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UNITED STATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549





FORM 20-F


|  |  |                                                                                               
|- |  | ----------------------------------------------------------------------------------------------
|o |  | REGISTRATION STATEMENT PURSUANT TO SECTION 12(b) OR (g) OF THE SECURITIES
EXCHANGE ACT OF 1934

OR

|  |  |                                                                                     
|- |  | ------------------------------------------------------------------------------------
|x |  | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934

For the fiscal year ended December 31, 2002.

OR

|  |  |                                                                                         
|- |  | ----------------------------------------------------------------------------------------
|o |  | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934




Commission file number: 333-14106

CONVERIUM HOLDING AG


(Exact name of Registrant as
specified in its charter)
Not Applicable
(Translation of Registrants name into English)


Switzerland
(Jurisdiction of incorporation or organization)

Baarerstrasse 8
CH-6300 Zug
Switzerland
(Address of principal executive offices)



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Securities registered or to be registered pursuant to Section 12(b) of the Act.

|                                                                                                                                                                    |  |                        
|------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -----------------------
|                                                                                                                                                                    |  | Name of each Exchange  
|Title of each class                                                                                                                                                 |  | on which registered    
|                                                                                                                                                                    |  |                        
|American Depositary Shares (as evidenced by
American Depositary Receipts), each representing one-
half (1/2) of one registered share, nominal value CHF10
per share |  | New York Stock
Exchange
|                                                                                                                                                                    |  |                        
|Registered shares, nominal value CHF10 per share*                                                                                                                   |  | New York Stock
Exchange
|                                                                                                                                                                    |  |                        
|8.25% Guaranteed Subordinated Notes due 2032 issued
by Converium Finance S.A.                                                                                       |  | New York Stock
Exchange
|                                                                                                                                                                    |  |                        
|Subordinated Guarantee of Subordinated Notes+                                                                                                                       |  | New York Stock
Exchange

     Not for trading, but only in connection with the
listing of American Depositary Shares, pursuant to
the requirements of the Securities and Exchange
Commission



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+      Not for trading, but only in connection with the listing of the
Subordinated Notes, pursuant to the requirements of the Securities and Exchange
Commission.

Securities registered or to be registered pursuant to Section 12(g) of the Act.
None
(Title of Class)

Securities for which there is a reporting obligation pursuant to Section 15(d) of the Act.
None
(Title of Class)

Indicate the number of outstanding shares of each of the issuers classes
of capital or common stock as of the close of the period covered by the annual
report.

As of December 31, 2002, there were outstanding: 39,904,647 registered
shares, nominal value CHF10 per share, including 7,855,604 American Depositary
Shares (as evidenced by American Depositary Receipts), each representing
one-half (1/2) of one registered share.

Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.

Yes   x               No   o

Indicate by check mark which financial statement item the registrant has
elected to follow.

Item 17   o               Item 18   x

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TABLE OF CONTENTS



|                                                     |                                                                                      |  |  |  |  |  |  | 
|---------------------------------------------------- | ------------------------------------------------------------------------------------ |  |  |  |  |  |  | 
|PART I                                              
|                                                     | ITEM 1. IDENTITY OF DIRECTORS, SENIOR MANAGEMENT AND ADVISERS                       
|                                                     | ITEM 2. OFFER STATISTICS AND EXPECTED TIMETABLE                                     
|                                                     | ITEM 3. KEY INFORMATION                                                             
|                                                     | ITEM 4. INFORMATION ON THE COMPANY                                                  
|                                                     | ITEM 5. OPERATING AND FINANCIAL REVIEW AND PROSPECTS                                
|                                                     | ITEM 6. DIRECTORS, SENIOR MANAGEMENT AND EMPLOYEES                                  
|                                                     | ITEM 7. MAJOR SHAREHOLDERS AND RELATED PARTY TRANSACTIONS                           
|                                                     | ITEM 8. FINANCIAL INFORMATION                                                       
|                                                     | ITEM 9. THE OFFER AND LISTING                                                       
|                                                     | ITEM 10. ADDITIONAL INFORMATION                                                     
|                                                     | ITEM 11. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK                 
|                                                     | ITEM 12. DESCRIPTION OF SECURITIES OTHER THAN EQUITY SECURITIES                     
|PART II                                             
|                                                     | ITEM 13. DEFAULTS, DIVIDEND ARREARAGES AND DELINQUENCIES                            
|                                                     | ITEM 14. MATERIAL MODIFICATION TO THE RIGHTS OF SECURITY HOLDERS AND USE OF PROCEEDS
|                                                     | ITEM 15. CONTROLS AND PROCEDURES                                                    
|                                                     | ITEM 16. [RESERVED]                                                                 
|PART III                                            
|                                                     | ITEM 17. FINANCIAL STATEMENTS                                                       
|                                                     | ITEM 18. FINANCIAL STATEMENTS                                                       
|                                                     | ITEM 19. EXHIBITS                                                                   
|GLOSSARY OF SELECTED INSURANCE AND REINSURANCE TERMS
|SIGNATURES                                          
|Articles of Incorporation  of Converium Holding AG  
|Subordinated Guarantee by ConveriumHolding AG       
|Indenture                                           
|PUT Option Agreement                                
|Share Purchase Agreement                            
|Shareholder Agreement                               
|Sale and Purchase Agreement                         
|Amendment to Share Purchase Agreement               
|Computation of ratio of earnings to fixed charges   
|Subsidiaries of Registrant                          
|Consent of PricewaterhouseCoopers Ltd               
|Certification of Chief Executive Officer            
|Certification of Chief Financial Officer            



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TABLE OF CONTENTS

|                                                                                     |  |       |  | 
|------------------------------------------------------------------------------------ |  | ----- |  | 
|                                                                                     |  | Page 
|                                                                                     |  |      
|Presentation of Information                                                          |  | 3    
|Cautionary Note Regarding Forward-Looking Statements                                 |  | 3    
|                                                                                     |  |       |  | 
|PART I                                                                               |  |       |  | 
|                                                                                     |  |       |  | 
|ITEM 1. Identity of Directors, Senior Management and Advisers                        |  | 5    
|ITEM 2. Offer Statistics and Expected Timetable                                      |  | 5    
|ITEM 3. Key Information                                                              |  | 5    
|ITEM 4. Information on the Company                                                   |  | 13   
|ITEM 5. Operating and Financial Review and Prospects                                 |  | 63   
|ITEM 6. Directors, Senior Management and Employees                                   |  | 99   
|ITEM 7. Major Shareholders and Related Party Transactions                            |  | 107  
|ITEM 8. Financial Information                                                        |  | 108  
|ITEM 9. The Offer and Listing                                                        |  | 112  
|ITEM 10. Additional Information                                                      |  | 113  
|ITEM 11. Quantitative and Qualitative Disclosures About Market Risk                  |  | 127  
|ITEM 12. Description of Securities Other Than Equity Securities                      |  | 129  
|                                                                                     |  |       |  | 
|PART II                                                                              |  |       |  | 
|                                                                                     |  |       |  | 
|ITEM 13. Defaults, Dividend Arrearages and Delinquencies                             |  | 130  
|ITEM 14. Material Modification to the Rights of Security Holders and Use of Proceeds |  | 130  
|ITEM 15. Controls and Procedures                                                     |  | 130  
|ITEM 16 [RESERVED]                                                                   |  | 130  
|                                                                                     |  |       |  | 
|PART III                                                                             |  |       |  | 
|                                                                                     |  |       |  | 
|ITEM 17. Financial Statements                                                        |  | 130  
|ITEM 18. Financial Statements                                                        |  | 130  
|ITEM 19. Exhibits                                                                    |  | 130  
|                                                                                     |  |       |  | 
|Consolidated and Historical Combined Financial Statements and Schedules              |  | F-1  
|Glossary of Selected Insurance and Reinsurance Terms                                 |  | G-1  
|Signatures                                                                           |  | Sig-1
|

PRESENTATION OF INFORMATION

In this annual report on Form 20-F, unless the context otherwise requires,
Converium, we, us, and our refer to Converium Holding AG and our
consolidated entities. Please refer to the glossary beginning on page G-1 for
definitions of selected insurance and reinsurance terms.

We publish our financial statements in U.S. dollars, and unless we note
otherwise, all amounts in this annual report are expressed in U.S. dollars. As
used herein, references to U.S. dollars, dollars or $ and cents are to
U.S. currency, references to Swiss francs or CHF are to Swiss currency,
references to yen or Japanese yen are to Japanese currency, references to
British pounds or £ are to British currency and references to euro or 
are to the single European currency of the member states of the European
Monetary Union at the relevant time.

CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS

This annual report contains certain forward-looking statements.
Forward-looking statements are necessarily based on estimates and assumptions
that are inherently subject to significant business, economic and competitive
uncertainties and contingencies, many of which, with respect to future business
decisions, are subject to change. These uncertainties and contingencies can
affect actual results and could cause actual results to differ materially from
those expressed in any forward-looking statements.

In particular, statements using words such as expect, anticipate,
intend, believe or words of similar import generally involve
forward-looking statements. This annual report includes a number of
forward-looking statements, including the following:

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| |  |  | certain statements in Item 4.  Information on the Company  B.
Business Overview with regard to strategy and management objectives,
trends in market conditions, prices, market standing and product
volumes, investment results, litigation and the effects of changes or
prospective changes in regulation
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | certain statements in Item 4.  Information on the Company  B.
Business Overview  Regulation with regard to the effects of changes or
prospective changes in regulation                                                                                                                                    
|
| |  |  | certain statements in Item 5.  Operating and Financial Review and
Prospects with regard to trends in results, prices, volumes,
operations, investment results, margins, overall market trends, risk
management and exchange rates                                                                           
|
| |  |  | certain statements in Item 11.  Quantitative and Qualitative
Disclosures About Market Risk with regard to sensitivity analyses for
invested assets                                                                                                                                                          

In light of the risks and uncertainties inherent in all future
projections, the inclusion of forward-looking statements should not be
considered a representation by us that objectives or plans will be achieved.
Numerous factors could cause our actual results to differ materially from those
in the forward-looking statements, including factors set forth in Item 3. -
Key Information  D. Risk Factors and the following:



| |  |  | cyclicality of the reinsurance industry                                                                                                                  
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | uncertainties in our reserving process                                                                                                                   
|
| |  |  | the occurrence of natural and man-made catastrophic events with a frequency or severity exceeding our estimates                                          
|
| |  |  | acts of terrorism and acts of war                                                                                                                        
|
| |  |  | changes in economic conditions, including interest and currency rate conditions that could affect our investment portfolio                               
|
| |  |  | actions of competitors, including industry consolidation and development of competing financial products                                                 
|
| |  |  | a decrease in the level of demand for our reinsurance or increased competition in our industries or markets                                              
|
| |  |  | the lowering or loss of one of the financial or claims-paying ratings of one or more of our subsidiaries                                                 
|
| |  |  | political risks in the countries in which we operate or in which we reinsure risks                                                                       
|
| |  |  | the passage of additional legislation or the promulgation of new
regulation in a jurisdiction in which we operate or where our
subsidiaries are organized
|
| |  |  | changes in our investment results due to the changed composition of
our invested assets or changes in our investment policy                              
|
| |  |  | failure of our retrocessional reinsurers to honor their obligations                                                                                      
|
| |  |  | failure to prevail in any current or future arbitration or litigation                                                                                    
|
| |  |  | risks associated with implementing our business strategies                                                                                               
|
| |  |  | extraordinary events affecting our clients, such as bankruptcies and liquidations                                                                        

The factors listed above should not be construed as exhaustive. We cannot
assess the impact of each factor on our business or the extent to which any
factor, or combination of factors, may cause actual results to differ
materially from those described in any forward-looking statements. Except as
otherwise required by law, we undertake no obligation to publicly release any
future revisions we may make to forward-looking statements to reflect events or
circumstances or to reflect the occurrence of unanticipated events.

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The Company has made it a policy not to provide any quarterly or annual
earning guidance and it will not update any past outlook for full year
earnings. It will, however, provide investors with perspective on its value
drivers, its strategic initiatives and those factors critical to understanding
its business and operating environment.




PART I




ITEM 1. IDENTITY OF DIRECTORS, SENIOR MANAGEMENT AND ADVISERS

Not applicable.




ITEM 2. OFFER STATISTICS AND EXPECTED TIMETABLE

Not applicable.




ITEM 3. KEY INFORMATION

A. SELECTED FINANCIAL AND OTHER DATA

We prepare our consolidated and historical combined financial statements
(financial statements) included in this annual report in accordance with
accounting principles generally accepted in the United States, or U.S. GAAP.
The following financial data highlights selected information that is derived
from our financial statements as of and for the years ended December 31, 2002,
2001, 2000, 1999 and 1998, which have been audited by PricewaterhouseCoopers
AG, independent accountants.

