserve for losses and loss expenses		$	6,456,156	$	5,881,165
Unearned premiums		1,683,274		1,555,313
Reinsurance balances payable		214,369		180,060
Balances due on purchases of investments		125,126		5,428
Senior notes		1,292,907		796,093
Other long-term debt		23,033		19,213
Dividends payable		—		21,669
Accounts payable and accrued liabilities		184,541		181,622
TOTAL LIABILITIES		$	9,979,406	$	8,640,563
SHAREHOLDERS' EQUITY
Common shares: 2015 and 2014: par value CHF 4.10 per share (2015: 95,523,230; 2014: 100,775,256 shares issued and 2015: 90,959,635; 2014: 96,195,482 shares outstanding)		$	386,702	$	408,020
Treasury shares, at cost (2015: 4,563,595; 2014: 4,579,774)		(155,072)		(143,075)
Accumulated other comprehensive loss		(9,297)		—
Retained earnings		3,310,209		3,513,346
TOTAL SHAREHOLDERS' EQUITY		$	3,532,542	$	3,778,291
TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY		$	13,511,948	$	12,418,854
Diluted book value per share		$	37.78	$	38.27
Diluted tangible book value per share		$	32.38	$	34.98

Page 7

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED STATEMENTS OF CASH FLOWS

			Three Months Ended											Year Ended
			December 31,		September 30,			June 30,		March 31,		December 31,		December 31,		December 31,
			2015		2015			2015		2015		2014		2015		2014
CASH FLOWS (USED IN) PROVIDED BY OPERATING ACTIVITIES:
Net income (loss)			$	1,708	$	(51,630	)	$	9,458	$	124,356	$	130,509	$	83,892	$	490,259
Adjustments to reconcile net income (loss) to cash
	provided by operating activities:
		Net realized (gains) losses on sales of investments	(32,710)		17,039			(25,688)		(32,536)		(26,332)		(73,895)		(144,972)
		Mark to market adjustments	77,340		76,829			58,286		(22,694)		27,618		189,761		21,984
		Stock compensation expense	3,949		3,934			3,869		4,002		3,423		15,754		14,245
		Undistributed income of equity method investments	3,365		3,257			6,220		9,767		3,399		22,609		13,851
Changes in:
	Reserve for losses and loss expenses, net of
		reinsurance recoverables	(12,907)		55,908			119,037		13,890		(162,345)		175,928		8,884
	Unearned premiums, net of prepaid reinsurance		(157,271)		(47,057)			(43,543)		203,980		(145,695)		(43,891)		139,317
	Insurance balances receivable		160,141		39,138			(53,734)		(108,579)		180,168		36,966		(76,825)
	Reinsurance recoverables on paid losses		20,673		(28,689)			18,650		(20,996)		(4,875)		(10,362)		(8,509)
	Funds held		(197,149)		18,823			17,416		244,112		(318,318)		83,202		(91,591)
	Reinsurance balances payable		(45,917)		28,875			7,217		4,262		(23,368)		(5,563)		7,037
	Net deferred acquisition costs		27,913		6,721			18,078		(35,700)		20,281		17,012		(24,885)
	Net deferred tax assets		7,399		(7,450)			(6,384)		3,693		7,697		(2,742)		4,186
	Accounts payable and accrued liabilities		28,914		15,557			20,405		(75,008)		3,566		(10,132)		8,039
	Other items, net		35,904		32,729			(39,461)		5,027		51,388		34,199		55,829
		Net cash (used in) provided by operating activities	(78,648)		163,984			109,826		317,576		(252,884)		512,738		416,849
CASH FLOWS (USED IN) PROVIDED BY INVESTING ACTIVITIES:
Net (purchases) sales of investments			(475,234)		(135,672)			449,477		(338,270)		(25,646)		(499,699)		(133,168)
Purchases of fixed assets			(8,041)		(5,814)			(9,610)		(8,374)		(45,166)		(31,839)		(59,656)
Change in restricted cash			99,234		(52,794)			(57,138)		31,040		97,987		20,342		68,422
Net cash paid for acquisitions			17,083		—			(137,960)		(3,543)		—		(124,420)		(2,565)
		Net cash (used in) provided by investing activities	(366,958)		(194,280)			244,769		(319,147)		27,175		(635,616)		(126,967)
CASH FLOWS PROVIDED BY (USED IN) FINANCING ACTIVITIES:
Dividends paid			(47,287)		(23,593)			(21,522)		(21,669)		(21,686)		(114,071)		(76,750		)
Proceeds from the exercise of stock options			954		1,795			3,166		4,223		2,387		10,138		10,027
Proceeds from senior notes			496,705		—			—		—		—		496,705		—
Net proceeds from other-long term debt			(72)		(79)			3,928		—		19,213		3,777		19,213
Share repurchases			—		—			(196,170)		(50,273)		(9,703)		(246,443)		(175,910)
		Net cash provided by (used in) financing activities	450,300		(21,877)			(210,598)		(67,719)		(9,789)		150,106		(223,420)
Effect of exchange rate changes on foreign currency cash			(521)		(5,864)			2,780		(4,979)		(6,433)		(8,584)		(9,059)
NET (DECREASE) INCREASE IN CASH AND CASH EQUIVALENTS			4,173		(58,037)			146,777		(74,269)		(241,931)		18,644		57,404
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD			603,810		661,847			515,070		589,339		831,270		589,339		531,936
CASH AND CASH EQUIVALENTS, END OF PERIOD			$	607,983	$	603,810		$	661,847	$	515,070	$	589,339	$	607,983	$	589,340

Page 8

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – CURRENT QUARTER

			Three Months Ended December 31, 2015
			North American			Global Markets						Consolidated
			Insurance			Insurance			Reinsurance			Totals
Revenues
	Gross premiums written		$	456,649		$	148,127		$	27,581		$	632,357
	Net premiums written		$	338,238		$	107,875		$	18,705		$	464,818
	Net premiums earned		$	327,124		$	103,800		$	191,885		$	622,809
		Total revenues	$	327,124		$	103,800		$	191,885		$	622,809
Expenses
	Net losses and loss expenses		$	254,719		$	83,112		$	74,925		$	412,756
	Acquisition costs		38,693			16,846			40,399			95,938
	General and administrative expenses		48,973			30,264			15,788			95,025
		Total expenses	$	342,385		$	130,222		$	131,112		$	603,719
Underwriting (loss) income			$	(15,261	)	$	(26,422	)	$	60,773		$	19,090
	Other insurance-related income		982			—			—			982
	Other insurance-related expenses		587			282			1,038			1,907
Segment (loss) income			$	(14,866	)	$	(26,704	)	$	59,735		$	18,165
	Net investment income											49,099
	Net realized investment losses											(38,849		)
	Amortization and impairment of intangible assets											(3,668		)
	Interest expense											(18,126		)
	Foreign exchange loss											(920		)
Income before income taxes												$	5,701
GAAP Ratios
Loss and loss expense ratio			77.9		%	80.1		%	39.0		%	66.3		%
Acquisition cost ratio			11.8		%	16.2		%	21.1		%	15.4		%
General and administrative expense ratio			15.0		%	29.2		%	8.2		%	15.3		%
Expense ratio			26.8		%	45.4		%	29.3		%	30.7		%
Combined ratio			104.7		%	125.5		%	68.3		%	97.0		%

