For Immediate Release         Contact Jill Becher
January 2, 2003               Corporate Communications            [Cobalt Logo]
                              (414) 226-5413

                      COBALT CORPORATION ACQUIRES CMS, INC.

     (Milwaukee, Wis.) - Cobalt Corporation (NYSE: CBZ) announced today it has
acquired Claim Management Services, Inc. (CMS), a third party administrator
(TPA) for self-funded employee benefit plans, based in Green Bay, Wis. The
company acquired CMS from West Bend Mutual Insurance Company.

     CMS administers benefit plans for approximately 220,000 members throughout
the United States. Some of the services CMS offers are medical and dental claim
administration; medical case management and utilization review; billing and
eligibility administration; and HIPAA and COBRA administration. CMS employs 280
people at offices in Green Bay and West Bend, Wis. No staffing changes are
planned at this time.

     "The addition of 220,000 members represents an 18 percent growth on our
existing 1.2 million membership base. This acquisition demonstrates Cobalt's
commitment to profitable growth in our core businesses," said Stephen E.
Bablitch, chairman and chief executive officer of Cobalt Corporation. "Cobalt
financed the acquisition by a combination of cash and American Medical Security
Group (NYSE: AMZ) common stock from our existing portfolio."

     "This acquisition provides an opportunity for Cobalt Corporation to expand
the services that we offer customers in Wisconsin and throughout the country,"
said Michael Bernstein, president and chief operating officer of Cobalt
Corporation. "CMS is a high quality third party administrator, which strengthens
our commitment to providing best-in-class service to our customers."

     "The acquisition of CMS by Cobalt Corporation is viewed as very positive by
the clients and employees of CMS," said Tom Casper, president of CMS. "As a
member of a family of health care companies we will be able to expand our
product offerings, which will allow for CMS to grow significantly while still
retaining the independence that has made us unique in the self-insured arena."

     A third party administrator is an organization that administers health care
benefits, mostly for self-insured employers. Many employers, particularly large
employers, self-fund their insurance coverage and often buy insurance for
catastrophic costs, generally referred to as stop-loss coverage. Other employers
use a more traditional, fully insured product, where the entire risk of the
coverage is placed on the insurance company and not on the employer.

     Cobalt Corporation is the Blue Cross and Blue Shield licensee for the state
of Wisconsin and an independent licensee of the Blue Cross Blue Shield
Association. It is one of the leading, publicly traded health care companies in
the nation, offering a diverse portfolio of complementary insurance and managed
care products to employer, individual, insurer and government customers.
Headquartered in Milwaukee and formed by the combination of Blue Cross & Blue
Shield United of Wisconsin and United Wisconsin Services, Inc., Cobalt
Corporation (NYSE: CBZ) serves 1.4 million lives in 50 states. For more
information, visit our Web site at www.cobaltcorporation.com

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