Converium was formed as a result of the divestiture of the former Zurich
Re business of Zurich Financial Services in December 2001. For a description
of the transactions that led to the divestiture, which we refer to herein as
the Formation Transactions, see Item 4.  Information on the Company  A.
History and Development of the Company. The financial statements are presented
as if we had been a separate entity for all periods presented. The financial
statements include estimates related to the allocation to Converium of costs of
Zurich Financial Services corporate infrastructure prior to the Formation
Transactions. We believe that these allocations are reasonable. However, this
financial information may not be indicative of our future performance and does
not necessarily reflect what our financial position and results of operations
would have been had we operated as a stand-alone entity during the periods
covered.

|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |         |          |  
|------------------------------ | -------------------------------------------------------- | ----------------------------------- | ----- | ---------------------- | -------- | ---- | ------ | ----------------------------------------- | -------- | ---- | ----- | -------- | -------- | - | ----- | -------- | -------- | - | ----- | ------- | -------- | -
|                               |                                                          |                                     |       | Year ended December 31
|                               |                                                          |                                     |       |                       
|                               |                                                          |                                     |       | 2002                   |          | 2001 |        | 2000                                      |          | 1999 |       | 1998    
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |         
|                               |                                                          |                                     |       |                        |          |      |        | ($ million, except per share information) |          |      |       |         
|Income statement data:         |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|Revenues:                      |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|                               | Gross premiums written                                   |                                     | $     | 3,535.8                |          |      | $      | 2,881.2                                   |          |      | $     | 2,565.8  |          |   | $     | 1,928.7  |          |   | $     | 1,458.8 |         
|                               | Less ceded premiums written                              |                                     |       | (213.6                 | )        |      |        | (398.6                                    | )        |      |       | (569.8   | )        |   |       | (358.5   | )        |   |       | (213.7  | )       
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|                               | Net premiums written                                     |                                     |       | 3,322.2                |          |      |        | 2,482.6                                   |          |      |       | 1,996.0  |          |   |       | 1,570.2  |          |   |       | 1,245.1 |         
|                               | Net change in unearned premiums                          |                                     |       | (156.7                 | )        |      |        | (187.4                                    | )        |      |       | (134.5   | )        |   |       | (168.7   | )        |   |       | (17.7   | )       
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|                               | Net premiums earned                                      |                                     |       | 3,165.5                |          |      |        | 2,295.2                                   |          |      |       | 1,861.5  |          |   |       | 1,401.5  |          |   |       | 1,227.4 |         
|                               | Net investment income                                    |                                     |       | 251.8                  |          |      |        | 228.7                                     |          |      |       | 176.0    |          |   |       | 214.0    |          |   |       | 255.4   |         
|                               | Net realized capital (losses) gains                      |                                     |       | (10.3                  | )        |      |        | (18.4                                     | )        |      |       | 83.7     |          |   |       | 76.3     |          |   |       | 78.9    |         
|                               | Other (loss) income                                      |                                     |       | (1.2                   | )        |      |        | (5.8                                      | )        |      |       | 29.3     |          |   |       | 22.1     |          |   |       | 24.8    |         
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|                               |                                                          | Total revenues                      |       |                        | 3,405.8  |      |        |                                           | 2,499.7  |      |       |          | 2,150.5  |   |       |          | 1,713.9  |   |       |         | 1,586.5  |  
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|Benefits, losses and expenses: |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|                               | Total losses, loss adjustment expenses
and life benefits |                                     |       | (2,492.0               | )        |      |        | (2,300.5                                  | )        |      |       | (1,604.5 | )        |   |       | (1,138.7 | )        |   |       | (917.3  | )       
|                               | Total costs and expenses                                 |                                     |       | (856.4                 | )        |      |        | (678.7                                    | )        |      |       | (587.5   | )        |   |       | (470.6   | )        |   |       | (484.7  | )       
|                               | Amortization of goodwill (1)                             |                                     |       |                       |          |      |        | (7.8                                      | )        |      |       | (7.3     | )        |   |       | (6.2     | )        |   |       | (6.2    | )       
|                               | Restructuring costs                                      |                                     |       |                       |          |      |        | (50.0                                     | )        |      |       |         |          |   |       |         |          |   |       |        |         
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|                               |                                                          | Total benefits, losses and expenses |       |                        | (3,348.4 | )    |        |                                           | (3,037.0 | )    |       |          | (2,199.3 | ) |       |          | (1,615.5 | ) |       |         | (1,408.2 | )
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|Income (loss) before taxes     |                                                          |                                     | 57.4  |                        |          |      | (537.3 | )                                         |          |      | (48.8 | )        |          |   | 98.4  |          |          |   | 178.3 |        
|Income tax benefit (expense)   |                                                          |                                     | 49.4  |                        |          |      | 169.9  |                                           |          |      | 19.5  |          |          |   | (40.6 | )        |          |   | (62.0 | )      
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        
|Net income (loss)              |                                                          | $                                   | 106.8 |                        |          | $    | (367.4 | )                                         |          | $    | (29.3 | )        |          | $ | 57.8  |          |          | $ | 116.3 |        
|                               |                                                          |                                     |       |                        |          |      |        |                                           |          |      |       |          |          |   |       |          |          |   |       |        

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|                           |                                   |  |   |                        |  |      |   |                                           |   |      |   |       |   |  |   |      |  |  |   |      |  | 
|-------------------------- | --------------------------------- |  | - | ---------------------- |  | ---- | - | ----------------------------------------- | - | ---- | - | ----- | - |  | - | ---- |  |  | - | ---- |  | 
|                           |                                   |  |   | Year ended December 31
|                           |                                   |  |   |                       
|                           |                                   |  |   | 2002                   |  | 2001 |   | 2000                                      |   | 1999 |   | 1998 
|                           |                                   |  |   |                        |  |      |   |                                           |   |      |   |      
|                           |                                   |  |   |                        |  |      |   | ($ million, except per share information) |   |      |   |      
|Earnings (loss) per share: |                                   |  |   |                        |  |      |   |                                           |   |      |   |       |   |  |   |      |  |  |   |     
|                           | Number of shares (millions) (2)   |  |   | 39.9                   |  |      |   | 40.0                                      |   |      |   | 40.0  |   |  |   | 40.0 |  |  |   | 40.0 | 
|                           | Basic earnings (loss) per share   |  | $ | 2.68                   |  |      | $ | (9.18                                     | ) |      | $ | (0.73 | ) |  | $ | 1.45 |  |  | $ | 2.91 | 
|                           | Diluted earnings (loss) per share |  |   | 2.64                   |  |      |   | (9.18                                     | ) |      |   | (0.73 | ) |  |   | 1.45 |  |  |   | 2.91 | 

|                        |  |                        |          |      |  |                                           |         |      |  |      |         |  |  |   |         |  |  |   |         | 
|----------------------- |  | ---------------------- | -------- | ---- |  | ----------------------------------------- | ------- | ---- |  | ---- | ------- |  |  | - | ------- |  |  | - | ------- | 
|                        |  | Year ended December 31
|                        |  |                       
|                        |  | 2002                   |          | 2001 |  | 2000                                      |         | 1999 |  | 1998
|                        |  |                        |          |      |  |                                           |         |      |  |     
|                        |  |                        |          |      |  | ($ million, except per share information) |         |      |  |     
|Balance sheet data:     |  |                        |          |      |  |                                           |         |      |  |      |         |  |  |   |         |  |  |   |         | 
|Total invested assets   |  | $                      | 6,117.3  |      |  | $                                         | 4,915.9 |      |  | $    | 4,349.7 |  |  | $ | 4,232.8 |  |  | $ | 3,898.1 | 
|Total assets            |  |                        | 12,051.0 |      |  |                                           | 9,706.5 |      |  |      | 8,321.3 |  |  |   | 6,916.0 |  |  |   | 6,290.9 | 
|Reinsurance liabilities |  |                        | 9,454.8  |      |  |                                           | 7,677.9 |      |  |      | 6,486.6 |  |  |   | 5,048.9 |  |  |   | 4,409.9 | 
|Debt                    |  |                        | 390.4    |      |  |                                           | 197.0   |      |  |      | 196.9   |  |  |   | 196.8   |  |  |   | 196.7   | 
|Total liabilities       |  |                        | 10,313.0 |      |  |                                           | 8,135.7 |      |  |      | 7,232.9 |  |  |   | 5,694.6 |  |  |   | 5,060.6 | 
|Total equity            |  |                        | 1,738.0  |      |  |                                           | 1,570.8 |      |  |      | 1,088.4 |  |  |   | 1,221.4 |  |  |   | 1,230.3 | 
|Book value per share    |  |                        | 43.55    |      |  |                                           | 39.27   |      |  |      | 27.21   |  |  |   | 30.54   |  |  |   | 30.76   | 

|                                 |                                        |  |                        |         |      |  |      |         |      |  |             |         |   |  |   |         |   |  |   |         |  
|-------------------------------- | -------------------------------------- |  | ---------------------- | ------- | ---- |  | ---- | ------- | ---- |  | ----------- | ------- | - |  | - | ------- | - |  | - | ------- | -
|                                 |                                        |  | Year ended December 31
|                                 |                                        |  |                       
|                                 |                                        |  | 2002                   |         | 2001 |  | 2000 |         | 1999 |  | 1998       
|                                 |                                        |  |                        |         |      |  |      |         |      |  |            
|                                 |                                        |  |                        |         |      |  |      |         |      |  | ($ million) |         |   |  |   |         |   |  |  
|Other data:                      |                                        |  |                        |         |      |  |      |         |      |  |             |         |   |  |   |         |   |  |   |        
|Net premiums written by segment: |                                        |  |                        |         |      |  |      |         |      |  |             |         |   |  |   |         |   |  |   |        
|                                 | Converium Zurich                       |  | $                      | 1,670.5 |      |  | $    | 1,185.0 |      |  | $           | 818.3   |   |  | $ | 569.5   |   |  | $ | 439.9   |  
|                                 | Converium North America                |  |                        | 1,193.9 |      |  |      | 898.4   |      |  |             | 844.7   |   |  |   | 677.3   |   |  |   | 533.3   |  
|                                 | Converium Cologne                      |  |                        | 289.8   |      |  |      | 257.8   |      |  |             | 218.6   |   |  |   | 238.6   |   |  |   | 209.3   |  
|                                 | Converium Life                         |  |                        | 168.0   |      |  |      | 141.4   |      |  |             | 114.4   |   |  |   | 84.8    |   |  |   | 62.6    |  
|                                 |                                        |  |                        |         |      |  |      |         |      |  |             |         |   |  |   |         |   |  |   |        
|                                 | Total net premiums written             |  | $                      | 3,322.2 |      |  | $    | 2,482.6 |      |  | $           | 1,996.0 |   |  | $ | 1,570.2 |   |  | $ | 1,245.1 |  
|                                 |                                        |  |                        |         |      |  |      |         |      |  |             |         |   |  |   |         |   |  |   |        
|                                 | Non-life combined ratio                |  |                        | 104.2   | %    |  |      | 129.0   | %    |  |             | 116.5   | % |  |   | 112.5   | % |  |   | 111.8   | %
|                                 |                                        |  |                        |         |      |  |      |         |      |  |             |         |   |  |   |         |   |  |   |        
|                                 | Adjusted non-life combined ratio (3)   |  |                        | 99.3    | %    |  |      | 108.8   | %    |  |             | 112.8   | % |  |   | 122.3   | % |  |   | 132.3   | %
|                                 |                                        |  |                        |         |      |  |      |         |      |  |             |         |   |  |   |         |   |  |   |        
|                                 | Ratio of earnings to fixed charges (4) |  |                        | 3.7     |      |  |      | (5      | )    |  |             | (6      | ) |  |   | 5.9     |   |  |   | 10.6    |  



---

|(1) |  | For a discussion on goodwill and Converiums compliance with SFAS 142,
see Notes 2(k) and 7 to our consolidated financial statements                                       
|--- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) |  | Immediately following the Formation Transactions, we had 40,000,000
shares outstanding. Therefore, these shares are considered outstanding for
all prior periods presented.
|   
|(3) |  | The adjusted non-life combined ratio is calculated excluding prior years
reserve development and September 11th terrorist attacks.                                        

The
table below presents the adjustments for non-life net premiums
written, net premiums earned and total losses and loss adjustment expenses
related to prior years reserve development and September 11th terrorist attacks.

|                                 |  |                        |       |      |  |      |       |      |  |      |      |  |  |   |        |   |  |   |        |  
|-------------------------------- |  | ---------------------- | ----- | ---- |  | ---- | ----- | ---- |  | ---- | ---- |  |  | - | ------ | - |  | - | ------ | -
|                                 |  | Year ended December 31
|                                 |  |                       
|                                 |  | 2002                   |       | 2001 |  | 2000 |       | 1999 |  | 1998
|                                 |  |                        |       |      |  |      |       |      |  |     
|                                 |  | ($ million)           
|Net premiums written             |  | $                      |      |      |  | $    | 34.5  |      |  | $    |     |  |  | $ |       |   |  | $ |       |  
|Net premiums earned              |  |                        |      |      |  |      | 34.5  |      |  |      |     |  |  |   |       |   |  |   |       |  
|Prior years reserve development |  |                        | 148.5 |      |  |      | 123.6 |      |  |      | 65.4 |  |  |   | (130.1 | ) |  |   | (239.5 | )
|September 11th terrorist attacks |  |                        |      |      |  |      | 277.2 |      |  |      |     |  |  |   |       |   |  |   |       |  



---

|(4) |  | The ratio of earnings to fixed charges is calculated by dividing earnings
by fixed charges. Fixed charges consist of interest expense and the
interest portion of rental expense.
|--- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(5) |  | Due to Converiums loss in 2001 the ratio coverage was less than 1:1.
Converium would have needed to generate additional earnings of $537.3
million to achieve coverage of 1:1.  
|   
|(6) |  | Due to Converiums loss in 2000 the ratio coverage was less than 1:1.
Converium would have needed to generate additional earnings of $48.8
million to achieve coverage of 1:1.   

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Dividends

For a discussion of our dividend policy, see Item 8.  Financial
Information  A. Consolidated Statements and Other Financial
Information  Dividends and Dividend Policy.

B. CAPITALIZATION AND INDEBTEDNESS

In December 2002, Converium Finance S.A., a newly formed Luxembourg
company, issued $200.0 million principal amount of non-convertible, unsecured,
guaranteed subordinated notes (the Guaranteed Subordinated Notes). The
Guaranteed Subordinated Notes are irrevocably and unconditionally guaranteed on
a subordinated basis by each of Converium Holding AG and Converium AG. The
Guaranteed Subordinated Notes mature in full on December 23, 2032 and bear
interest at the rate of 8.25% paid quarterly in arrears on March 15, June 15,
September 15 and December 15.

C. REASONS FOR THE OFFER AND USE OF PROCEEDS

Not applicable.

D. RISK FACTORS

Cyclicality of the reinsurance industry may cause fluctuations in our results

The insurance and reinsurance industries, particularly the non-life
market, are cyclical. Historically, operating results of reinsurers have
fluctuated significantly because of volatile and sometimes unpredictable
developments, many of which are beyond their direct control. These developments
include:



| |  |  | price competition                                                                   
| | - |  | ------------------------------------------------------------------------------------
|
| |  |  | frequency of occurrence or severity of both natural and man-made catastrophic events
|
| |  |  | levels of capacity and demand                                                       
|
| |  |  | general economic conditions                                                         
|
| |  |  | changes in legislation, case law and prevailing concepts of liability               

As a result, the reinsurance business historically has been characterized
by periods of intense price competition due to excessive underwriting capacity
as well as periods when shortages of underwriting capacity permitted attractive
premium levels. We expect to continue to experience the effects of this
cyclicality, which could have a material adverse effect on our financial
condition, results of operations or cash flows.