Page 9

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – PRIOR YEAR QUARTER

			Three Months Ended December 31, 2014
			North American			Global Markets						Consolidated
			Insurance			Insurance			Reinsurance			Totals
Revenues
	Gross premiums written		$	431,244		$	84,457		$	50,042		$	565,743
	Net premiums written		$	325,559		$	61,424		$	40,812		$	427,795
	Net premiums earned		$	302,710		$	47,983		$	222,796		$	573,489
		Total revenues	$	302,710		$	47,983		$	222,796		$	573,489
Expenses
	Net losses and loss expenses		$	163,252		$	25,852		$	83,855		$	272,959
	Acquisition costs		29,383			5,606			45,729			80,718
	General and administrative expenses		60,599			19,246			21,069			100,914
		Total expenses	$	253,234		$	50,704		$	150,653		$	454,591
Underwriting income (loss)			$	49,476		$	(2,721	)	$	72,143		$	118,898
	Other insurance-related income		1,032			—			—			1,032
	Other insurance-related expenses		584			1,419			—			2,003
Segment income (loss)			$	49,924		$	(4,140	)	$	72,143		$	117,927
	Net investment income											49,050
	Net realized investment losses											(15,329		)
	Amortization of intangible assets											(633		)
	Interest expense											(14,304		)
	Foreign exchange gain											21
Income before income taxes												$	136,732
GAAP Ratios
Loss and loss expense ratio			53.9		%	53.9		%	37.6		%	47.6		%
Acquisition cost ratio			9.7		%	11.7		%	20.5		%	14.1		%
General and administrative expense ratio			20.0		%	40.1		%	9.5		%	17.6		%
Expense ratio			29.7		%	51.8		%	30.0		%	31.7		%
Combined ratio			83.6		%	105.7		%	67.6		%	79.3		%

Page 10

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – CURRENT YEAR TO DATE

			Year Ended December 31, 2015
			North American			Global Markets						Consolidated
			Insurance			Insurance			Reinsurance			Totals
Revenues
	Gross premiums written		$	1,815,285		$	476,350		$	801,368		$	3,093,003
	Net premiums written		$	1,358,104		$	324,105		$	765,798		$	2,448,007
	Net premiums earned		$	1,301,356		$	366,793		$	820,237		$	2,488,386
		Total revenues	$	1,301,356		$	366,793		$	820,237		$	2,488,386
Expenses
	Net losses and loss expenses		$	910,193		$	240,312		$	435,829		$	1,586,334
	Acquisition costs		139,512			70,921			164,923			375,356
	General and administrative expenses		224,708			108,353			73,263			406,324
		Total expenses	$	1,274,413		$	419,586		$	674,015		$	2,368,014
Underwriting income (loss)			$	26,943		$	(52,793	)	$	146,222		$	120,372
	Other insurance-related income		3,495			—			—			3,495
	Other insurance-related expenses		2,664			2,508			1,038			6,210
Segment income (loss)			$	27,774		$	(55,301	)	$	145,184		$	117,657
	Net investment income											182,077
	Net realized investment losses											(127,632		)
	Amortization and impairment of intangible assets											(9,759		)
	Interest expense											(61,398		)
	Foreign exchange loss											(11,289		)
Income before income taxes												$	89,656
GAAP Ratios
Loss and loss expense ratio			69.9		%	65.5		%	53.1		%	63.7		%
Acquisition cost ratio			10.7		%	19.3		%	20.1		%	15.1		%
General and administrative expense ratio			17.3		%	29.5		%	8.9		%	16.3		%
Expense ratio			28.0		%	48.8		%	29.0		%	31.4		%
Combined ratio			97.9		%	114.3		%	82.1		%	95.1		%

Page 11

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – PRIOR YEAR TO DATE

			Year Ended December 31, 2014
			North American			Global Markets						Consolidated
			Insurance			Insurance			Reinsurance			Totals
Revenues
	Gross premiums written		$	1,716,288		$	280,543		$	938,594		$	2,935,425
	Net premiums written		$	1,230,839		$	187,997		$	903,239		$	2,322,075
	Net premiums earned		$	1,111,164		$	162,566		$	909,028		$	2,182,758
		Total revenues	$	1,111,164		$	162,566		$	909,028		$	2,182,758
Expenses
	Net losses and loss expenses		$	683,836		$	61,057		$	454,297		$	1,199,190
	Acquisition costs		105,914			18,222			170,986			295,122
	General and administrative expenses		219,665			68,106			77,965			365,736
		Total expenses	$	1,009,415		$	147,385		$	703,248		$	1,860,048
Underwriting income			$	101,749		$	15,181		$	205,780		$	322,710
	Other insurance-related income		2,064			—			—			2,064
	Other insurance-related expenses		1,854			6,724			—			8,578
Segment income			$	101,959		$	8,457		$	205,780		$	316,196
	Net investment income											176,874
	Net realized investment gains											88,957
	Amortization of intangible assets											(2,533		)
	Interest expense											(57,755		)
	Foreign exchange loss											(957		)
Income before income taxes												$	520,782
GAAP Ratios
Loss and loss expense ratio			61.5		%	37.6		%	50.0		%	54.9		%
Acquisition cost ratio			9.5		%	11.2		%	18.8		%	13.5		%
General and administrative expense ratio			19.8		%	41.9		%	8.6		%	16.8		%
Expense ratio			29.3		%	53.1		%	27.4		%	30.3		%
Combined ratio			90.8		%	90.7		%	77.4		%	85.2		%

Page 12

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

GROSS PREMIUMS WRITTEN BY SEGMENT AND GEOGRAPHIC LOCATION

	Three Months Ended								Year Ended
	December 31, 2015				December 31, 2014				December 31, 2015				December 31, 2014
	Amount		% of Total		Amount		% of Total		Amount		% of Total		Amount		% of Total
Gross Premiums Written by Segment
North American Insurance	$	456,649	72.2	%	$	431,244	76.3	%	$	1,815,285	58.7	%	$	1,716,288	58.4	%
Global Markets Insurance	148,127		23.4	%	84,457		14.9	%	476,350		15.4	%	280,543		9.6	%
Reinsurance	27,581		4.4	%	50,042		8.8	%	801,368		25.9	%	938,594		32.0	%
Total	$	632,357	100.0	%	$	565,743	100.0	%	$	3,093,003	100.0	%	$	2,935,425	100.0	%
Gross Premiums Written by Underwriting Location
United States	$	384,048	60.7	%	$	347,912	61.6	%	$	1,893,362	61.2	%	$	1,795,564	61.2	%
Bermuda	94,666		15.0	%	115,943		20.5	%	543,654		17.6	%	640,948		21.8	%
Europe	75,859		12.0	%	72,695		12.8	%	326,901		10.6	%	318,626		10.9	%
Asia Pacific	73,747		11.7	%	24,535		4.3	%	313,069		10.1	%	167,334		5.7	%
Canada	4,037		0.6	%	4,658		0.8	%	16,017		0.5	%	12,953		0.4	%
Total	$	632,357	100.0	%	$	565,743	100.0	%	$	3,093,003	100.0	%	$	2,935,425	100.0	%
Direct Premiums Written by Insured Location(1)
United States	$	448,836	74.2	%	$	427,628	82.9	%	$	1,799,880	78.5	%	$	1,701,770	85.2	%
United Kingdom	32,298		5.3	%	20,581		4.0	%	99,526		4.3	%	85,458		4.3	%
Australia	16,268		2.7	%	11,818		2.3	%	37,698		1.6	%	29,064		1.5	%
Hong Kong	29,928		4.9	%	1,246		0.2	%	89,532		3.9	%	6,486		0.3	%
Canada	12,930		2.1	%	11,332		2.2	%	34,290		1.5	%	29,530		1.5	%
All other	64,516		10.8	%	43,096		8.4	%	230,709		10.2	%	144,523		7.2	%
Total	$	604,776	100.0	%	$	515,701	100.0	%	$	2,291,635	100.0	%	$	1,996,831	100.0	%
(1) Excludes Reinsurance segment gross premiums written.

Page 13

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS

	Three Months Ended								Year Ended
	December 31, 2015				December 31, 2014				December 31, 2015				December 31, 2014
	Amount		% of Total		Amount		% of Total		Amount		% of Total		Amount		% of Total
North American Insurance
Casualty	$	130,478	28.6	%	$	133,606	31.0	%	$	600,995	33.0	%	$	549,356	32.0	%
Professional liability	129,866		28.4	%	112,966		26.2	%	424,897		23.4	%	412,633		24.0	%
Property	66,467		14.6	%	69,490		16.1	%	286,316		15.8	%	291,109		17.0	%
Programs	54,231		11.9	%	39,545		9.2	%	191,590		10.6	%	159,473		9.3	%
Specialty and other(1)	42,685		9.3	%	32,436		7.5	%	139,764		7.7	%	99,975		5.8	%
Healthcare	32,922		7.2	%	43,201		10.0	%	171,723		9.5	%	203,742		11.9	%
Total	$	456,649	100.0	%	$	431,244	100.0	%	$	1,815,285	100.0	%	$	1,716,288	100.0	%
Global Markets Insurance
Specialty and other(2)	$	45,907	31.0	%	$	33,364	39.5	%	$	140,877	29.5	%	79,029		28.2	%
Professional liability	42,438		28.6	%	35,165		41.7	%	141,403		29.7	%	126,136		45.0	%
Casualty	33,717		22.8	%	6,688		7.9	%	109,013		22.9	%	36,000		12.8	%
Property	26,065		17.6	%	9,240		10.9	%	85,057		17.9	%	39,378		14.0	%
Total	$	148,127	100.0	%	$	84,457	100.0	%	$	476,350	100.0	%	$	280,543	100.0	%
Reinsurance
Casualty	$	12,087	43.8	%	$	24,852	49.7	%	$	192,945	24.1	%	261,050		27.8	%
Specialty	9,349		33.9	%	7,678		15.3	%	186,878		23.3	%	206,727		22.0	%
Property	6,145		22.3	%	17,512		35.0	%	421,545		52.6	%	470,817		50.2	%
Total	$	27,581	100.0	%	$	50,042	100.0	%	$	801,368	100.0	%	$	938,594	100.0	%
(1) Includes the environmental, primary construction, surety and trade credit lines of businesses.
(2) Includes the accident and health, trade credit, aviation, marine and onshore construction lines of businesses.

Page 14

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED INCURRED LOSS ANALYSIS BY SEGMENT

	Three Months Ended								Year Ended
	December 31, 2015				December 31, 2014				December 31, 2015				December 31, 2014
	Amount		% of NPE(1)		Amount		% of NPE(1)		Amount		% of NPE(1)		Amount			% of NPE(1)
North American Insurance
Current year - non-catastrophe	$	237,017	72.5	%	$	204,903	67.7	%	$	905,715	69.6	%	$	748,261		67.3	%
Current year - property catastrophe	—		0.0	%	—		0.0	%	2,750		0.2	%	4,000			0.4	%
Prior year - increase (decrease)	17,702		5.4	%	(41,651)		(13.8	)%	1,728		0.1	%	(68,425)			(6.2	)%
Net losses and loss expenses	$	254,719	77.9	%	$	163,252	53.9	%	$	910,193	69.9	%	$	683,836		61.5	%
Global Markets Insurance
Current year - non-catastrophe	$	88,115	84.9	%	$	30,041	62.6	%	$	260,861	71.1	%	$	103,694		63.8	%
Current year - property catastrophe	—		0.0	%	—		0.0	%	4,250		1.2	%	11,000			6.8	%
Prior year - increase (decrease)	(5,003)		(4.8	)%	(4,189)		(8.7	)%	(24,799)		(6.8	)%	(53,637)			(33.0	)%
Net losses and loss expenses	$	83,112	80.1	%	$	25,852	53.9	%	$	240,312	65.5	%	$	61,057		37.6	%
Reinsurance
Current year - non-catastrophe	$	75,139	39.1	%	$	87,742	39.3	%	$	440,844	53.7	%	$	494,842		54.5	%
Current year - property catastrophe	—		0.0	%	22,000		9.9	%	53,500		6.5	%	50,000			5.5	%
Prior year - increase (decrease)	(214)		(0.1	)%	(25,887)		(11.6	)%	(58,515)		(7.1	)%	(90,545)			(10.0	)%
Net losses and loss expenses	$	74,925	39.0	%	$	83,855	37.6	%	$	435,829	53.1	%	$	454,297		50.0	%
Consolidated
Current year - non-catastrophe	$	400,271	64.3	%	$	322,686	56.3	%	$	1,607,420	64.6	%	$	1,346,797		61.6	%
Current year - property catastrophe	—		0.0	%	22,000		3.8	%	60,500		2.4	%	65,000			3.0	%
Prior year - increase (decrease)	12,485		2.0	%	(71,727)		(12.5	)%	(81,586)		(3.3	)%	(212,607		)	(9.7	)%
Net losses and loss expenses	$	412,756	66.3	%	$	272,959	47.6	%	$	1,586,334	63.7	%	$	1,199,190		54.9	%
(1) "NPE" means net premiums earned.

Page 15

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

NET LOSS RESERVE DEVELOPMENT BY LOSS YEAR – CURRENT QUARTER

	Three Months Ended December 31, 2015
(Favorable) Unfavorable Development ($ in millions)	2009 and Prior			2010			2011			2012			2013			2014			Total
North American Insurance
Casualty	$	(5.8	)	$	(1.3	)	$	(0.4	)	$	2.9		$	0.0		$	0.0		$	(4.6	)
Professional liability	2.2			3.5			(6.8)			(1.4)			(2.4)			8.4			3.5
Property	0.3			(0.1)			(0.9)			(1.7)			(1.4)			(3.9)			(7.7)
Programs	(0.4)			0.1			(2.8)			(0.8)			(2.2)			0.3			(5.8)
Healthcare	2.8			(0.4)			0.0			6.9			11.7			11.5			32.5
Specialty and other(1)	0.0			0.0			0.0			(0.3)			0.0			0.1			(0.2)
Total	$	(0.9	)	$	1.8		$	(10.9	)	$	5.6		$	5.7		$	16.4		$	17.7
Global Markets Insurance
Casualty	$	(1.0	)	$	(1.0	)	$	(0.3	)	$	(0.5	)	$	(0.9	)	$	3.3		$	(0.4	)
Professional liability	(0.5)			(0.5)			(0.7)			(1.9)			(1.7)			0.3			(5.0)
Property	0.0			0.0			0.0			(0.1)			0.0			(0.6)			(0.7)
Specialty and other(2)	0.0			0.0			0.1			(0.1)			(1.1)			2.2			1.1
Total	$	(1.5	)	$	(1.5	)	$	(0.9	)	$	(2.6	)	$	(3.7	)	$	5.2		$	(5.0	)
Reinsurance
Property	$	(0.8	)	$	(1.3	)	$	2.0		$	(0.6	)	$	1.6		$	(6.9	)	$	(6.0	)
Casualty	12.2			(6.1)			(8.2)			11.5			2.0			(3.9)			7.5
Specialty	(0.2)			0.0			0.0			(1.2)			0.0			(0.3)			(1.7)
Total	$	11.2		$	(7.4	)	$	(6.2	)	$	9.7		$	3.6		$	(11.1	)	$	(0.2	)
Consolidated
North American Insurance	$	(0.9	)	$	1.8		$	(10.9	)	$	5.6		$	5.7		$	16.4		$	17.7
Global Markets Insurance	(1.5)			(1.5)			(0.9)			(2.6)			(3.7)			5.2			(5.0)
Reinsurance	11.2			(7.4)			(6.2)			9.7			3.6			(11.1)			(0.2)
Total	$	8.8		$	(7.1	)	$	(18.0	)	$	12.7		$	5.6		$	10.5		$	12.5
(1) Includes the environmental, primary construction, surety and trade credit lines of businesses.
(2) Includes the accident and health, trade credit, aviation, marine and onshore construction lines of businesses.