Our loss reserves may not adequately cover future losses and benefits

Our loss reserves may prove to be inadequate to cover our actual losses
and benefits experience. To the extent loss reserves are insufficient to cover
actual losses, loss adjustment expenses or future policy benefits, we would
have to add to these loss reserves and incur a charge to our earnings which
could have a material adverse effect on our financial condition, results of
operations or cash flows.

Loss reserves do not represent an exact calculation of liability, but
rather are estimates of the expected cost of the ultimate settlement of losses.
All of our loss reserve estimates are based on actuarial and statistical
projections, at a given time, of facts and circumstances known at that time and
estimates of trends in loss severity and other variable factors, including new
concepts of liability and general economic conditions. Changes in these trends
or other variable factors could result in claims in excess of our loss
reserves.

Unforeseen losses, the type or magnitude of which we cannot predict, may
emerge in the future. These additional losses could arise from newly acquired
lines of business, changes in the legal environment, extraordinary events
affecting our clients such as reorganizations and liquidations or changes in
general economic conditions. We continue to conduct pricing and loss reserving
studies for many casualty lines of business, including those in which
preliminary loss trends are noted. For example, the Converium North America
loss reserve analysis that resulted in our recording provisions for additional
losses on our automobile excess, medical excess, professional liability
(nursing homes) and umbrella liability lines of business in the third
quarter and fourth quarters of 2002, also revealed that similar trends may be
developing in other liability lines of business that we wrote in the years 1997
to 2000. Converium North America finalized its loss reserve analysis that
resulted in the recording of additional provisions for losses on its commercial

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umbrella, miscellaneous casualty (particularly professional liability, nursing
homes), medical errors and omissions liability, motor liability, and workers
compensation lines of business of $70.3 million net for the fourth quarter
2002, which are in addition to the $47.0 million that were recorded during the
third quarter 2002. These additional provisions are the result of the continued
emergence of increased reported losses versus expected losses related to prior
years.

In addition, because we, like other reinsurers, do not separately evaluate
each of the individual risks assumed under reinsurance treaties, we are largely
dependent on the original underwriting decisions made by ceding companies. We
are subject to the risk that our ceding companies may not have adequately
evaluated the risks to be reinsured and that the premiums ceded to us may not
adequately compensate us for the risks we assume.

We had $6,821.3 million of gross reserves and $5,361.5 million of net
reserves for losses and loss adjustment expenses as of December 31, 2002. If we
underestimated these net reserves by 5%, this would have resulted in $268.1
million of incurred losses and loss adjustment expenses, before income taxes,
for the year ended December 31, 2002.

Our exposure to catastrophic events, both natural and man-made, may cause unexpected large losses

A catastrophic event or multiple catastrophic events may cause unexpected
large losses and could have a material adverse effect on our financial
condition, results of operations or cash flows. Natural catastrophic events to
which we are exposed include windstorms, hurricanes, earthquakes, tornadoes,
severe hail, severe winter weather, floods and fires, and are inherently
unpredictable in terms of both their occurrence and severity. For example, in
1999 and 2002, the reinsurance industry suffered losses from windstorms and
flooding in Europe. These events adversely affected our results.

We are also exposed to man-made catastrophic events, such as the terrorist
attacks of September 11, 2001, which are difficult to predict and may have a
significant adverse impact on our industry and on us. It is possible that both
the frequency and severity of man-made catastrophic events will increase.

As a result, claims from natural or man-made catastrophic events could
cause substantial volatility in our financial results for any period and
adversely affect our financial condition or results of operations. Our ability
to write new business could also be impacted. We believe that increases in the
value and geographic concentration of insured property and the effects of
inflation will increase the severity of claims from catastrophic events in the
future.

The extent of our losses from catastrophic occurrences is a function of
the total insured amount of losses our clients incur, the number of our clients
affected, the frequency of the events and the severity of the particular
catastrophe. In addition, depending on the nature of the loss, the speed with
which claims are made and the terms of the policies affected, we may be
required to make large claims payments upon short notice. We may be forced to
fund these obligations by liquidating investments unexpectedly and in
unfavorable market conditions, or raising funds at unfavorable costs, both of
which could adversely affect the results of our operations.

Our efforts to protect ourselves against catastrophic losses, such as the
use of selective underwriting practices, the purchasing of reinsurance (which,
when bought by a reinsurer such as Converium, is known as retrocessional
reinsurance) and the monitoring of risk accumulations, including on a
geographic basis, may not prevent such occurrences from adversely affecting our
profitability or financial condition.

The majority of the catastrophe reinsurance we write relates to exposures
within the United States, Europe and Japan. Accordingly, we are exposed to
catastrophic events which affect these regions, such as U.S. hurricane,
California earthquake, European windstorm and Japanese earthquake events. Our
estimated potential losses on a probable maximum loss (PML) basis, before
giving effect to our retrocessional reinsurance protection, are managed
to a self-imposed maximum gross limit of $400 million for a 250-year
return period loss. See Item 4.  Information on the Company  B. Business
Overview  Catastrophe Risk Management.

Terrorist attacks and national security threats could result in the payment of material insurance claims and may have an enduring negative impact on our business

We believe that the terrorist attacks of September 11, 2001 represent the
largest loss event in the insurance industrys history. As of December 31,
2002, we have estimated and recorded gross losses and loss adjustment expenses
for claims arising in connection with the terrorist attacks of $692.0 million.
Our recorded losses and loss adjustment expenses were $289.2 million, net of
retrocessional reinsurance recoveries. Losses from our aviation and property
businesses represented the majority of the net loss. The

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remainder of the
losses were from our workers compensation, life and third-party liability
lines of business. It is still early in the claims process, and our gross
estimates are subject to revision as claims are received from insurers and our
claims to our retrocessionaires are identified and processed.

We cannot assess the long-term effects of terrorist attacks and continuing
threats to national security on our businesses at this time. The September 11th
terrorist attacks, threats of further terrorist attacks and the military
initiatives and political unrest in Iraq, Afghanistan and the Middle East have
had and may continue to have a significant adverse effect on general economic,
market and political conditions, increasing many of the risks in our
businesses. Although Zurich Financial Services, through its subsidiaries, has
agreed to arrangements that cap our exposure for losses and loss adjustment
expenses arising out of the September 11th attacks at $289.2 million, net of
retrocessional reinsurance recoveries, terrorist attacks and other man-made
catastrophic events may have an enduring negative effect on our business,
financial condition and results of operations.

For additional discussion of the impact of the September 11th terrorist
attacks on our business, see Note 8 to our consolidated financial statements.

If we are unable to achieve our investment objectives, our financial condition may be adversely affected

Investment returns are an important part of our overall profitability, and
fluctuations in the fixed income or equity markets could have a material
adverse effect on our financial condition, results of operations or cash flows.
In 2002, net investment income and net realized capital (losses) gains
accounted for 7.1% of our revenues. Accordingly, our capital levels, ability to
pay catastrophic claims and our operating results substantially depend on our
ability to achieve our investment objectives, which may be affected by general
political and economic conditions that are beyond our control.

Fluctuations in interest rates affect our returns on fixed income
investments, as well as the market values of, and corresponding levels of
capital gains or losses on, the fixed income securities in our investment
portfolio. Generally, investment income will be reduced during sustained
periods of lower interest rates as higher yielding fixed income securities are
called, mature or are sold and the proceeds reinvested at lower rates. During
periods of rising interest rates, prices of fixed income securities tend to
fall and realized gains upon their sale are reduced. General economic
conditions can adversely affect the markets for interest-rate-sensitive
securities, including the extent and timing of investor participation in such
markets, the level and volatility of interest rates and, consequently, the
value of fixed income securities. Interest rates are highly sensitive to many
factors, including governmental monetary policies, domestic and international
economic and political conditions and other factors beyond our control.

We invest a portion of our assets globally in equity securities, which are
generally subject to greater risks and more volatility than fixed income
securities. General economic conditions, stock market conditions and many other
factors beyond our control can adversely affect the equity markets and,
consequently, the value of the equity securities we own.

For the period 2000 through 2002, stock markets around the world generally
experienced meaningful declines and significant volatility. However, this was
partially offset by the impact of a lower interest rate
environment. In 2002, we recorded net realized capital losses of $10.3
million. This included $48.3 million of impairment losses on our equity
portfolio compared to $82.5 million of impairment losses in 2001. The decline
in 2002 reflects the restructuring of our Converium North America and Converium
Cologne portfolios, whereby certain unrealized losses were realized. The
following table sets forth, for the periods indicated, our net unrealized
(losses) gains on investments, net of taxes; net realized capital (losses)
gains; and total invested assets as of and for the periods shown.

|                                                           |  |                     |         |      |  |      |         |   |  |   |         | 
|---------------------------------------------------------- |  | ------------------- | ------- | ---- |  | ---- | ------- | - |  | - | ------- | 
|                                                           |  | Year Ended Dec. 31,
|                                                           |  |                    
|                                                           |  | 2002                |         | 2001 |  | 2000
|                                                           |  |                     |         |      |  |     
|                                                           |  | ($ in millions)    
|Net unrealized (losses) gains on investments, net of taxes |  | $                   | (53.3   | )    |  | $    | 30.3    |   |  | $ | 18.8    | 
|Net realized capital (losses) gains, pre-tax               |  |                     | (10.3   | )    |  |      | (18.4   | ) |  |   | 83.7    | 
|Total invested assets                                      |  |                     | 6,117.3 |      |  |      | 4,915.9 |   |  |   | 4,349.7 | 

Competitive conditions in the reinsurance industry could adversely impact our results

The reinsurance industry is highly competitive. Since Converium has only
entered the market under its own brand name in 2001, our competitors have
greater name and brand recognition. Some of our competitors may have greater
financial or operating resources or offer a broader range of products or more
competitive pricing than we do. Our competitive position is based on many

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factors, including our overall financial strength, geographic scope of
business, client relationships, premiums charged, contract terms and
conditions, products and services offered, speed of claims payment, reputation,
experience and qualifications of employees and local presence. We compete for
reinsurance business in U.S., European and other international reinsurance
markets with numerous reinsurance and insurance companies, some of which have
greater financial or other resources and higher claims-paying ratings. We
believe that our largest competitors include:



| |  |  | Munich Reinsurance Company                                                                                                       
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Swiss Reinsurance Company                                                                                                        
|
| |  |  | General Cologne Reinsurance Company, a subsidiary of Berkshire Hathaway, Inc.                                                    
|
| |  |  | Employers Reinsurance Corporation, a subsidiary of General Electric Company                                                      
|
| |  |  | Hannover Re Group, which is 75% owned by the mutual insurance group
HDI Haftpflichtverband der Deutschen Industrie               
|
| |  |  | Lloyds syndicates active in the London market                                                                                   
|
| |  |  | Everest Reinsurance Company                                                                                                      
|
| |  |  | Transatlantic Reinsurance Company                                                                                                
|
| |  |  | SCOR                                                                                                                             
|
| |  |  | companies active in the Bermuda Market, including the Partner Re
Group, XL Capital Ltd., Ace Ltd. and RenaissanceRe Holdings Ltd.

In addition, new companies have entered the reinsurance market and
existing companies have raised additional capital to increase their
underwriting capacity. Other financial institutions, such as banks, are now
able to offer services similar to our own. In addition, we have recently seen
the creation of alternative products from capital market participants that are
intended to compete with reinsurance products. Moreover, following the
September 11th terrorist events, a number of new reinsurers and other entities
have been formed to compete in or with our industry, and a number of existing
market participants have raised new capital, which may enhance their ability to
compete. We are unable to predict the extent to which these new, proposed or
potential initiatives may affect the demand for our products or the supply and
terms of risks that may be available for us to consider underwriting.

Consolidation in the insurance industry could lead to lower margins for us and less demand for our reinsurance products and services

The insurance industry overall is undergoing a process of consolidation as
industry participants seek to enhance their product and geographic reach,
client base, operating efficiency and general market power through
merger and acquisition activities. These larger entities may seek to use
the benefits of consolidation to, among other things, implement price
reductions for the products and services they purchase. If competitive
pressures compel us to reduce our prices, our operating margins would decrease.

As the insurance industry consolidates, competition for customers may
become more intense and the importance of acquiring and properly servicing each
customer will become greater. We could incur greater expenses relating to
customer acquisition and retention, which could reduce our operating margins.
In addition, insurance companies that merge may be able to enhance their
negotiating position when buying reinsurance and may be able to spread their
risks across a larger capital base so that they require less reinsurance.

The loss of key executive officers could adversely affect us

Our success has depended, and will continue to depend, partly upon our
ability to attract and retain executive officers and, in particular, on the
continued service of Dirk Lohmann, the Group Chief Executive Officer of
Converium, Richard E. Smith, the Chief Executive Officer of Converium North
America, Frank Schaar, the Chief Executive Officer of Converium Cologne and
Converium Life, Benjamin Gentsch, the Chief Executive Officer of Converium
Zurich, and Martin Kauer, the Group Chief Financial Officer of Converium. Each
of Mr. Lohmann, Mr. Smith, Mr. Gentsch, and Mr. Kauer serves in his capacity
pursuant to an employment agreement with no specified duration of employment.
The Board of Directors of Converium Germany decided on May 3, 2002 to renew Mr.
Schaars contract for five years starting January 1, 2003. If any of these
executives ceases to continue in his present role without an organized
succession, we could be adversely affected.

Our ability to execute our business strategy is dependent on our ability
to attract and retain a staff of qualified underwriters and other personnel.
Our management team includes a number of key personnel whose skills, experience
and knowledge of the reinsurance industry constitute important elements of
Converiums competitive strengths. If some or all of these managers leave their

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positions at Converium, even if we were able to find persons with suitable
skills to replace them, our operations could be adversely affected.

A downgrade in our ratings may adversely affect our relationships with clients
and brokers and negatively impact sales of our products

Claims-paying ability and financial strength ratings are a factor in
establishing the competitive position of reinsurers. The claims-paying ability
ratings assigned by rating agencies to reinsurance or insurance companies are
based upon factors relevant to policyholders and are not directed toward the
protection of investors.

A ratings downgrade, or the potential for such a downgrade, among other
things, could adversely affect our relationships with agents, wholesalers and
other distributors of our products and services, negatively impact new sales
and adversely affect our ability to compete in our markets. Standard & Poors
Corporation has rated Converium A (Strong) and A.M. Best, Inc. has rated
Converium A (Excellent). Our ratings may not satisfy the criteria required by
some of our clients and brokers. Accordingly, we may suffer a loss of business
as a result. Any reduction in our ratings could result in our reinsurance
operations being removed from the approved lists of some brokers or clients and
may adversely affect our ability to write business through such brokers or to
such clients.