Page 16

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

NET LOSS RESERVE DEVELOPMENT BY LOSS YEAR – PRIOR YEAR QUARTER

	Three Months Ended December 31, 2014
(Favorable) Unfavorable Development ($ in millions)	2008 and Prior			2009			2010			2011			2012			2013			Total
North American Insurance
Casualty	$	(4.7	)	$	(4.0	)	$	0.3		$	(2.8	)	$	2.6		$	4.2		$	(4.4	)
Professional liability	(3.6		)	(8.3		)	(5.1		)	0.4			(7.6		)	(1.4		)	(25.6		)
Property	(0.2		)	0.0			(0.1		)	0.0			(2.9		)	(1.5		)	(4.7		)
Programs	0.0			(0.1		)	(0.9		)	(0.4		)	(0.5		)	(0.3		)	(2.2		)
Healthcare	(4.0		)	(0.3		)	(7.9		)	3.6			(0.1		)	(0.1		)	(8.8		)
Specialty and other(1)	0.0			0.0			0.0			1.4			2.6			0.0			4.0
Total	$	(12.5	)	$	(12.7	)	$	(13.7	)	$	2.2		$	(5.9	)	$	0.9		$	(41.7	)
Global Markets Insurance
Casualty	$	(1.0	)	$	(1.2	)	$	(0.2	)	$	(0.2	)	$	(0.3	)	$	0.1		$	(2.8	)
Professional liability	(1.2		)	(1.2		)	(1.6		)	(0.8		)	6.9			(0.7		)	1.4
Property	(0.1		)	0.0			0.2			(0.2		)	(0.1		)	(2.7		)	(2.9		)
Specialty and other(2)	0.0			0.0			0.0			0.0			0.1			0.0			0.1
Total	$	(2.3	)	$	(2.4	)	$	(1.6	)	$	(1.2	)	$	6.6		$	(3.3	)	$	(4.2	)
Reinsurance
Property	$	0.0		$	0.3		$	(0.1	)	$	(4.0	)	$	(3.1	)	$	(21.1	)	$	(28.0	)
Casualty	5.4			(1.5		)	(4.4		)	1.2			1.2			1.4			3.3
Specialty	0.0			0.0			0.0			0.9			1.4			(3.4		)	(1.1		)
Total	$	5.4		$	(1.2	)	$	(4.5	)	$	(1.9	)	$	(0.5	)	$	(23.1	)	$	(25.8	)
Consolidated
North American Insurance	$	(12.5	)	$	(12.7	)	$	(13.7	)	$	2.2		$	(5.9	)	$	0.9		$	(41.7	)
Global Markets Insurance	(2.3		)	(2.4		)	(1.6		)	(1.2		)	6.6			(3.3		)	(4.2		)
Reinsurance	5.4			(1.2		)	(4.5		)	(1.9		)	(0.5		)	(23.1		)	(25.8		)
Total	$	(9.4	)	$	(16.3	)	$	(19.8	)	$	(0.9	)	$	0.2		$	(25.5	)	$	(71.7	)
(1) Includes the environmental, primary construction, surety and trade credit lines of businesses.
(2) Includes the accident and health, trade credit, aviation, marine and onshore construction lines of businesses.

Page 17

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

NET LOSS RESERVE DEVELOPMENT BY LOSS YEAR – CURRENT YEAR TO DATE

	Year Ended December 31, 2015
(Favorable) Unfavorable Development ($ in millions)	2009 and Prior			2010			2011			2012			2013			2014			Total
North American Insurance
Casualty	$	(22.0	)	$	(5.8	)	$	(6.4	)	$	15.6		$	16.5		$	2.2		$	0.1
Professional liability	13.5			(14.3)			(19.6)			(9.7)			(6.5)			17.2			(19.4)
Property	(1.8)			0.1			(1.2)			(3.6)			(5.5)			(1.8)			(13.8)
Programs	(2.9)			(3.4)			(5.5)			(3.6)			(2.7)			0.0			(18.1)
Healthcare	(4.5)			(1.0)			4.2			21.0			18.6			11.5			49.8
Specialty and other(1)	0.0			(0.1)			0.0			0.2			0.0			3.0			3.1
Total	$	(17.7	)	$	(24.5	)	$	(28.5	)	$	19.9		$	20.4		$	32.1		$	1.7
Global Markets Insurance
Casualty	$	(8.7	)	$	(4.6	)	$	0.0		$	1.2		$	1.4		$	2.7		$	(8.0	)
Professional liability	(1.3)			(6.3)			(2.7)			1.4			(3.2)			0.4			(11.7)
Property	(1.3)			(0.3)			(0.5)			0.2			(4.4)			(5.8)			(12.1)
Specialty and other(2)	(0.2)			(0.1)			(0.2)			(0.2)			3.9			3.8			7.0
Total	$	(11.5	)	$	(11.3	)	$	(3.4	)	$	2.6		$	(2.3	)	$	1.1		$	(24.8	)
Reinsurance
Property	$	(2.9	)	$	0.6		$	5.2		$	(8.9	)	$	9.5		$	(51.9	)	$	(48.4	)
Casualty	(5.1)			(20.4)			(6.9)			18.1			6.8			(1.4)			(8.9)
Specialty	(0.9)			(0.1)			(0.5)			0.0			(1.8)			2.1			(1.2)
Total	$	(8.9	)	$	(19.9	)	$	(2.2	)	$	9.2		$	14.5		$	(51.2	)	$	(58.5	)
Consolidated
North American Insurance	$	(17.7	)	$	(24.5	)	$	(28.5	)	$	19.9		$	20.4		$	32.1		$	1.7
Global Markets Insurance	(11.5)			(11.3)			(3.4)			2.6			(2.3)			1.1			(24.8)
Reinsurance	(8.9)			(19.9)			(2.2)			9.2			14.5			(51.2)			(58.5)
Total	$	(38.1	)	$	(55.7	)	$	(34.1	)	$	31.7		$	32.6		$	(18.0	)	$	(81.6	)
(1) Includes the environmental, primary construction, surety and trade credit lines of businesses.
(2) Includes the accident and health, trade credit, aviation, marine and onshore construction lines of businesses.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

NET LOSS RESERVE DEVELOPMENT BY LOSS YEAR – PRIOR YEAR TO DATE

	Year Ended December 31, 2014
(Favorable) Unfavorable Development ($ in millions)	2008 and Prior			2009			2010			2011			2012			2013			Total
North American Insurance
Casualty	$	6.1		$	(11.4	)	$	(2.1	)	$	(2.1	)	$	2.8		$	8.4		$	1.7
Professional liability	(32.1)			(40.9)			(8.7)			0.5			7.7			5.9			(67.6)
Property	(0.7)			(0.5)			0.9			(3.6)			(6.4)			(6.3)			(16.6)
Programs	0.6			(4.5)			(2.0)			(4.5)			(0.2)			(1.5)			(12.1)
Healthcare	(15.7)			2.6			(15.6)			19.8			8.0			25.7			24.8
Specialty and other(1)	0.0			0.0			(0.2)			0.3			1.3			0.0			1.4
Total	$	(41.8	)	$	(54.7	)	$	(27.7	)	$	10.4		$	13.2		$	32.2		$	(68.4	)
Global Markets Insurance
Casualty	$	(12.1	)	$	(7.8	)	$	(3.6	)	$	1.2		$	(0.4	)	$	0.1		$	(22.6	)
Professional liability	(6.8)			(4.1)			(9.2)			(3.5)			9.1			0.5			(14.0)
Property	(1.4)			(0.3)			(0.8)			(3.6)			(3.5)			(7.5)			(17.1)
Specialty and other(2)	0.0			0.0			(0.1)			(1.0)			(2.0)			3.2			0.1
Total	$	(20.3	)	$	(12.2	)	$	(13.7	)	$	(6.9	)	$	3.2		$	(3.7	)	$	(53.6	)
Reinsurance
Property	$	0.6		$	0.6		$	1.5		$	(9.2	)	$	(6.3	)	$	(65.5	)	$	(78.3	)
Casualty	(2.4)			(3.3)			(4.0)			(0.8)			0.9			2.7			(6.9)
Specialty	(1.1)			0.2			(0.3)			(0.1)			7.1			(11.2)			(5.4)
Total	$	(2.9	)	$	(2.5	)	$	(2.8	)	$	(10.1	)	$	1.7		$	(74.0	)	$	(90.6	)
Consolidated
North American Insurance	$	(41.8	)	$	(54.7	)	$	(27.7	)	$	10.4		$	13.2		$	32.2		$	(68.4	)
Global Markets Insurance	(20.3)			(12.2)			(13.7)			(6.9)			3.2			(3.7)			(53.6)
Reinsurance	(2.9)			(2.5)			(2.8)			(10.1)			1.7			(74.0)			(90.6)
Total	$	(65.0	)	$	(69.4	)	$	(44.2	)	$	(6.6	)	$	18.1		$	(45.5	)	$	(212.6	)
(1) Includes the environmental, primary construction, surety and trade credit lines of businesses.
(2) Includes the accident and health, trade credit, aviation, marine and onshore construction lines of businesses.