Over time the rating agencies could reexamine the ratings affecting our
industry generally, including us.

Regulatory or legal changes could adversely affect our business

Insurance laws, regulations and policies currently governing us and our
clients may change at any time in ways which may adversely affect our business.
Furthermore, we cannot predict the timing or form of any future regulatory
initiatives. We are subject to applicable government regulation in each of the
jurisdictions in which we conduct business, particularly in Switzerland, the
United States and Germany. Regulatory agencies have broad administrative power
over many aspects of the insurance and reinsurance industries. Government
regulators are concerned primarily with the protection of policyholders rather
than shareholders or creditors.

Recently, the insurance and reinsurance regulatory framework has been
subject to increased scrutiny in many jurisdictions. Changes in current
insurance regulation may include increased governmental involvement in the
insurance industry, initiatives aimed at premium controls, requirements for
participation in guaranty associations or other industry pools and other
changes which could adversely affect the reinsurance business and economic
environment. Such changes could impose new financial obligations on us, require
us to make unplanned modifications of our products and services, or result in
delays or cancellations of sales of our products and services.

The reinsurance industry is also affected by political, judicial and other
legal developments, which have at times in the past resulted in new or expanded
theories of liability. We cannot predict the future impact of changing law or
regulation on our operations and any changes could have a material adverse
effect on our financial condition, results of operations or cash flows. See
Item 4.  Information on the Company  B. Business Overview  Regulation.

We purchase retrocessional reinsurance, which subjects us to credit risk and
may become unavailable on acceptable terms

In order to limit the effect on our financial condition of large and
multiple losses, we buy reinsurance for our own account. This type of insurance
is known as retrocessional reinsurance. From time to time, market conditions
have limited, and in some cases have prevented, insurers and reinsurers from
obtaining the types and amounts of reinsurance which they consider adequate for
their business needs. There can be no assurance that we will be able to obtain
our desired amounts of retrocessional reinsurance. There is also no assurance
that, if we are able to obtain such retrocessional reinsurance, we will be able
to negotiate terms as favorable to us as in prior years.

A retrocessionaires insolvency or its inability or unwillingness to make
payments under the terms of its reinsurance treaty with us could have a
material adverse effect on us. Therefore, our retrocessions subject us to
credit risk because the ceding of risk to retrocessionaires does not
relieve a reinsurer of its liability to the ceding companies. See
Item 4. 
Information on the Company  B. Business Overview  Retrocessional
Reinsurance.

Because we depend on reinsurance brokers for a large portion of revenue, loss
of business written through them could adversely affect us

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We market our reinsurance products worldwide in substantial part through
reinsurance brokers. In some markets, such as the London market and the United
States, we principally write through reinsurance brokers. In 2002, two
reinsurance intermediaries each produced approximately 13.0% of our gross premiums
written. Loss of all or a substantial portion of the business written through
brokers could have a material adverse effect on us.

Our reliance on reinsurance brokers exposes us to their credit risk

In 2002, approximately 65.0% of our gross premiums written were written
through brokers. In accordance with industry practice, we frequently pay
amounts owed on claims under our policies to reinsurance brokers, and these
brokers, in turn, pay these amounts over to the insurers that have reinsured a
portion of their liabilities with us. We refer to these insurers as ceding
insurers. In some jurisdictions, or pursuant to some contractual arrangements,
if a broker fails to make such a payment, we may remain liable to the ceding
insurer for the deficiency. Conversely, in certain jurisdictions, when the
ceding insurer pays premiums for these policies to reinsurance brokers for
payment over to us, these premiums are considered to have been paid and the
ceding insurer will no longer be liable to us for those amounts, whether or not
we have actually received the premiums. Consequently, in connection with the
settlement of reinsurance balances, we assume a degree of credit risk
associated with reinsurance brokers around the world.

Foreign exchange rate fluctuations may impact our results

We publish our financial statements in U.S. dollars. Therefore,
fluctuations in exchange rates used to translate other currencies, particularly
European currencies including the euro, British pound and Swiss franc, into
U.S. dollars will impact our reported financial condition, results of
operations and cash flows from year to year. These fluctuations in exchange
rates will also impact the U.S. dollar value of our investments and the return
on our investments. For 2002, approximately:



| |  |  | 40 % of our net premiums written                                     
| | - |  | ---------------------------------------------------------------------
|
| |  |  | 26 % of our net investment income                                    
|
| |  |  | 35 % of our losses and loss adjustment expenses and life benefits and
|
| |  |  | 57 % of our operating expenses                                       

were denominated in currencies other than the U.S. dollar. For a discussion of
the impact of material changes in foreign exchange rates on our shareholders
equity, see Item 11.  Quantitative and Qualitative Disclosures About Market
Risk.

We may be adversely affected if Zurich Financial Services or its subsidiaries
fail to honor their obligations to us or our clients

As part of the Formation Transactions, we entered into a number of
contractual agreements with Zurich Financial Services and its affiliates
including the Master Agreement, the Quota Share Retrocession Agreement, the
Master Novation and Indemnity Reinsurance Agreement, service agreements, lease
agreements and certain indemnity agreements. Among other things, under the
Quota Share Retrocession Agreement, Zurich Financial Services, through its
subsidiaries, provides us with a substantial portion of our investment returns.
Additionally, Zurich Financial Services, through its subsidiaries, has agreed
to arrangements that cap our exposure, net of retrocessional reinsurance
recoveries, for losses and loss adjustment expenses arising out of the
September 11th terrorist attacks at $289.2 million, the amount of loss and loss
adjustment expenses we recorded as of September 30, 2001. In addition,
subsidiaries of Zurich Financial Services have provided us with retrocessional
reinsurance protection, provided coverage for certain workers compensation
exposure ceded to the Unicover Occupational Accident Reinsurance Pool,
indemnified us for specified taxes and other matters and agreed to lease or
sublease
office space to us. See Item 4.  Information on the Company  A. History
and Development of the Company and Item 10.  Additional Information  C.
Material Contracts. Therefore, we are exposed to credit risk from Zurich
Financial Services with respect to these obligations.

In addition, Zurich Financial Services subsidiaries remain the legal
counterparty for many of our assumed reinsurance contracts. Although we do not
have credit risk exposure with respect to these contracts, if these Zurich
Financial Services subsidiaries do not honor their commitments efficiently and
effectively to these clients, we might bear reputational risk.

The financial and investment return information included in this annual report
may not be indicative of our future financial performance

For periods ended December 31, 2001 and earlier, we derived the historical
financial information included in this annual report from historical financial
statements of Zurich Financial Services. These financial statements present the
financial condition, results of operations and cash flows of the businesses,
which prior to the Formation Transactions, were owned by Zurich Financial

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Services and now comprise Converium. Accordingly, these financial statements
may not necessarily reflect the results Converium would have achieved had it
been a separate, stand-alone entity during the periods presented or the
financial position, results of operations and cash flows of Converium in the
future.

Historically, a significant portion of our invested assets were managed by
Zurich Financial Services pursuant to the Zurich Financing Agreement. Since the
Zurich Financing Agreement was terminated effective July 1, 2001, and replaced
by the Funds Withheld Asset, our historical investment results are not
indicative of the investment results we may achieve in the future.

In addition, under the Quota Share Retrocession Agreement, the Funds
Withheld Asset may be prepaid to us, in whole or in part, as of the end of any
calendar quarter. In the event that the Funds Withheld Asset is prepaid, we
would have to reinvest these assets in investments and we may not be able to
invest them at yields comparable to those payable under the Quota Share
Retrocession Agreement. To the extent we are not able to invest these funds at
comparable yields, our investment income could be adversely affected. See Item
5.  Operating and Financial Review and Prospects.

We may be restricted from disposing of assets and may suffer negative tax
consequences in the case of a change of control

Certain tax considerations and contractual arrangements with Zurich
Financial Services may make an acquisition of Converium less likely and limit
our ability to dispose of assets or enter into new lines of business. Because
of the qualification of the Formation Transactions under Swiss tax law as
partially exempt from the Swiss Share Issuance Tax to Converium, we may be
restricted from certain disposals of assets, and may further face adverse tax
consequences if the ownership of one third or more of our registered shares
comes to be held by one shareholder or a group of related shareholders. See
Item 10.  Additional Information  C. Material Contracts  Swiss Tax
Consequences to Converium of the Formation Transactions.

Future European Commission directives may disadvantage companies like us which
are not established within the European Union

In October 2002, the European Commission, or EC, released a draft Proposal
for a Directive of the European Parliament and of the Council concerning
reinsurance and retrocession. The draft proposal provides for certain
protections, freedoms of action and other benefits for reinsurance companies
established within the European Union when engaging in business in other EU
member states. As our subsidiary, Converium AG, is established in Switzerland,
if this Directive is eventually adopted we might not be entitled to these same
benefits within the EU as other reinsurers which have been established there.
In this case, Converium AG may be at a disadvantage in doing business in the EU
in comparison to its competitors established in EU member states. Since
Converium AG derives a substantial proportion of our revenues within the EU,
any competitive disadvantages we face there could have an adverse effect on our
results of operations.




ITEM 4. INFORMATION ON THE COMPANY

Converium Holding AG was incorporated in Switzerland on June 19, 2001 as a
joint stock company as defined in article 620 et seq. of the Swiss Code of
Obligations. We were registered on June 21, 2001 in the Commercial Register of
the Canton of Zug with registered number CH-170.3.024.827-8. Our registered
office is Baarerstrasse 8, CH-6300 Zug, Switzerland.

A. HISTORY AND DEVELOPMENT OF THE COMPANY

On March 22, 2001, Zurich Financial Services announced its intention to
divest substantially all of its third-party reinsurance business historically
operated under the Zurich Re brand name. This business had been managed and
operated as a global operation since 1998. We refer to the formation
transactions and the global offering described below in this annual report as
the Formation Transactions. As part of the Formation Transactions, ownership
of this business was consolidated under Converium Holding AG, a newly
incorporated Swiss company. The financial statements included in this annual
report reflect this business.

The Formation Transactions consisted of the following principal steps:



| |  |  | the transfer to us of the Converium Zurich reinsurance business now
conducted by Converium AG, through a series of steps including:
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------

| |   |  |                                                                                                                                                                                                   
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| |  |  | our reinsurance of this business through quota share
retrocession agreements with two units of Zurich Financial
Services, which we refer to collectively as the Quota Share
Retrocession Agreement

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| |   |  |                                                                                                                                                                                                                                                                 
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| |  |  | the establishment of funds withheld balances in our
favor by the applicable units of Zurich Financial Services, which
we refer to collectively as the Funds Withheld Asset, on which we
will be paid investment returns by the Zurich Financial Services
units



| |  |  | the acquisition of the Converium Cologne reinsurance business through
the transfer by a subsidiary of Zurich Financial Services to Converium
AG of its 98.63% interest in Zürich Rückversicherung (Köln) AG, which
was renamed Converium Rückversicherung (Deutschland) AG and which we
refer to as Converium Germany. Converiums interest in Converium Germany
increased to 100% in January 2003.                                                                                                                                                                       
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the acquisition of the Converium North America reinsurance business
through the transfer by a subsidiary of Zurich Financial Services of all
of the voting securities of Zurich Reinsurance (North America) Inc. to
Converium Holdings (North America) Inc., a wholly owned subsidiary of
Converium AG. In conjunction with this transfer, Converium Holdings
(North America) Inc. assumed $200 million of public debt from a
subsidiary of Zurich Financial Services, and Zurich Reinsurance (North
America), Inc. was renamed Converium Reinsurance (North America) Inc.
|
| |  |  | the transfer of assets including cash, marketable securities and
participations by Zurich Financial Services and its subsidiaries to
Converium, together with the assumption of liabilities                                                                                                                                                                                                                                                                                                                                                                               
|
| |  |  | the sale of 35,000,000 of our registered shares to the public by
Zurich Financial Services on December 11, 2001 in a global offering and
the subsequent sale of 5,000,000 of our registered shares to the public
by Zurich Financial Services on January 9, 2002 as a result of the
underwriters exercise of their over-allotment option, which sales
resulted in the public owning 100% of our shares                                                                                                                                                                   
|
| |  |  | after the global offering, Converium AG acquired from subsidiaries of
Zurich Financial Services approximately $140 million of residential and
commercial rental properties located in Switzerland                                                                                                                                                                                                                                                                                                                                                                         

As part of the Formation Transactions, Zurich Financial Services and its
subsidiaries transferred cash and other assets and liabilities to Converium.
The assets transferred to us included:



| |  |  | approximately $70 million in shares in PSP Swiss Property Ltd., a
Swiss company listed on the SWX Swiss Exchange                                                 
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | approximately $50 million in units of Zurich Invest Aktien Euroland,
an investment fund quoted on the Frankfurt Stock Exchange. This
investment was sold in 2002.
|
| |  |  | the shareholders equity of the legal entities comprising our operating businesses                                                                               
|
| |  |  | the operating assets of the Converium Zurich business                                                                                                            

The balance of the assets transferred to us consisted of cash, of which
approximately $140 million was used by Converium AG to acquire residential and
commercial rental properties located in Switzerland from subsidiaries of Zurich
Financial Services.

We invested the cash contributed to us by Zurich Financial Services in
accordance with our investment policy. For a description of our investment
policy, see  B. Business Overview  Investments.

For a description of the agreements and transactions involved in the
Formation Transactions and our divestiture from Zurich Financial Services,
including certain ongoing contractual arrangements with Zurich Financial
Services, see Item 10.  Additional Information  C. Material Contracts.

Converium Finance S.A. is a company incorporated for unlimited duration
under the laws of Luxembourg on October 7, 2002. The issuer has authorized
share capital of 31,000 divided into 3,100 shares with a par value of 10 per
share, 3,099 of which are owned by Converium AG and one of which is held by BAC
Management S.a.r.l., a director of the issuer, and all of which are fully paid.
Converium Finance S.A.s registered office is 54, boulevard Napoleon Ier,
L-2210 Luxembourg. The object of the issuer, as stated in its Articles of
Incorporation, is the acquisition, the management, the enhancement and the
disposal of participations in whichever form in domestic and foreign companies.

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B. BUSINESS OVERVIEW

Overview

Converium is a leading global reinsurer whose business operations are
recognized for innovation, professionalism and service. We believe we are
accepted as a professional lead reinsurer for all major lines of non-life and
life reinsurance. We actively seek to create innovative and efficient
reinsurance solutions to complement our clients business plans and needs. We
focus on core underwriting skills and on developing close client relationships
while honoring ours and our clients relationships with brokers. We have the
ability to cover risks globally and to provide meaningful capacity worldwide.
Based on calendar year 2001 third-party net premiums written, we rank among the
ten largest global professional reinsurers.

Converium was formed through the restructuring and integration of the
third-party reinsurance business of Zurich Financial Services. We believe that
our separation from Zurich Financial Services presents significant
opportunities and benefits for us. We believe we have benefited from our new
status as an independently managed, publicly traded company. In particular, we
continue to secure new and expanded relationships with clients who may have
been reluctant to enter into business relationships or share proprietary
information with the reinsurance operation of a competitor like Zurich
Financial Services. We also believe that our separation from Zurich Financial
Services increases our future financial flexibility and the long-term
possibilities of further expansion in the form of new business opportunities
and strategic alliances. In addition, as an independently managed reinsurer, we
are in a position to compete for the reinsurance premiums ceded by Zurich
Financial Services, of which only minimal premiums are reflected in our
historical results.

We organize our business around four operating segments consisting of our
three Non-Life segments, Converium Zurich, Converium North America and
Converium Cologne, and our Converium Life segment as follows:



| |  |  | Converium Zurich manages our non-life reinsurance businesses in the
United Kingdom, Western and Southern Europe (Switzerland, Spain, Italy,
Portugal, France and Ireland), the Benelux countries, Latin America, the
Far East and the Pacific Rim, Israel and Southern Africa. Converium
Zurich is also the primary center of expertise for aviation and space,
credit and surety, marine and engineering reinsurance and provides
technical support for catastrophe risk assessment and modeling for our
global operations.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Converium North America, based in New York, manages our non-life
reinsurance businesses in the United States and Canada, and is our
global center of expertise for agribusiness.                                                                                                                                                                                                                                                                                                                                            
|
| |  |  | Converium Cologne manages the non-life reinsurance businesses in
Germany, Austria, Northern Europe (Denmark, Sweden, Iceland, Finland and
Norway), Central and Eastern Europe (Russia, Czech Republic, Poland,
Slovakia, Slovenia, Croatia, Bulgaria and Romania), the Middle East and
Northern Africa. In addition, Converium Cologne has worldwide
underwriting responsibility for health reinsurance with the exception of
the U.S. market, which is written by Converium North America.                                 
|
| |  |  | Converium Life manages the worldwide life reinsurance business.                                                                                                                                                                                                                                                                                                                                                                                                                                                             

We offer a full range of traditional non-life and life reinsurance
products as well as innovative non-traditional solutions to help our clients
manage capital and risk. Our principal lines of non-life reinsurance include
liability, property, motor, credit and surety, workers compensation, aviation
and space, accident and health, marine, engineering and other specialized
lines. The principal life reinsurance product is ordinary life reinsurance,
including quota share, surplus coverage and financing contracts.

We underwrite reinsurance both directly with ceding companies and through
brokers, giving us the flexibility to pursue business in accordance with our
ceding companies preferred reinsurance purchasing method. Globally,
approximately 35.0% of our 2002 gross premiums written were written on a
direct basis and approximately 65.0% were written through brokers.

We believe that one of our competitive strengths is our ability to work
closely with our clients while honoring ours and our clients relationships
with brokers. A key component of this competitive strength is our strong focus
on client relationship management. We believe it is imperative that we fully
understand our clients businesses in order to provide better solutions to our
clients and enhance our own profitability. Direct communication with our
clients enables us to obtain the in-depth details required for the proper
analysis and understanding of our clients exposures. We seek to establish and
maintain contacts with key decision makers

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in the organizations of our clients,
particularly with their chief executive officers, chief financial officers and
actuarial and underwriting managers.

As a component of our strategy of getting closer to our clients and
enhancing our understanding of the risks and other financial aspects of their
business, we aligned our organizational structure to better serve our clients
and enhance knowledge sharing among our underwriters, actuaries, client
relationship managers and other personnel. This structure brings together
professionals with treaty expertise and facultative specialists, focusing them
around lines of business. We believe the combination of the two disciplines
yields a stronger risk analysis and ultimately more profitable business
opportunities for us, by allowing us to utilize the detailed knowledge of
individual risks possessed by our facultative professionals in underwriting
treaty business. For example, in North America our facultative offices now
report to persons with line of business responsibility. In Europe, we have
established client relationship managers, supported by underwriters with both
treaty and facultative expertise in all major lines of business. These client
relationship managers are able to call upon our expertise from wherever it may
be located within our global organization and establish multi-disciplinary
client teams to address our clients needs. These teams seek to provide
additional services to our clients, such as advice on balance sheet and
operating risk management, underwriting audits and assistance with risk capital
allocation.

As a reflection of our financial strength and stability, Standard & Poors
Corporation has rated Converium A (Strong) and A.M. Best Company Inc. has
rated Converium A (Excellent). These ratings are based upon factors of
concern to reinsurance clients and are not a measure of protection afforded to
investors. These ratings may be revised, suspended or withdrawn at any time by
the relevant rating agency. See - Ratings.

Our Strategy

Our goal is to be one of the leading providers of reinsurance solutions in
the global marketplace, thereby creating significant long-term value for our
shareholders. Our strategy to achieve this goal is to:



| |  |  | Maintain strong underwriting discipline and profitability focus                                            
| | - |  | -----------------------------------------------------------------------------------------------------------
|
| |  |  | Seek to lead the majority of our business                                                                  
|
| |  |  | Increase our long-tail business in European, Asian and Latin American markets                              
|
| |  |  | Expand in specialty lines and structured/finite reinsurance                                                
|
| |  |  | Grow our life reinsurance operations                                                                       
|
| |  |  | Generate additional business through long-term strategic alliances                                         
|
| |  |  | Develop and implement capital market tools to provide additional underwriting capacity and to mitigate risk
|
| |  |  | Expand our position in attractive markets                                                                  

Our strategy is described in more detail below.

Maintain strong underwriting discipline and profitability focus.We have
implemented numerous operational and structural initiatives to focus us on
expected profitability whenever we underwrite or price business or pursue new
opportunities. We measure profitability as the expected present value of cash
flows relating to a piece of business, including allocated overhead, and relate
it to the required return on risk capital allocated to that business. We
analyze the projected and actual profitability and risk profile of our
portfolio in the aggregate as well as on subportfolio, contract and client
levels to focus our resources on business that meets or exceeds our strict
profitability requirements and complies with our overall strategy.

We believe an integrated global management structure is key to ensuring
that our aggregate business risk/return profile is optimized, that skills and
experiences across our organization can be accessed locally to seize attractive
business opportunities as they arise, and that our underwriting guidelines and
objectives are continuously fulfilled.

Seek to lead the majority of our business.We seek to function as a
leading reinsurer; this means that we strive to set terms and prices for the
business we write, rather than following those established by other reinsurers.
However, we believe that operating as a lead reinsurer also means that we must
apply the underwriting discipline of a lead underwriter, and consistently
utilize our risk modeling and quantitative analytical tools, even in
circumstances where we do not write the largest share of a particular
reinsurance treaty. This also means that we establish walk-away prices and
focus on profitability rather than market share, including in commodity lines
of business, such as property catastrophe. It finally means that we seek to
develop close and continuing relationships with our clients, irrespective of
whether we write the business directly or through brokers.

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Increase our long-tail business in European, Asian and Latin American
markets.We are pursuing growth in long-tail lines of business such as motor,
general third-party, professional and product liability, employers liability
and workers compensation. Generally, we consider a line to be long-tail if
potential claims are not likely to be paid within three years. Partly as a
result of this time lag, these lines require analytical sophistication and
expertise for appropriate pricing. Furthermore, we believe that demand for
third-party liability insurance, particularly with respect to motor,
professional and product liability coverage, will grow at an above-average rate
and will provide us with additional possibilities for attractive growth.

Expand in specialty lines and structured/finite reinsurance.We are
seeking to expand the proportion of our business derived from specialty lines,
including aviation and space, credit and surety, agribusiness and other
weather-related products, e-commerce risks, accident and health, engineering,
professional liability and marine. These lines require specialized skills in
respect of risk assessment and pricing and offer the opportunity to achieve
higher levels of underwriting profitability. In this regard we have made
substantial investments in technical expertise and core underwriting skills and
employ accountants, mathematicians, lawyers, agronomists, meteorologists,
geophysicists and engineers to bolster the capabilities of our underwriters and
actuaries.

As with our specialty lines, we are focused on increasing
structured/finite business because we believe that this is a field where we can
demonstrate our skills and thus justify prices that reflect our services and
capabilities. In addition, we believe that the market for structured/finite
reinsurance solutions has the potential to grow over the
next several years due to conditions in the insurance and reinsurance
marketplace. Finally, we believe the market for solutions in connection with
extraordinary corporate events, such as mergers, acquisitions and
restructurings, will continue to provide attractive opportunities for
structured/finite products.

Grow our life reinsurance operations.We are actively seeking to expand
our Converium Life operations. Life business is attractive to us because it is
generally less volatile and less capital-intensive than non-life business and
it gives us the opportunity to increase the diversification of our business
portfolio.

We believe the demand for life reinsurance is growing rapidly in many
markets, and consequently we are seeking to increase our presence in key life
reinsurance markets. Foremost among these are Germany, Italy, France, Latin
America, the United States and the Middle East. In addition, we believe that
many factors will contribute to increased demand for life and pension insurance
products, including the aging of the population, increased privatization of
pension benefits in many countries and an increasing need for financial support
and financial risk management services among life insurers in our primary
markets. For example, as the growth of production by primary insurers typically
carries with it a new business strain caused either by the financing of
commission and other acquisition costs or by statutory solvency requirements,
many of our clients often resort to reinsurance to provide them with financing
or surplus relief.

Generate additional business through long-term strategic alliances.We are
seeking alliances with partners who have strengths in areas outside our core
skills, such as distribution, claims management or branding, and who may
benefit from our distinct capabilities or capacity.

Develop and implement capital market tools to provide additional
underwriting capacity and to mitigate risk.We have developed substantial
capital markets expertise which we can use both to provide additional capacity
to our clients and to improve our own results and risk profile.

In addition, we believe we are skilled in designing risk transfer
mechanisms both for ourselves and for our clients, and plan to work with
clients to help them access the capital markets.

Expand our position in attractive markets.We are focusing on selected
mature reinsurance markets with growth and profitability potential. In
particular, we view Germany as a market with above average growth opportunities
as we transition ourselves to a viable lead market alternative to the existing
domestic market participants. We have targeted a number of emerging markets
which we believe represent particularly attractive growth opportunities,
including Asia, Latin America, Central and Eastern Europe, Northern Africa and
the Middle East.

Further, we are also seeking to maintain our presence as a leading
provider of property catastrophe reinsurance solutions. We believe our
technical expertise, modeling capability and risk management skills equip us to
price these risks appropriately and assume a larger, globally diversified
portfolio.

Our Business

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We offer a full range of non-life and life reinsurance as well as
structured/finite solutions, with clients and coverages throughout the world.
The principal lines of business written by our three Non-Life segments include
liability, property, motor, credit and surety, workers compensation, aviation
and space, accident and health, marine, engineering and other specialized
lines. Our other specialized lines include agribusiness, multi-peril and whole
account reinsurance. Our Converium Life operations, which are managed worldwide
from Cologne, Germany, provide life reinsurance products and related services.

In addition to our offices in Cologne, New York, Zug and Zurich, we have
branch offices in Bermuda, Labuan, Milan, Paris, Singapore and Sydney, as well
as marketing offices in Atlanta, Buenos Aires, Chicago, Kuala Lumpur, London,
Mexico City, Mission Viejo, San Francisco, Sao Paulo and Tokyo. In addition, we
have administrative offices in Stamford, Connecticut.

The table below presents, by segment, the distribution of our net premiums
written and income for the year ended December 31, 2002.

|                   |                         |  |                              |         |                       |  |          |       |   |  |   |       |  
|------------------ | ----------------------- |  | ---------------------------- | ------- | --------------------- |  | -------- | ----- | - |  | - | ----- | -
|                   |                         |  | Year Ended December 31, 2002
|                   |                         |  |                             
|                   |                         |  | Net premiums written         |         | Segment income (loss)
|                   |                         |  |                              |         |                      
|                   |                         |  | $                            |         | % of                  |  | $       
|                   |                         |  | millions                     |         | total                 |  | millions
|                   |                         |  |                              |         |                       |  |         
|Business Segments: |                         |  |                              |         |                       |  |          |       |   |  |   |      
|                   | Converium Zurich        |  | $                            | 1,670.5 |                       |  |          | 50.3  | % |  | $ | 225.9 |  
|                   | Converium North America |  |                              | 1,193.9 |                       |  |          | 35.9  |   |  |   | (57.0 | )
|                   | Converium Cologne       |  |                              | 289.8   |                       |  |          | 8.7   |   |  |   | (64.4 | )
|                   | Eliminations            |  |                              |        |                       |  |          |      |   |  |   | (11.3 | )
|                   |                         |  |                              |         |                       |  |          |       |   |  |   |       |  
|                   | Total Non-Life          |  |                              | 3,154.2 |                       |  |          | 94.9  |   |  |   | 93.2  |  
|                   |                         |  |                              |         |                       |  |          |       |   |  |   |       |  
|                   | Converium Life          |  |                              | 168.0   |                       |  |          | 5.1   |   |  |   | (19.4 | )
|                   |                         |  |                              |         |                       |  |          |       |   |  |   |       |  
|                   | Total                   |  | $                            | 3,322.2 |                       |  |          | 100.0 | % |  | $ | 73.8  |  
|                   |                         |  |                              |         |                       |  |          |       |   |  |   |       |  

The table below presents the geographic distribution of our net premiums
written for the years ended December 31, 2002, 2001 and 2000, based on the
location of the ceding companies.