Page 19

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RESERVE FOR LOSSES AND LOSS EXPENSES

	As of December 31, 2015
	North American			Global Markets						Consolidated
	Insurance			Insurance			Reinsurance			Total
Case reserves (net of reinsurance recoverable)	$	670,917		$	321,482		$	431,073		$	1,423,472
IBNR (net of reinsurance recoverable)	2,115,755			391,812			1,045,158			3,552,725
Total	$	2,786,672		$	713,294		$	1,476,231		$	4,976,197
IBNR/Total reserves (net of reinsurance recoverable)	75.9		%	54.9		%	70.8		%	71.4		%
	As of December 31, 2014
	North American			Global Markets						Consolidated
	Insurance			Insurance			Reinsurance			Total
Case reserves (net of reinsurance recoverable)	$	730,258		$	95,338		$	455,910		$	1,281,506
IBNR (net of reinsurance recoverable)	1,919,994			299,547			1,039,862			3,259,403
Total	$	2,650,252		$	394,885		$	1,495,772		$	4,540,909
IBNR/Total reserves (net of reinsurance recoverable)	72.4		%	75.9		%	69.5		%	71.8		%

Page 20

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

REINSURANCE RECOVERABLE

	December 31, 2015							December 31, 2014
	A.M. Best	Reinsurance						A.M. Best	Reinsurance
Top Ten Reinsurers	Rating	Recoverable		Percentage		Collateral		Rating	Recoverable		Percentage		Collateral
Munich Re	A+	$	307,865	20.8	%	$	90,393	A+	$	285,918	21.3	%	$	83,371
Axis Capital	A+	150,832		10.2	%	7,122		A+	148,371		11.1	%	7,819
Arch Re	A+	115,330		7.8	%	2,894		A+	128,421		9.6	%	3,356
Swiss Re	A+	103,872		7.0	%	6,088		A+	66,854		5.0	%	—
RenaissanceRe	A+	93,991		6.4	%	—		A+	103,350		7.7	%	—
Markel	A	90,105		6.1	%	25,232		A	86,595		6.5	%	35,287
XL Group	A	87,132		5.9	%	794		A	78,377		5.8	%	—
Odyssey Reinsurance	A	77,203		5.2	%	—		A	76,294		5.7	%	—
Transatlantic	A	55,336		3.7	%	—		A	54,652		4.1	%	—
Everest Re	A+	51,006		3.4	%	19,017		A+	37,529		2.8	%	13,012
Top ten reinsurers		1,132,672		76.5	%	151,540			1,066,361		79.6	%	142,845
Other reinsurers' balances		347,287		23.5	%	27,183			273,895		20.4	%	16,122
Total reinsurance recoverable		$	1,479,959	100.0	%	$	178,723		$	1,340,256	100.0	%	$	158,967
		Reinsurance							Reinsurance
A.M Best Rating		Recoverable		Percentage		Collateral			Recoverable		Percentage		Collateral
A++		$	81,374	5.5	%	$	1,399		$	72,861	5.3	%	$	1,345
A+		896,981		60.6	%	125,514			760,780		56.9	%	108,412
A		486,344		32.9	%	28,871			488,821		36.5	%	37,934
A-		4,408		0.3	%	—			3,215		0.2	%	—
Total "A-" or higher		1,469,107		99.3	%	155,784			1,325,677		98.9	%	147,691
B++		4		0.0	%	—			4		0.0	%	—
NR		10,848		0.7	%	22,939			14,575		1.1	%	11,276
Total reinsurance recoverable		$	1,479,959	100.0	%	$	178,723		$	1,340,256	100.0	%	$	158,967

Page 21

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

PROBABLE MAXIMUM LOSSES

Consolidated Estimated Net Loss as of December 1, 2015
		1-in-100 Year	1-in-250 Year			1-in-100 Year	1-in-250 Year
		($ in millions)				($ in millions)
Zone	Peril	PML	PML	Zone	Peril	PML	PML
U.S. total	Hurricane	$508	$664	U.S. Southeast (1)	Hurricane	$432	$519
U.S. total	Earthquake	$423	$525	U.S. Gulf Coast (2)	Hurricane	$261	$362
				U.S. Northeast (3)	Hurricane	$221	$428
				California	Earthquake	$353	$474

PMLs Over the Most Recent Six Quarters as a % of Total Capital

(1) Florida, Georgia, North Carolina and South Carolina.

(2) Alabama, Louisiana, Mississippi and Texas.

(3) Connecticut, Maine, Massachusetts, New Hampshire, New York, Rhode Island and Vermont.

(4) Total capital combines shareholders' equity, senior notes and other long-term debt.

Note: We develop the estimates of losses expected from certain catastrophes for our portfolio of (re)insurance contracts using commercially available catastrophe models, including RMS and AIR. The above tables show our largest Probable Maximum Losses ("PMLs") from a single catastrophic event (1) within a specific peril which corresponds to peak industry catastrophe exposures and (2) within a defined zone which corresponds to peak industry catastrophe exposures at December 1, 2015. A zone is a geographic area in which the insurance risks are considered to be correlated to a single catastrophic event. Net loss estimates and zonal aggregates are before income tax and net of reinsurance and retrocessional recoveries. The 1-in-100 year and 1-in-250 year return periods refer to the frequency with which losses of a given amount or greater are expected to occur.

Page 22

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED TOTAL INVESTMENT PORTFOLIO