|          |                      |                |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |       |   |  |  |  | 
|--------- | -------------------- | -------------- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ------- | ----- |  | ---- | ----- | - | - | ----- | ------- |  |  | ---- | ----- | - |  |  |  | 
|          |                      |                |   | Year Ended December 31,
|          |                      |                |   |                        
|          |                      |                |   | 2002                    |         | 2001  |  | 2000    
|          |                      |                |   |                         |         |       |  |         
|          |                      |                |   | $                       |         | % of  |  | $        |       | % of  |   | $        |         | % of 
|          |                      |                |   | millions                |         | total |  | millions |       | total |   | millions |         | total
|          |                      |                |   |                         |         |       |  |          |       |       |   |          |         |      
|Non-Life: |                      |                |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|          | North America        |                | $ | 1,387.9                 |         |       |  | 44.0     | %     |       | $ | 985.3    |         |       |  | 42.1 | %     |   | $ | 955.9 |         |  |  | 50.8 | %    
|          | United Kingdom       |                |   | 901.1                   |         |       |  | 28.5     |       |       |   | 601.4    |         |       |  | 25.7 |       |   |   | 315.3 |         |  |  | 16.8 |      
|          | Germany              |                |   | 131.5                   |         |       |  | 4.2      |       |       |   | 114.5    |         |       |  | 4.9  |       |   |   | 82.9  |         |  |  | 4.4  |      
|          | France               |                |   | 94.9                    |         |       |  | 3.0      |       |       |   | 42.6     |         |       |  | 1.8  |       |   |   | 49.5  |         |  |  | 2.6  |      
|          | Europe (rest)        |                |   | 226.8                   |         |       |  | 7.2      |       |       |   | 251.9    |         |       |  | 10.8 |       |   |   | 252.6 |         |  |  | 13.4 |      
|          | Far East/Pacific Rim |                |   | 147.8                   |         |       |  | 4.7      |       |       |   | 121.6    |         |       |  | 5.2  |       |   |   | 84.7  |         |  |  | 4.5  |      
|          | Near and Middle East |                |   | 104.4                   |         |       |  | 3.3      |       |       |   | 94.1     |         |       |  | 4.0  |       |   |   | 69.4  |         |  |  | 3.7  |      
|          | Latin America        |                |   | 159.8                   |         |       |  | 5.1      |       |       |   | 129.8    |         |       |  | 5.5  |       |   |   | 71.3  |         |  |  | 3.8  |      
|          |                      |                |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      
|          |                      | Total Non-Life |   | $                       | 3,154.2 |       |  |          | 100.0 | %     |   | $        | 2,341.2 |       |  |      | 100.0 | % |   | $     | 1,881.6 |  |  |      | 100.0 | %
|          |                      |                |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      

|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |       |         |  |      |       |   | 
|--------------- | -------------------- | -------------------- | ----- | ---- | ----------------------- | ------- | ----- | ---- | -------- | - | ----- | ---- | -------- | ------- | ----- | ---- | ----- | - | - | ---- | ----- | ------- |  | ---- | ----- | - | 
|                |                      |                      |       |      | Year Ended December 31,
|                |                      |                      |       |      |                        
|                |                      |                      |       |      | 2002                    |         | 2001  |      | 2000    
|                |                      |                      |       |      |                         |         |       |      |         
|                |                      |                      |       |      | $                       |         | % of  |      | $        |   | % of  |      | $        |         | % of 
|                |                      |                      |       |      | millions                |         | total |      | millions |   | total |      | millions |         | total
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |      
|Converium Life: |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |       |         |  |     
|                | North America        |                      | $     | 66.8 |                         |         |       | 39.7 | %        |   | $     | 53.1 |          |         |       | 37.6 | %     |   | $ | 71.3 |       |         |  | 62.3 | %    
|                | Germany              |                      |       | 33.4 |                         |         |       | 19.9 |          |   |       | 27.9 |          |         |       | 19.7 |       |   |   | 14.4 |       |         |  | 12.6 |      
|                | United Kingdom       |                      |       | (1.2 | )                       |         |       | (0.7 | )        |   |       | (8.0 | )        |         |       | (5.7 | )     |   |   | 2.2  |       |         |  | 1.9  |      
|                | France               |                      |       | 14.4 |                         |         |       | 8.6  |          |   |       | 17.8 |          |         |       | 12.6 |       |   |   | (0.5 | )     |         |  | (0.4 | )    
|                | Europe (rest)        |                      |       | 40.6 |                         |         |       | 24.1 |          |   |       | 29.1 |          |         |       | 20.6 |       |   |   | 18.0 |       |         |  | 15.7 |      
|                | Far East/Pacific Rim |                      |       | 0.4  |                         |         |       | 0.3  |          |   |       |     |          |         |       |     |       |   |   |     |       |         |  |     |      
|                | Near and Middle East |                      |       | 7.7  |                         |         |       | 4.6  |          |   |       | 5.1  |          |         |       | 3.6  |       |   |   | 4.8  |       |         |  | 4.2  |      
|                | Latin America        |                      |       | 5.9  |                         |         |       | 3.5  |          |   |       | 16.4 |          |         |       | 11.6 |       |   |   | 4.2  |       |         |  | 3.7  |      
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |       |         |  |      |      
|                |                      | Total Converium Life |       | $    | 168.0                   |         |       |      | 100.0    | % |       | $    | 141.4    |         |       |      | 100.0 | % |   | $    | 114.4 |         |  |      | 100.0 | %
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |       |         |  |      |      
|                |                      |                      | Total |      | $                       | 3,322.2 |       |      |          |   |       |      | $        | 2,482.6 |       |      |       |   |   |      | $     | 1,996.0 |  |      |       |   | 
|                |                      |                      |       |      |                         |         |       |      |          |   |       |      |          |         |       |      |       |   |   |      |       |         |  |     

The table below presents the distribution of our net premiums written by
line of business for the years ended December 31, 2002, 2001 and 2000.

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|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |       |       |         |         |       |      |       |       |  
|-------------- | --------------------- | -------------- | ----- | ----- | ----------------------- | ------- | ----- | ---- | -------- | ----- | ----- | ----- | -------- | ------- | ----- | ---- | ----- | ----- | ----- | ----- | ------- | ------- | ----- | ---- | ----- | ----- | -
|               |                       |                |       |       | Year Ended December 31,
|               |                       |                |       |       |                        
|               |                       |                |       |       | 2002                    |         | 2001  |      | 2000    
|               |                       |                |       |       |                         |         |       |      |         
|               |                       |                |       |       | $                       |         | % of  |      | $        |       | % of  |       | $        |         | % of 
|               |                       |                |       |       | millions                |         | total |      | millions |       | total |       | millions |         | total
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |      
|Non-Life       |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |       |       |         |         |       |     
|               | Liability             |                | $     | 750.6 |                         |         |       | 23.8 | %        |       | $     | 458.1 |          |         |       | 19.6 | %     |       | $     | 474.9 |         |         |       | 25.2 | %    
|               | Property              |                |       | 575.4 |                         |         |       | 18.2 |          |       |       | 501.9 |          |         |       | 21.5 |       |       |       | 403.8 |         |         |       | 21.5 |      
|               | Motor                 |                |       | 454.8 |                         |         |       | 14.4 |          |       |       | 437.2 |          |         |       | 18.7 |       |       |       | 333.1 |         |         |       | 17.7 |      
|               | Credit & Surety       |                |       | 201.2 |                         |         |       | 6.4  |          |       |       | 178.6 |          |         |       | 7.6  |       |       |       | 122.0 |         |         |       | 6.5  |      
|               | Workers Compensation |                |       | 207.8 |                         |         |       | 6.6  |          |       |       | 192.6 |          |         |       | 8.2  |       |       |       | 163.9 |         |         |       | 8.7  |      
|               | Aviation & Space      |                |       | 370.1 |                         |         |       | 11.7 |          |       |       | 181.0 |          |         |       | 7.7  |       |       |       | 119.3 |         |         |       | 6.3  |      
|               | Accident & Health     |                |       | 179.5 |                         |         |       | 5.7  |          |       |       | 116.4 |          |         |       | 5.0  |       |       |       | 85.3  |         |         |       | 4.5  |      
|               | Marine                |                |       | 93.2  |                         |         |       | 3.0  |          |       |       | 74.3  |          |         |       | 3.2  |       |       |       | 46.3  |         |         |       | 2.5  |      
|               | Engineering           |                |       | 116.8 |                         |         |       | 3.7  |          |       |       | 80.7  |          |         |       | 3.4  |       |       |       | 55.4  |         |         |       | 2.9  |      
|               | Specialized & Other   |                |       | 204.8 |                         |         |       | 6.5  |          |       |       | 120.4 |          |         |       | 5.1  |       |       |       | 77.6  |         |         |       | 4.2  |      
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |       |       |         |         |       |     
|               |                       | Total Non-Life |       | $     | 3,154.2                 |         |       |      | 100.0    | %     |       | $     | 2,341.2  |         |       |      | 100.0 | %     |       | $     | 1,881.6 |         |       |      | 100.0 | %    
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |       |       |         |         |       |      |      
|Converium Life |                       | $              | 168.0 |       |                         |         | 100.0 | %    |          | $     | 141.4 |       |          |         | 100.0 | %    |       | $     | 114.4 |       |         |         | 100.0 | %   
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |       |       |         |         |       |     
|               |                       |                | Total |       | $                       | 3,322.2 |       |      |          | 100.0 | %     |       | $        | 2,482.6 |       |      |       | 100.0 | %     |       | $       | 1,996.0 |       |      |       | 100.0 | %
|               |                       |                |       |       |                         |         |       |      |          |       |       |       |          |         |       |      |       |       |       |       |         |         |       |      |      

Types of Reinsurance

Both non-life reinsurance and life reinsurance can be written on either a
proportional basis or a non-proportional basis. Proportional reinsurance is
also known as pro rata reinsurance. Quota share reinsurance and surplus
reinsurance are types of proportional reinsurance. Some non-proportional
reinsurance takes the form of excess of loss reinsurance in which the
reinsurers obligations are only triggered after covered losses exceed a
specified attachment point. In the case of proportional reinsurance, the
reinsurer assumes a predetermined portion of the ceding companys risks under
the covered insurance contract or contracts. In the case of non-proportional
reinsurance, the reinsurer assumes all or a specified portion of the ceding
companys risks in excess of a specified amount, known as the ceding companys
retention or the reinsurers attachment point, subject to a negotiated
reinsurance contract limit.

Premiums that the ceding company pays to a reinsurer for proportional
reinsurance are a predetermined portion of the premiums that the ceding company
receives from its insured, consistent with the proportional sharing of risk. In
addition, in proportional reinsurance, the reinsurer generally pays the ceding
company a ceding commission. The ceding commission is usually based on the
ceding companys cost of generating the business being reinsured, which
includes commissions, premium taxes, assessments and miscellaneous
administrative expenses and a profit participation for originating the
business, the amount of which is based on the claims experience. The ceding
commission may also be affected by competitive factors. Premiums that the
ceding company pays to a reinsurer for non-proportional reinsurance are not
directly proportional to the premiums that the ceding company receives. This is
because the reinsurer does not assume a direct proportion of the ceding
companys risk. The frequency of claims under a proportional reinsurance
contract is usually greater than under a non-proportional contract, and
therefore the claims experience with proportional reinsurance contracts is
generally more predictable.

Non-proportional non-life reinsurance is often written in layers. One or a
group of reinsurers accepts the risk just above the ceding companys retention
up to a specified amount, at which point another reinsurer or a group of
reinsurers accepts the excess liability up to an additional specified limit or
the excess liability reverts to the ceding company. The reinsurer taking on the
risk just above the ceding companys retention is typically said to write lower
layer excess reinsurance. A claim that reaches just beyond the ceding companys
retention will create a claims payment for the lower layer reinsurer, but not
for the reinsurers of any higher layers. Claims activity in lower layer
reinsurance tends to be more predictable than in higher layers due to greater
frequency and availability of historical data, and therefore, like proportional
reinsurance, better enables underwriters and actuaries to more accurately price
the underlying risks. In a limited number of cases, reinsurance is also written
on an aggregate stop-loss basis to protect the ceding companys total portfolio
from extraordinary losses resulting from the aggregation of individual risks.

Both non-life insurance and life reinsurance can be written either through
treaty or facultative reinsurance arrangements. In treaty reinsurance, the
ceding company cedes, and the reinsurer assumes, a specified portion of a type
or category of risks insured by the ceding company. Generally in the industry,
treaty reinsurers do not separately evaluate each of the individual risks
assumed under their treaties and are largely dependent on the original risk
underwriting decisions made by the ceding companys underwriters. This
dependence subjects reinsurers to the possibility that the ceding company has
not adequately evaluated the risks to be reinsured and, therefore, that the
premiums ceded to the reinsurer may not adequately compensate the reinsurer for
the risk assumed. Accordingly, the reinsurers evaluation of the ceding
companys risk management and underwriting practices, as well as claims
settlement practices and procedures, will usually impact the pricing of the
treaty.

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Generally, reinsurers who provide facultative reinsurance do so separately
from their treaty operations. In facultative reinsurance, the ceding company
cedes, and the reinsurer assumes, all or part of a specific risk or risks.
Facultative reinsurance normally is purchased by ceding companies for risks not
covered by their reinsurance
treaties, for amounts in excess of the monetary limits of their
reinsurance treaties and for unusual and complex risks. In addition,
facultative risks often provide coverages for relatively severe exposures which
results in greater volatility. The ability to evaluate separately each risk
reinsured, however, increases the probability that the reinsurance underwriter
can price the contract to reflect more accurately the risks involved. Because
of the transactional nature of the business and the greater risks generally
involved, margins on facultative business are usually higher than on treaty
business. However, reinsurers who provide facultative coverage solely, or
through distinct operations, experience relatively high underwriting expenses
and, in particular, personnel costs, because each risk is individually
underwritten and administered.

Non-traditional reinsurance involves structured reinsurance solutions
tailored to meet individual client strategic and financial objectives. Both
non-life reinsurance and life reinsurance can be written on a structured/finite
basis. Often these reinsurance solutions provide reinsurance protection across
a companys entire insurance portfolio. For instance, a whole account aggregate
stop loss, whether single year or multi-year in design, provides protection for
a company from deterioration in their accident year results. Another common
solution is a loss portfolio transfer, which can take many forms, and which is
frequently used to assist companies in efficiently and effectively exiting
lines of business or facilitating insurance entity sales transactions. With
increasing frequency, non-traditional reinsurance has been utilized in various
ways to assist companies in managing property catastrophe exposures and other
loss exposures from single or multiple events which, in the aggregate, could be
significant. Because of the constantly changing industry and regulatory
framework, as well as the changing market demands facing insurance companies,
the approaches utilized in structured/finite programs are constantly evolving
and will continue to do so.