				As of December 31, 2015												As of December 31, 2014
							Average	Portfolio		Investment		Non-Investment
				Fair Value			Rating	Percentage		Grade		Grade		Total		Fair Value
Cash and cash equivalents				$	668,612		AAA	7.2	%	$	668,612	$	—	$	668,612	$	670,310
U.S. government securities				1,396,411			AA+	15.1	%	1,396,411		—		1,396,411		1,499,347
U.S. government agencies				37,637			AA+	0.4	%	37,637		—		37,637		111,155
Non-U.S. government and government agencies				556,758			AA-	6.0	%	485,522		71,236		556,758		188,199
State, municipalities and political subdivisions				413,473			AA-	4.5	%	367,444		46,029		413,473		170,567
Mortgage-backed securities:
	Agency MBS			751,838			AA	8.1	%	751,838		—		751,838		624,413
	Non-agency RMBS			34,015			BBB-	0.4	%	19,959		14,056		34,015		93,419
	CMBS			582,785			BBB-	6.3	%	307,135		275,650		582,785		545,685
		Total mortgage-backed securities		1,368,638				14.8	%	1,078,932		289,706		1,368,638		1,263,517
Corporate securities(1):
	Financials			1,275,408			A	13.8	%	1,235,795		39,613		1,275,408		1,024,667
	Industrials			1,308,093			BBB+	14.2	%	1,099,768		208,325		1,308,093		1,029,729
	Utilities			118,945			BBB+	1.3	%	114,156		4,789		118,945		110,997
		Total corporate securities		2,702,446				29.3	%	2,449,719		252,727		2,702,446		2,165,393
Asset-backed securities				726,175			AA	7.9	%	678,179		47,996		726,175		670,832
Equities				403,022			N/A	4.4	%	—		403,022		403,022		844,163
Other invested assets:
	Private equity			447,455			N/A	4.8	%	—		447,455		447,455		357,350
	Hedge funds			378,988			N/A	4.1	%	—		378,988		378,988		425,030
	Other private securities			126,492			N/A	1.4	%	—		126,492		126,492		142,966
	High yield loan fund			13,774			N/A	0.1	%	—		13,774		13,774		30,163
		Total other invested assets		966,709				10.4	%	—		966,709		966,709		955,509
			Total investment portfolio	$	9,239,881			100.0	%	$	7,162,456	$	2,077,425	$	9,239,881	$	8,538,992
Annualized book yield, year to date				2.1		%										2.1		%
Duration(2)				2.6 years												2.0 years
Average credit quality (S&P)				A+												AA-
(1) Includes floating rate bank loans.
(2) Includes only fixed maturity investments and cash and cash equivalents.

Page 23

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

INVESTMENT INCOME, BOOK YIELD AND PORTFOLIO RETURN

		Three Months Ended						Year Ended
		December 31,			December 31,			December 31,			December 31,
		2015			2014			2015			2014
NET INVESTMENT INCOME
Fixed maturity investments		$	43,887		$	38,451		$	164,151		$	149,449
Equity securities		1,764			4,705			13,304			17,581
Other invested assets: hedge funds and private equity		3,304			3,797			19,609			12,564
Other invested assets: other private securities		3,951			6,014			2,832			13,305
Cash and cash equivalents		478			572			1,656			2,134
Expenses		(4,285		)	(4,489		)	(19,475		)	(18,159		)
Net investment income		$	49,099		$	49,050		$	182,077		$	176,874
NET REALIZED INVESTMENT (LOSSES) GAINS
Net realized gains (losses) on sale:
	Fixed maturity investments	$	10,027		$	7,254		$	15,089		$	30,861
	Equity securities	18,455			2,417			33,371			46,191
	Other invested assets: hedge funds and private equity	3,182			16,928			25,468			70,099
	Derivatives	5,760			(13,560		)	(11,797		)	(35,460		)
Mark-to-market (losses) gains:
	Fixed maturity investments	(83,815		)	(19,714		)	(126,257		)	(1,675		)
	Equity securities	16,036			9,181			(41,726		)	413
	Other invested assets: hedge funds and private equity	(4,910		)	(16,857		)	(18,137		)	(17,925		)
	Derivatives	(3,584		)	(978		)	(3,643		)	(3,547		)
Net realized investment (losses) gains		$	(38,849	)	$	(15,329	)	$	(127,632	)	$	88,957
TOTAL FINANCIAL STATEMENT PORTFOLIO RETURN		$	10,250		$	33,721		$	54,445		$	265,831
ANNUALIZED INVESTMENT BOOK YIELD
Net investment income, recurring		$	49,099		$	49,050		$	182,077		$	176,874
Annualized net investment income		196,396			196,200			182,077			176,874
Average aggregate invested assets, at cost		$	8,974,133		$	8,555,879		$	8,779,559		$	8,283,130
Annualized investment book yield		2.2		%	2.3		%	2.1		%	2.1		%
FINANCIAL STATEMENT PORTFOLIO RETURN
Total financial statement portfolio return		$	10,250		$	33,721		$	54,445		$	265,831
Average aggregate invested assets, at fair value		$	9,008,126		$	8,610,327		$	8,866,179		$	8,472,941
Financial statement portfolio return		0.1		%	0.4		%	0.6		%	3.1		%

Page 24

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

ADDITIONAL INVESTMENT DETAIL

Other Invested Assets:								Top 10 Corporate Fixed Income and Equity Exposures:
			Carrying Value										Fair Value
Fund Details			December 31, 2015		Unfunded Commitments			Corporate					December 31, 2015		Portfolio Percentage
Private Equity:								JP Morgan Chase & Co					$	57,498		0.6	%
Primary and secondary			$	236,461	$	230,976		Barclays PLC					55,568			0.6	%
Mezzanine debt			205,912		179,013			Bank of America Corp					52,580			0.6	%
Distressed			5,082		3,784			Royal Bank of Scotland					49,371			0.5	%
Real estate			—		200,000			Morgan Stanley					48,636			0.5	%
	Total private equity		447,455		613,773			General Electric Co					43,053			0.5	%
Hedge Funds:								Mitsubishi UFJ Financial Group					41,652			0.5	%
Distressed			215,580		—			Wells Fargo & Co					39,311			0.4	%
Equity long/short			57,971		—			Lloyd's Banking Group PLC					36,872			0.4	%
Relative value credit			105,437		—			HSBC Holdings PLC					34,597			0.4	%
	Total hedge funds		378,988		—
	Other private securities		126,492		—
	High yield loan fund		13,774		—
		Total other invested assets	$	966,709	$	613,773
Fixed Income Credit Quality:			December 31, 2015					December 31, 2014
Rating			Fair Value		Percentage			Fair Value		Percentage
U.S. government and agencies			$	1,434,049	19.9		%	$	1,610,501		26.5	%
AAA/Aaa			1,572,212		21.8		%	885,454			14.6	%
AA/Aa			1,484,109		20.6		%	1,247,461			20.6	%
A/A			1,083,257		15.0		%	1,205,509			19.9	%
BBB/Baa			920,220		12.8		%	421,347			6.9	%
	Total BBB/Baa and above		6,493,847		90.1		%	5,370,272			88.5	%
BB/Bb			88,708		1.2		%	80,005			1.3	%
B/B			232,070		3.3		%	385,120			6.4	%
CCC+ and below			386,913		5.4		%	233,613			3.8	%
		Total	$	7,201,538	100.0		%	$	6,069,010		100.0	%

Page 25

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

ADDITIONAL INVESTMENT DETAIL

TOTAL EXPOSURE BY ASSET TYPE AND REGION - December 31, 2015
				Sovereign
				Guaranteed				Mortgage-Backed Securities							Asset-		Corporate Securities
				Financial		State and		Agency							Backed								Equity		Total
Region	Country	Sovereign		Institutions		Municipalities		MBS			MBS		CMBS		Securities		Financials		Industrials		Utilities		Securities		Exposure
Africa	South Africa	$	—	$	—	$	—	$	—		$	—	$	—	$	—	$	—	$	5,890	$	—	$	367	$	6,257
Australia	Australia	61,522		—		—		—			—		—		—		35,716		2,429		—		391		100,058
	Total	61,522		—		—		—			—		—		—		35,716		2,429		—		391		100,058
Europe	Austria	—		—		—		—			—		—		—		—		—		—		1,028		1,028
	Belgium	—		—		—		—			—		—		—		—		—		—		5,820		5,820
	Denmark	—		—		—		—			—		—		—		—		—		—		3,388		3,388
	Finland	—		—		—		—			—		—		—		—		—		—		2,752		2,752
	France	6,876		—		—		—			—		—		—		58,353		18,738		—		19,686		103,653
	Germany	60,859		650		—		—			—		—		—		—		—		—		13,332		74,841
	Greece	—		—		—		—			—		—		—		—		—		—		4,342		4,342
	Hungary	—		—		—		—			—		—		—		—		—		—		545		545
	Ireland	—		—		—		—			—		—		—		28,989		3,915		—		6,914		39,818
	Italy	—		—		—		—			—		—		—		—		—		—		6,696		6,696
	Luxembourg	9,988		—		—		—			—		—		2,773		3,173		25,082		—		1,174		42,190
	Netherlands	—		—		—		—			—		—				44,725		22,805		—		9,181		76,711
	Norway	3,540		—		—		—			—		—		—		6,554		2,733		—		529		13,356
	Portugal	—		—		—		—			—		—		—		—		—		—		1,813		1,813
	Russia	—		—		—		—			—		—		—		—		—		—		1,051		1,051
	Spain	—		—		—		—			—		—		—		3,533		98		—		2,130		5,761
	Sweden	—		—		—		—			—		—		—		13,849		—		—		6,436		20,285
	Switzerland	1,983		—		—		—			—		—		—		—		—		—		20,253		22,236
	United Kingdom	43,638		—		—		—			1,950		—		2,559		168,775		68,077		2,510		35,424		322,933
	Total	126,884		650		—		—			1,950		—		5,332		327,951		141,448		2,510		142,494		749,219
Latin	Brazil	—		—		—		—			—		—		—		—		—		—		373		373
America	Chile	—		—		—		—			—		—		—		4,444		—		—		—		4,444
	Mexico			—		—		—			—		—		—		—		—		1,587		980		2,567
	Puerto Rico	—		—		43,777		—			—		—		—		—		24,132		—		—		67,909
	Total	—		—		43,777		—			—		—		—		4,444		24,132		1,587		1,353		75,293
North	Bermuda	—		—		—		—			—		—		—		—		2,698		—		64		2,762
America	Canada	51,197		—		—		—			—		—		—		59,486		25,590		2,978		4,285		143,536
	Cayman Islands	—		—		—		—			—		—		358,173		28,443		4,200						390,816
	United States	1,434,049		—		369,696		751,839			32,065		582,784		362,670		761,901		1,087,573		106,461		183,199		5,672,237
	Total	1,485,246		—		369,696		751,839			32,065		582,784		720,843		849,830		1,120,061		109,439		187,548		6,209,351
Asia /	China	9,709		1,261		—		—			—		—		—		1,910		—		—		5,921		18,801
Middle East	Hong Kong	130,075		—		—		—		��	—		—		—		6,826		—		4,278		1,543		142,722
	India	—		—		—		—			—		—		—		—		—		—		1,847		1,847
	Indonesia	—		—		—		—			—		—		—		—		—		—		99		99
	Israel	—		—		—		—			—		—		—		—		1,077		—		1,055		2,132
	Japan	90,617		—		—		—			—		—		—		28,720		5,673		—		56,719		181,729
	Malaysia	—		—		—		—			—		—		—		2,079		—		—		—		2,079
	Singapore	77,338		—		—		—			—		—		—		16,876		7,383		1,131		—		102,728
	South Korea	7,504				—		—			—		—		—		1,056		—		—		2,387		10,947
	Taiwan	—		—		—		—			—		—		—		—		—		—		1,298		1,298
	Total	315,243		1,261		—		—			—		—		—		57,467		14,133		5,409		70,869		464,382
	Grand Total	$	1,988,895	$	1,911	$	413,473	$	751,839		$	34,015	$	582,784	$	726,175	$	1,275,408	$	1,308,093	$	118,945	$	403,022	$	7,604,560
Note: This table includes fixed maturity investments and equity securities only.

Page 26

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

SHARE REPURCHASE DETAIL

					Average				Average		Remaining
		Aggregate Cost		Number of	Price paid		Average		Repurchase		Share
		of Shares		Shares	Per Share		Diluted Book		Price to Diluted		Repurchase
Period		Repurchased		Repurchased	Repurchased		Value Per Share  (1)		Book Value		Authorization
Three Months Ended:
	March 31, 2014	$	68,659	2,012,196	$	34.12	$	34.94	97.7	%
	June 30, 2014	70,874		1,949,496	36.36		36.33		100.1	%
	September 30, 2014	24,996		654,851	38.17		37.05		103.0	%
	December 31, 2014	10,844		290,242	37.36		37.70		99.1	%
	Total - 2014	$	175,373	4,906,785	$	35.74	$	36.24	98.6	%
Three Months Ended:
	March 31, 2015	$	50,949	1,271,213	$	40.08	$	38.63	103.8	%
	June 30, 2015	194,352		4,776,224	40.69		39.45		103.1	%
	September 30, 2015	0		0	0.00		38.97		0.0	%
	December 31, 2015	0		0	0.00		37.90		0.0	%
	Total - 2015	$	245,301	6,047,437	$	40.56	$	38.03	106.7	%	$	173,060
(1) Average of beginning and ending diluted book value per share for each period presented and weighted average total.

Page 27

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CAPITAL STRUCTURE AND LEVERAGE RATIOS

	As of			As of
	December 31, 2015			December 31, 2014
Senior notes	$	1,292,907		$	796,093
Other long-term debt	23,033			19,213
Shareholders' equity	3,532,542			3,778,291
Total capitalization	$	4,848,482		$	4,593,597
Leverage Ratios
Debt to total capitalization(1)	27.1		%	17.7		%
Net premiums written (trailing 12 months)	$	2,448,007		$	2,322,075
Net premiums written (trailing 12 months) to shareholders' equity	0.69x			0.61x
Total investments and cash & cash equivalents	$	9,239,881		$	8,538,992
Total investments and cash & cash equivalents to shareholders' equity	2.62x			2.26x
Reserve for losses and loss expenses	$	6,456,156		$	5,881,165
Deduct: reinsurance recoverable	(1,479,959)			(1,340,256)
Net reserve for losses and loss expenses	$	4,976,197		$	4,540,909
Net reserve for losses and loss expenses to shareholders' equity	1.41x			1.20x
(1) Increase due to $500 million 4.35% senior notes issued in October 2015 to refinance the existing $500 million 7.50% senior notes due in August 2016.

Fixed Charge Coverage Ratio	Three Months Ended						Year Ended
	December 31,			December 31,			December 31,			December 31,
	2015			2014			2015			2014
Interest expense	$	18,126		$	14,304		$	61,398		$	57,755
Income before income taxes	5,701			136,732			89,656			520,782
Interest expense	18,126			14,304			61,398			57,755
Earnings for calculation of fixed coverage ratio	$	23,827		$	151,036		$	151,054		$	578,537
Fixed charge coverage ratio	1.3		x	10.6		x	2.5		x	10.0		x

Page 28

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

OPERATING INCOME RECONCILIATION AND

BASIC AND DILUTED EARNINGS PER SHARE INFORMATION

		Three Months Ended													Year Ended
		December 31,		September 30,			June 30,		March 31,			December 31,			December 31,		December 31,
		2015		2015			2015		2015			2014			2015		2014
Net income (loss)		$	1,707	$	(51,630	)	$	9,458	$	124,356		$	130,509		$	83,891	$	490,259
Add after tax effect of:
	Net realized investment losses (gains)	40,385		103,862			15,112		(42,572		)	18,038			116,787		(76,154		)
	Foreign exchange loss (gain)	920		(793		)	1,265		9,897			(21		)	11,289		957
Operating income		$	43,012	$	51,439		$	25,835	$	91,681		$	148,526		$	211,967	$	415,062
Weighted average common shares outstanding
Basic		90,934,107		90,882,511			92,441,730		95,935,551			96,386,796			92,530,208		97,538,319
Diluted		92,422,422		92,440,277*			93,984,226		97,577,029			98,394,432			94,174,460		99,591,773
Basic per share data
Net income (loss)		$	0.02	$	(0.57	)	$	0.10	$	1.30		$	1.35		$	0.91	$	5.03
Add after tax effect of:
	Net realized investment losses (gains)	0.44		1.14			0.16		(0.44		)	0.19			1.26		(0.78		)
	Foreign exchange loss (gain)	0.01		(0.01		)	0.02		0.10			0.00			0.12		0.01
Operating income		$	0.47	$	0.56		$	0.28	$	0.96		$	1.54		$	2.29	$	4.26
Diluted per share data
Net income (loss)		$	0.02	$	(0.56	)*	$	0.10	$	1.27		$	1.33		$	0.89	$	4.92
Add after tax effect of:
	Net realized investment losses (gains)	0.44		1.12			0.16		(0.44		)	0.18			1.24		(0.76		)
	Foreign exchange loss (gain)	0.01		(0.01		)	0.01		0.10			0.00			0.12		0.01
Operating income		$	0.47	$	0.55		$	0.27	$	0.93		$	1.51		$	2.25	$	4.17
* Diluted weighted average common shares outstanding were only used in the calculation of diluted operating income per share, and not in the calculation of diluted earnings per share,
as there was a net loss during the three months ended September 30, 2015.