We underwrite our product lines on a non-proportional and proportional
basis, as well as on a structured/finite basis. As part of our management
organization, we integrate our facultative specialists with our underwriting
professionals with treaty expertise, organizing them as focused teams around
client relationship management and lines of business. Since the realignment of
our underwriting procedures and structure, we do not distinguish between treaty
and facultative reinsurance, but rather between proportional and
non-proportional underwriting and lines of business.

In 2002, $1.88 billion or approximately 56.6% of our net premiums written
were written on a proportional treaty basis, $ 915.8 million or approximately
27.6% of our net premiums written were written on a non-proportional basis, and
$525.1 million or approximately 15.8% of our net premiums written were written
on a structured/finite basis. Over the long term, we expect non-proportional
and structured/finite business to constitute a growing share of our future
business, although premium volume increased on our proportional business in
2002 as a result of rate increases and some opportunistic underwriting,
particularly in the U.K. motor market.

The table below presents the distribution of our net premiums written by
type of reinsurance for the years ended December 31, 2002, 2001 and 2000.

|                  |       |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |       |  
|----------------- | ----- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ------- | ----- |  | ---- | ----- | - | - | ------- | ------- |  |  | ---- | ----- | -
|                  |       |   | Year Ended December 31,
|                  |       |   |                        
|                  |       |   | 2002                    |         | 2001  |  | 2000    
|                  |       |   |                         |         |       |  |         
|                  |       |   | $                       |         | % of  |  | $        |       | % of  |   | $        |         | % of 
|                  |       |   | millions                |         | total |  | millions |       | total |   | millions |         | total
|                  |       |   |                         |         |       |  |          |       |       |   |          |         |      
|Proportional      |       | $ | 1,881.3                 |         |       |  | 56.6     | %     |       | $ | 1,466.7  |         |       |  | 59.1 | %     |   | $ | 1,108.2 |         |  |  | 55.5 | %    
|Non-proportional  |       |   | 915.8                   |         |       |  | 27.6     |       |       |   | 563.0    |         |       |  | 22.7 |       |   |   | 590.9   |         |  |  | 29.6 |      
|Structured/Finite |       |   | 525.1                   |         |       |  | 15.8     |       |       |   | 452.9    |         |       |  | 18.2 |       |   |   | 296.9   |         |  |  | 14.9 |      
|                  |       |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |      
|                  | Total |   | $                       | 3,322.2 |       |  |          | 100.0 | %     |   | $        | 2,482.6 |       |  |      | 100.0 | % |   | $       | 1,996.0 |  |  |      | 100.0 | %
|                  |       |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |      

Proportional and Non-proportional

We offer traditional reinsurance products on both a proportional and
non-proportional basis in all our lines of business. Our non-proportional
business includes property, aviation and space and specialty lines, to
complement our established market position in non-proportional liability. The
growth in our proportional business has been mainly due to an increased focus
on proportional liability as well as opportunities in proportional motor.

We believe that clients and brokers actively seek our input in the
evaluation and structuring of businesses with unique or difficult risk
characteristics. We believe this is a result of our innovative approach,
organizational resources and financial strength. We have developed integrated
teams of professionals with significant treaty and individual risk, or
facultative, expertise at our three

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principal underwriting centers in Zurich,
New York and Cologne, which support the professionals we have in our branch
network. We deploy our global specialty lines experts and local specialists to
design solutions to address our clients risk management needs.

We offer facultative products in almost every line on a proportional and
non-proportional basis. Our integrated global organization allows us to offer
facultative products all over the world. In the United States, we offer
facultative liability coverage predominantly on a direct basis. Elsewhere, we
offer a full line of facultative products on both a direct and broker basis. We
have also implemented eFAC, our online facultative quote submission service,
which provides our clients with access to quotes within 24 hours.

Structured/Finite

Structured/finite reinsurance solutions are marketed and underwritten by
the Risk Strategies divisions of our three non-life segments and by our
Converium Life segment. These divisions focus on servicing the needs of the
reinsurance market that may not be met efficiently through traditional
reinsurance products. With primary operating locations in Zurich, New York and
Cologne, our structured/finite specialists focus on providing clients with
creative financial solutions for their risk management and other financial
management needs, primarily through reinsurance products. In addition, our
Singapore branch office developed certain products for structured/finite clients
in the Far East and Pacific Rim. Whether working directly with the client or
through a broker, we seek to develop client-specific solutions after spending
time with the client to understand its business needs.

We believe that to succeed in providing our clients with the solutions
they need, we must take a comprehensive, iterative approach in our analysis. To
accomplish this goal, our Risk Strategies divisions comprise a team of
underwriting, tax, accounting, actuarial and banking experts who can
effectively address all aspects of the solution. We believe this
multi-disciplinary approach distinguishes us from our peers and enables us to
craft solutions that are both creative and viable in light of the specific
needs of the ceding company. Furthermore, our Risk Strategies personnel draw
upon our global capabilities to marshal the necessary expertise and resources
in any market.

Our Risk Strategies divisions target customers who seek to:



| |  |  | Dampen volatility associated with the insurance or reinsurance pricing cycle                                                  
| | - |  | ------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Adjust their exposure to specific geographic areas or lines of business                                                       
|
| |  |  | Increase their level of retention over a period of time                                                                       
|
| |  |  | Minimize existing and potential liabilities in connection with
extraordinary corporate events, such as a merger or acquisition
|
| |  |  | Manage their capital during periods of rapid growth                                                                           

Our customers use these products principally to mitigate volatility as
well as to transfer insurance risks. The more widely used structured/finite
products have similar features but differing terms and limits, depending on the
customers requirements.

The three main types of structured/finite products that we sell are
described below.



| |  |  | Multi-year aggregate excess of loss reinsurance contracts have become
a well-established structured/finite reinsurance product in the North
American market. These reinsurance contracts provide coverage when the
ceding companys applicable block of policies reports losses at or above
a specific loss ratio. This type of product will often charge an
up-front premium plus additional premiums which are dependent on the
magnitude of losses claimed by the ceding company under the contract. The
ceding company generally also participates in a profit sharing arrangement
under these types of reinsurance contracts if the business covered does
not generate excessive losses.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |   |  | This type of product, which is often written on a multi-year basis, is
generally attractive to a large multi-line insurance company customer who
uses this product to stabilize its insurance subsidiaries local statutory
financial results and minimize the impact on the local statutory surplus
of worse than expected underwriting performance.                                                                                                                                                                                                                                                                                                                                        
|
| |  |  | Loss portfolio transfer and adverse loss development contracts are
sold by all of our business segments. These products are considered
retroactive reinsurance as they cover past periods for which the loss
events have already occurred, but where all                                                                                                                                                                                                                                                                                                                                                                                                                                     

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| |   |  | claims have not yet been
made or paid. Retroactive structured/finite reinsurance products remain
an attractive solution for certain clients, who may, for example, wish
to exit a particular line of business, facilitate a business acquisition
(where the reinsurance contract effectively replaces the sellers
requirement to provide a loss reserve guarantee to the purchaser), or
stabilize statutory capital. Typically, a loss portfolio transfer will
transfer to the reinsurer all risks underwritten, subject to an
aggregate loss limit established in the contract. Adverse loss
development products provide reinsurance coverage for losses in excess
of the carried loss reserves of the ceding company at the transaction
date, or in some cases at a mutually agreed attachment point, in excess
of existing loss reserves.                                                               
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Modified co-insurance contracts are sold by our Converium Life
segment. This product is used by our life insurance clients principally
to relieve the strain on statutory surplus caused by the statutory
accounting requirement to expense all new business acquisition costs in
the year incurred. Clients that are growing rapidly can encounter severe
capital constraints as a result of this practice. The reinsurance
contract is a co-insurance contract (which means the reinsurer assumes a
percentage of the same risks as the life insurer), modified to allow the
ceding company to retain the investments which support the liabilities
for future policy benefits applicable to the reinsured portfolio of
business. We pay a ceding commission to our client, who accounts for it
as statutory income and thus replenishes the surplus previously consumed
by new business acquisition costs.

Non-Life Operations

Overview

We operate our Non-Life reinsurance business through our three Non-Life
segments: Converium Zurich, Converium North America and Converium Cologne. Our
Non-Life operations had net premiums written of $3,154.2 million for the year
ended December 31, 2002, representing 94.9% of our total net premiums written.
Our Non-Life business is comprised of the following principal lines of non-life
and health-related reinsurance products.

Liability.We provide a broad range of coverage for reinsurance of
industrial, manufacturer, operational, environmental, product and general
third-party liability. Historically, we principally wrote liability reinsurance
on a non-proportional basis. Currently, we increasingly provide liability
coverage on both a proportional and non-proportional basis. We offer
specialized underwriting, actuarial and claims expertise for all lines of
professional liability, including medical malpractice, directors and officers,
architects and engineers, accountants and lawyers liability. We also provide
errors and omissions reinsurance coverage for specialized and other lines of
business, such as insurance agents and real estate agents. Our professional
liability operations also actively develop and reinsure emerging coverages for
exposures such as tax opinions, representations and warranties, and e-commerce
risk liability.

Property.We reinsure liability for physical damage caused by fire and
allied perils such as explosion, lightning, storm, flood, earthquake and costs
of debris removal, as well as coverage of business interruption and loss of
rent as a result of an insured loss, increasingly on a non-proportional basis.
Other sub-lines of property reinsurance include cover for hail, burglary, water
damage and glass breakage.

Motor.We reinsure accident and liability risks and collision damage of
motor vehicles. Motor insurance can include coverage in three major areas -
liability, accident benefits and physical damage. Liability insurance provides
coverage payment for injuries and for property damage to third parties.
Accident benefits provide coverage for loss of income and medical and
rehabilitation expenses for insured persons who are injured in an automobile
accident, regardless of fault. Physical damage provides for payment of damages
to an insured automobile arising from a collision with another object or from
other risks such as fire or theft.

Credit and Surety.Our credit coverages provide reinsurance for financial
losses sustained through the failure for commercial reasons of an insureds
customers to pay for goods or services supplied to them. Our surety business
relates to the reinsurance of risks associated with performance bonds and other
forms of sureties or guarantees issued to third parties for the fulfillment of
contractual obligations.

Workers Compensation.Our workers compensation coverages are flexible
solutions that can help our clients manage their global workers compensation
risks. Our products include reinsurance for statutory workers compensation
programs, as well as individual risk excess workers compensation. Our workers
compensation reinsurance offerings range from complete coverage of a full
workers compensation program to specific carve-out coverages that address a
clients targeted concerns.

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Aviation and Space.We are a leading provider of reinsurance of personal
accident and liability risks, and hull damage, in connection with the operation
of aircraft and the coverage of satellites during launch and in orbit.

Accident and Health.Our non-life operations provide accident and health
reinsurance coverages for various business lines, including employer stop loss
health insurance, fully insured health insurance, personal accident, travel
accident, disability and critical illness.

Marine.We provide reinsurance relating to the property and liability
coverage of goods in transit (cargo insurance) and the means of their
conveyance (hull insurance).

Engineering.We write all lines of engineering risks including project
risks (construction all risk and erection all risk) and annual covers such as
for machinery and electronic equipment as well as consequential loss resulting
from both project and annual risk.

Specialized and Other.We also provide specialty lines such as
agribusiness, which provides coverage for crop failure both to farmers and
other market participants, including co-ops, processors, lenders and a range of
other businesses. Agribusiness also includes specialized products such as yield
and revenue covers. We also reflect our multi-peril and whole account
reinsurance business under our specialized and other line.

We have established global centers of expertise with respect to certain of
our lines of business, forming teams of specialized experts located at one of
our global offices, who support and manage our global underwriting and risk
management of a particular product. For example, our Zurich office is our
global center of expertise for aviation and space, credit and surety, marine
and engineering reinsurance products and our New York office is our global
center of expertise for agribusiness. Converium Cologne has worldwide
underwriting responsibility for our health reinsurance business, except for our
health reinsurance business in the United States, which is managed by Converium
North America. We believe that our underwriting of these specialized lines of
business benefits from the creation of focused, expert teams operating under
distinct underwriting guidelines which can be closely monitored. In addition,
our centers of expertise help us manage our accumulations of risk and knowledge
sharing on a global basis for these specialized lines.