Page 29

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RETURN ON AVERAGE SHAREHOLDERS’ EQUITY AND RECONCILIATION OF AVERAGE SHAREHOLDERS’ EQUITY

		Three Months Ended															Year Ended
		December 31,			September 30,			June 30,			March 31,			December 31,			December 31,			December 31,
		2015			2015			2015			2015			2014			2015			2014
Opening shareholders' equity		$	3,555,405		$	3,624,801		$	3,829,067		$	3,778,291		$	3,676,599		$	3,778,291		$	3,519,826
Add: accumulated other comprehensive loss		4,265			3,272			—			—			—			—			—
Adjusted opening shareholders' equity		$	3,559,670		$	3,628,073		$	3,829,067		$	3,778,291		$	3,676,599		$	3,778,291		$	3,519,826
Closing shareholders' equity		$	3,532,542		$	3,555,405		$	3,624,801		$	3,829,067		$	3,778,291		$	3,532,542		$	3,778,291
Add: accumulated other comprehensive loss		9,297			4,265			3,272			—			—			9,297			—
Adjusted closing shareholders' equity		$	3,541,839		$	3,559,670		$	3,628,073		$	3,829,067		$	3,778,291		$	3,541,839		$	3,778,291
Average adjusted shareholders' equity		$	3,550,755		$	3,593,872		$	3,728,570		$	3,803,679		$	3,727,445		$	3,660,065		$	3,649,059
Net income (loss) available to shareholders		$	1,707		$	(51,630	)	$	9,458		$	124,356		$	130,509		$	83,891		$	490,259
Annualized net income (loss) available to
	shareholders	$	6,828		$	(206,520	)	$	37,832		$	497,424		$	522,036		$	83,891		$	490,259
Annualized return on average shareholders' equity -
	net income (loss) available to shareholders	0.2		%	(5.7		)%	1.0		%	13.1		%	14.0		%	2.3		%	13.4		%
Operating income available to shareholders		$	43,012		$	51,439		$	25,835		$	91,681		$	148,526		$	211,967		$	415,062
Annualized operating income available to
	shareholders	$	172,048		$	205,756		$	103,340		$	366,724		$	594,104		$	211,967		$	415,062
Annualized return on average shareholders' equity -
	operating income available to shareholders	4.8		%	5.7		%	2.8		%	9.6		%	15.9		%	5.8		%	11.4		%

Page 30

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RECONCILIATION OF DILUTED BOOK VALUE PER SHARE

		As of			As of
		December 31,			December 31,
		2015			2014
Price per share at period end		$	37.19		$	37.92
Total shareholders' equity		$	3,532,542		$	3,778,291
Total tangible shareholders' equity(1)		$	3,027,792		$	3,453,735
Basic common shares outstanding		90,959,635			96,195,482
Add: unvested restricted stock units		819,309			502,506
Add: performance based equity awards		591,683			616,641
Add: employee share purchase plan		53,514			42,176
Add: dilutive stock options outstanding		1,968,607			2,426,674
	Weighted average exercise price per share	$	16.87		$	16.41
Deduct: stock options bought back via treasury method		(892,993		)	(1,050,151		)
Common shares and common share equivalents outstanding		93,499,755			98,733,328
Basic book value per common share		$	38.84		$	39.28
Year-to-date percentage change in basic book value per common share		-1.1		%
Diluted book value per common share		$	37.78		$	38.27
Year-to-date percentage change in diluted book value per common share		-1.3		%
Basic tangible book value per common share		$	33.29		$	35.90
Year-to-date percentage change in basic tangible book value per common share		-7.3		%
Diluted tangible book value per common share		$	32.38		$	34.98
Year-to-date percentage change in diluted tangible book value per common share		-7.4		%
(1) Total tangible shareholders' equity is total shareholders' equity excluding goodwill and intangible assets

Page 31

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

REGULATION G

In presenting the company's results, management has included and discussed certain non-GAAP financial measures. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company's results of operations in a manner that allows for a more complete understanding of the underlying trends in the company's business. However, these measures should not be viewed as a substitute for those determined in accordance with GAAP.

OPERATING INCOME

Operating income is an internal performance measure used by the company in the management of its operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net foreign exchange gain or loss, impairment of intangible assets and other non-recurring items. The company excludes net realized investment gains or losses, net foreign exchange gain or loss and other non-recurring items from its calculation of operating income because these amounts are heavily influenced by and fluctuate in part according to the availability of market opportunities and other factors. In addition to presenting net income determined in accordance with GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the company's results of operations and the company's underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. See page 29 for the reconciliation of net income to operating income.

ANNUALIZED RETURN ON AVERAGE SHAREHOLDERS' EQUITY ("ROAE")

Annualized return on average shareholders' equity is calculated using average shareholders’ equity, excluding the average after tax other comprehensive income or loss, which may include unrealized gains (losses) on investments and currency translation adjustments. Unrealized gains (losses) on investments are primarily the result of interest rate and credit spread movements and the resultant impact on fixed income securities. Such gains (losses) are not related to management actions or operational performance, nor are they likely to be realized. Therefore, the company believes that excluding these unrealized gains (losses) provides a more consistent and useful measurement of operating performance, which supplements GAAP information. In calculating ROAE, the net income (loss) available to shareholders for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net income (loss) available to shareholders. The company presents ROAE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information. See page 30 for the reconciliation of average shareholders’ equity.

ANNUALIZED OPERATING RETURN ON AVERAGE SHAREHOLDERS' EQUITY

Annualized operating return on average shareholders' equity is calculated using operating income (as defined above and annualized in the manner described for net income (loss) available to shareholders under ROAE above), and average shareholders' equity, excluding the average after tax unrealized gains (losses) on investments. Unrealized gains (losses) are excluded from equity for the reasons outlined in the annualized return on average shareholders' equity explanation above. See page 29 for the reconciliation of net income to operating income and page 30 for the reconciliation of average shareholders’ equity.

TANGIBLE SHAREHOLDERS' EQUITY AND DILUTED BOOK VALUE PER SHARE

The company has included tangible shareholders' equity, which is total shareholders' equity excluding goodwill and intangible assets, because it represents a more liquid measure of the company's net assets than total shareholders' equity. The company also has included diluted book value per share because it takes into account the effect of dilutive securities; therefore, the company believes it is an important measure of calculating shareholder returns. See page 31 for the reconciliation of diluted book value per share to basic book value per share.

ANNUALIZED INVESTMENT BOOK YIELD

Annualized investment book yield is calculated by dividing normalized net investment income by average aggregate invested assets at book value. In calculating annualized investment book yield, normalized net investment income for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net investment income. Normalized net investment income is adjusted for known annual or non-recurring items. Aggregate invested assets includes cash and cash equivalents, fixed maturity securities, equity securities, other invested assets and the net balances receivable or payable on purchases and sales of investments. The company utilizes and presents the investment yield in order to better disclose the performance of the company's investments and to show the components of the company's ROAE. See page 24 for the calculation of annualized investment book yield.

Page 32