The following table sets forth our Non-Life net premiums written by type
and line of business for the years ended December 31, 2002, 2001 and 2000:

|                  |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |       |  
|----------------- | --------------------- | ---------------------- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ------- | ----- |  | ---- | ----- | - | - | ----- | ------- |  |  | ---- | ----- | -
|                  |                       |                        |   | Year Ended December 31,
|                  |                       |                        |   |                        
|                  |                       |                        |   | 2002                    |         | 2001  |  | 2000    
|                  |                       |                        |   |                         |         |       |  |         
|                  |                       |                        |   | $                       |         | % of  |  | $        |       | % of  |   | $        |         | % of 
|                  |                       |                        |   | millions                |         | total |  | millions |       | total |   | millions |         | total
|                  |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |      
|Proportional      |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|                  | Liability             |                        | $ | 288.1                   |         |       |  | 16.5     | %     |       | $ | 177.6    |         |       |  | 12.9 | %     |   | $ | 177.4 |         |  |  | 17.1 | %    
|                  | Property              |                        |   | 334.6                   |         |       |  | 19.1     |       |       |   | 282.9    |         |       |  | 20.5 |       |   |   | 211.2 |         |  |  | 20.3 |      
|                  | Motor                 |                        |   | 229.4                   |         |       |  | 13.1     |       |       |   | 276.9    |         |       |  | 20.1 |       |   |   | 183.0 |         |  |  | 17.6 |      
|                  | Credit & Surety       |                        |   | 134.6                   |         |       |  | 7.7      |       |       |   | 114.6    |         |       |  | 8.3  |       |   |   | 96.4  |         |  |  | 9.3  |      
|                  | Workers Compensation |                        |   | 8.4                     |         |       |  | 0.5      |       |       |   | 43.9     |         |       |  | 3.2  |       |   |   | 91.0  |         |  |  | 8.8  |      
|                  | Aviation & Space      |                        |   | 306.5                   |         |       |  | 17.5     |       |       |   | 160.0    |         |       |  | 11.6 |       |   |   | 83.1  |         |  |  | 8.0  |      
|                  | Accident & Health     |                        |   | 102.8                   |         |       |  | 5.9      |       |       |   | 88.4     |         |       |  | 6.4  |       |   |   | 77.5  |         |  |  | 7.5  |      
|                  | Marine                |                        |   | 81.2                    |         |       |  | 4.6      |       |       |   | 63.2     |         |       |  | 4.6  |       |   |   | 35.6  |         |  |  | 3.4  |      
|                  | Engineering           |                        |   | 118.6                   |         |       |  | 6.8      |       |       |   | 81.9     |         |       |  | 5.9  |       |   |   | 52.7  |         |  |  | 5.1  |      
|                  | Specialized & Other   |                        |   | 145.0                   |         |       |  | 8.3      |       |       |   | 90.6     |         |       |  | 6.5  |       |   |   | 30.1  |         |  |  | 2.9  |      
|                  |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|                  |                       | Total Proportional     |   | $                       | 1,749.2 |       |  |          | 100.0 | %     |   | $        | 1,380.0 |       |  |      | 100.0 | % |   | $     | 1,038.0 |  |  |      | 100.0 | %
|                  |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      
|Non-Proportional  |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|                  | Liability             |                        | $ | 334.6                   |         |       |  | 36.7     | %     |       | $ | 199.7    |         |       |  | 35.3 | %     |   | $ | 228.4 |         |  |  | 38.5 | %    
|                  | Property              |                        |   | 238.2                   |         |       |  | 26.2     |       |       |   | 191.0    |         |       |  | 33.7 |       |   |   | 179.8 |         |  |  | 30.3 |      
|                  | Motor                 |                        |   | 130.2                   |         |       |  | 14.3     |       |       |   | 84.5     |         |       |  | 14.9 |       |   |   | 64.1  |         |  |  | 10.8 |      
|                  | Credit & Surety       |                        |   | 35.8                    |         |       |  | 3.9      |       |       |   | 16.2     |         |       |  | 2.9  |       |   |   | 15.6  |         |  |  | 2.6  |      
|                  | Workers Compensation |                        |   | 18.3                    |         |       |  | 2.0      |       |       |   | 7.2      |         |       |  | 1.3  |       |   |   | 14.0  |         |  |  | 2.4  |      
|                  | Aviation & Space      |                        |   | 63.6                    |         |       |  | 7.0      |       |       |   | 21.0     |         |       |  | 3.7  |       |   |   | 34.3  |         |  |  | 5.8  |      
|                  | Accident & Health     |                        |   | 76.3                    |         |       |  | 8.4      |       |       |   | 28.0     |         |       |  | 4.9  |       |   |   | 7.8   |         |  |  | 1.3  |      
|                  | Marine                |                        |   | 12.0                    |         |       |  | 1.3      |       |       |   | 11.1     |         |       |  | 2.0  |       |   |   | 10.7  |         |  |  | 1.8  |      
|                  | Engineering           |                        |   | (1.8                    | )       |       |  | (0.2     | )     |       |   | (1.2     | )       |       |  | (0.2 | )     |   |   | 2.7   |         |  |  | 0.4  |      
|                  | Specialized & Other   |                        |   | 3.9                     |         |       |  | 0.4      |       |       |   | 8.5      |         |       |  | 1.5  |       |   |   | 36.1  |         |  |  | 6.1  |      
|                  |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|                  |                       | Total Non-Proportional |   | $                       | 911.1   |       |  |          | 100.0 | %     |   | $        | 566.0   |       |  |      | 100.0 | % |   | $     | 593.5   |  |  |      | 100.0 | %
|                  |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      
|Structured/Finite |                       |                        |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|                  | Liability             |                        | $ | 127.9                   |         |       |  | 25.9     | %     |       | $ | 80.8     |         |       |  | 20.4 | %     |   | $ | 69.1  |         |  |  | 27.6 | %    
|                  | Property              |                        |   | 2.6                     |         |       |  | 0.5      |       |       |   | 28.0     |         |       |  | 7.1  |       |   |   | 12.8  |         |  |  | 5.1  |      
|                  | Motor                 |                        |   | 95.2                    |         |       |  | 19.3     |       |       |   | 75.8     |         |       |  | 19.2 |       |   |   | 86.0  |         |  |  | 34.4 |      
|                  | Credit & Surety       |                        |   | 30.8                    |         |       |  | 6.2      |       |       |   | 47.9     |         |       |  | 12.1 |       |   |   | 10.0  |         |  |  | 4.0  |      

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##### Table of Contents



|      |                       |                         |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |       |  
|----- | --------------------- | ----------------------- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ------- | ----- |  | ---- | ----- | - | - | ----- | ------- |  |  | ---- | ----- | -
|      |                       |                         |   | Year Ended December 31,
|      |                       |                         |   |                        
|      |                       |                         |   | 2002                    |         | 2001  |  | 2000    
|      |                       |                         |   |                         |         |       |  |         
|      |                       |                         |   | $                       |         | % of  |  | $        |       | % of  |   | $        |         | % of 
|      |                       |                         |   | millions                |         | total |  | millions |       | total |   | millions |         | total
|      |                       |                         |   |                         |         |       |  |          |       |       |   |          |         |      
|      | Workers Compensation |                         |   | 181.1                   |         |       |  | 36.7     |       |       |   | 141.6    |         |       |  | 35.8 |       |   |   | 58.9  |         |  |  | 23.6 |      
|      | Aviation & Space      |                         |   |                        |         |       |  |         |       |       |   |         |         |       |  |     |       |   |   | 1.9   |         |  |  | 0.8  |      
|      | Accident & Health     |                         |   | 0.4                     |         |       |  | 0.1      |       |       |   |         |         |       |  |     |       |   |   |      |         |  |  |     |      
|      | Marine                |                         |   |                        |         |       |  |         |       |       |   |         |         |       |  |     |       |   |   |      |         |  |  |     |      
|      | Engineering           |                         |   |                        |         |       |  |         |       |       |   |         |         |       |  |     |       |   |   |      |         |  |  |     |      
|      | Specialized & Other   |                         |   | 55.9                    |         |       |  | 11.3     |       |       |   | 21.0     |         |       |  | 5.4  |       |   |   | 11.4  |         |  |  | 4.5  |      
|      |                       |                         |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|      |                       | Total Structured/Finite |   | $                       | 493.9   |       |  |          | 100.0 | %     |   | $        | 395.1   |       |  |      | 100.0 | % |   | $     | 250.1   |  |  |      | 100.0 | %
|      |                       |                         |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      
|Total |                       |                         |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|      | Liability             |                         | $ | 750.6                   |         |       |  | 23.8     | %     |       | $ | 458.1    |         |       |  | 19.6 | %     |   | $ | 474.9 |         |  |  | 25.2 | %    
|      | Property              |                         |   | 575.4                   |         |       |  | 18.2     |       |       |   | 501.9    |         |       |  | 21.5 |       |   |   | 403.8 |         |  |  | 21.5 |      
|      | Motor                 |                         |   | 454.8                   |         |       |  | 14.4     |       |       |   | 437.2    |         |       |  | 18.7 |       |   |   | 333.1 |         |  |  | 17.7 |      
|      | Credit & Surety       |                         |   | 201.2                   |         |       |  | 6.4      |       |       |   | 178.6    |         |       |  | 7.6  |       |   |   | 122.0 |         |  |  | 6.5  |      
|      | Workers Compensation |                         |   | 207.8                   |         |       |  | 6.6      |       |       |   | 192.6    |         |       |  | 8.2  |       |   |   | 163.9 |         |  |  | 8.7  |      
|      | Aviation & Space      |                         |   | 370.1                   |         |       |  | 11.7     |       |       |   | 181.0    |         |       |  | 7.7  |       |   |   | 119.3 |         |  |  | 6.3  |      
|      | Accident & Health     |                         |   | 179.5                   |         |       |  | 5.7      |       |       |   | 116.4    |         |       |  | 5.0  |       |   |   | 85.3  |         |  |  | 4.5  |      
|      | Marine                |                         |   | 93.2                    |         |       |  | 3.0      |       |       |   | 74.3     |         |       |  | 3.2  |       |   |   | 46.3  |         |  |  | 2.5  |      
|      | Engineering           |                         |   | 116.8                   |         |       |  | 3.7      |       |       |   | 80.7     |         |       |  | 3.4  |       |   |   | 55.4  |         |  |  | 2.9  |      
|      | Specialized & Other   |                         |   | 204.8                   |         |       |  | 6.5      |       |       |   | 120.4    |         |       |  | 5.1  |       |   |   | 77.6  |         |  |  | 4.2  |      
|      |                       |                         |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |     
|      |                       | Total                   |   | $                       | 3,154.2 |       |  |          | 100.0 | %     |   | $        | 2,341.2 |       |  |      | 100.0 | % |   | $     | 1,881.6 |  |  |      | 100.0 | %
|      |                       |                         |   |                         |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |       |         |  |  |      |      

The table below presents the loss, expense and combined ratios of our
Non-Life reinsurance business both by line of business and type of reinsurance
for the years ended December 31, 2002, 2001 and 2000. This table represents an
aggregation of line of business ratios for our three Non-Life segments.
Subsequent tables present ratios for each Non-Life segment by line of business
and type of reinsurance. Each of the Non-Life segments manages lines of
business in distinct geographic regions and therefore each segment responds to
different competitive and legal environments. As a result, we believe different
pricing conditions exist in each of these environments. This, in turn, can lead
to differences in loss, expense and combined ratios among each of the segments
within a calendar year. These ratios can also be affected on a calendar year
basis depending on whether there is positive or negative loss development from
prior periods.

Loss, Expense and Combined Ratios

|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |          |      |   |  |  |       |   |  |     |       |   |  |  |      |   |  |  |       |  
|--------------------- |  | ----------------------- | ----- | ------- |  | -------- | ---- | ----- |  | ------- | ----- | -------- |  | ----- | ----- | ------- |  | -------- | ---- | - |  |  | ----- | - |  | --- | ----- | - |  |  | ---- | - |  |  | ----- | -
|                      |  | Year Ended December 31,
|                      |  |                        
|                      |  | 2002                    |       | 2001    |  | 2000    
|                      |  |                         |       |         |  |         
|                      |  |                         |       |         |  | U/W      |      |       |  |         |       |          |  |       |       | U/W     |  |          |      |   |  |  |       |   |  | U/W |       |   |  | 
|                      |  | Loss                    |       | Expense |  | Combined |      | Loss  |  | Expense |       | Combined |  | Loss  |       | Expense |  | Combined
|                      |  | Ratio                   |       | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |       | Ratio(1) |  | Ratio |       | Ratio   |  | Ratio(1)
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|                      |  | %                       |       | %       |  | %        |      | %     |  | %       |       | %        |  | %     |       | %       |  | %       
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|Liability             |  |                         | 101.2 | %       |  |          | 20.0 | %     |  |         | 121.2 | %        |  |       | 120.2 | %       |  |          | 26.5 | % |  |  | 146.7 | % |  |     | 89.8  | % |  |  | 24.5 | % |  |  | 114.4 | %
|Property              |  |                         | 58.4  |         |  |          | 23.0 |       |  |         | 81.4  |          |  |       | 88.5  |         |  |          | 21.7 |   |  |  | 110.2 |   |  |     | 72.8  |   |  |  | 24.3 |   |  |  | 97.1  |  
|Motor                 |  |                         | 83.5  |         |  |          | 23.0 |       |  |         | 106.5 |          |  |       | 87.8  |         |  |          | 19.1 |   |  |  | 106.9 |   |  |     | 99.3  |   |  |  | 18.1 |   |  |  | 117.4 |  
|Credit & Surety       |  |                         | 64.7  |         |  |          | 29.1 |       |  |         | 93.8  |          |  |       | 110.5 |         |  |          | 33.9 |   |  |  | 144.4 |   |  |     | 58.4  |   |  |  | 33.3 |   |  |  | 91.7  |  
|Workers Compensation |  |                         | 76.9  |         |  |          | 24.0 |       |  |         | 100.9 |          |  |       | 67.0  |         |  |          | 27.7 |   |  |  | 94.7  |   |  |     | 91.0  |   |  |  | 24.6 |   |  |  | 115.6 |  
|Aviation & Space      |  |                         | 69.3  |         |  |          | 13.0 |       |  |         | 82.3  |          |  |       | 203.5 |         |  |          | 18.6 |   |  |  | 222.1 |   |  |     | 100.6 |   |  |  | 12.3 |   |  |  | 112.9 |  
|Accident & Health     |  |                         | 71.7  |         |  |          | 19.3 |       |  |         | 91.0  |          |  |       | 91.3  |         |  |          | 15.6 |   |  |  | 106.9 |   |  |     | 91.4  |   |  |  | 31.9 |   |  |  | 123.3 |  
|Marine                |  |                         | 67.2  |         |  |          | 23.8 |       |  |         | 91.0  |          |  |       | 107.3 |         |  |          | 22.9 |   |  |  | 130.2 |   |  |     | 102.0 |   |  |  | 25.5 |   |  |  | 127.5 |  
|Engineering           |  |                         | 81.3  |         |  |          | 22.0 |       |  |         | 103.3 |          |  |       | 98.0  |         |  |          | 24.2 |   |  |  | 122.2 |   |  |     | 90.6  |   |  |  | 27.5 |   |  |  | 118.1 |  
|Specialized and Other |  |                         | 75.0  |         |  |          | 19.1 |       |  |         | 94.1  |          |  |       | 25.2  |         |  |          | 24.7 |   |  |  | 49.9  |   |  |     | 81.7  |   |  |  | 32.4 |   |  |  | 114.1 |  
|Proportional          |  |                         | 75.6  |         |  |          | 23.9 |       |  |         | 99.5  |          |  |       | 106.3 |         |  |          | 27.4 |   |  |  | 133.7 |   |  |     | 78.3  |   |  |  | 32.2 |   |  |  | 110.5 |  
|Non-Proportional      |  |                         | 84.0  |         |  |          | 17.0 |       |  |         | 101.0 |          |  |       | 98.5  |         |  |          | 15.9 |   |  |  | 114.4 |   |  |     | 98.9  |   |  |  | 15.6 |   |  |  | 114.5 |  
|Structured/Finite     |  |                         | 75.5  |         |  |          | 18.5 |       |  |         | 94.0  |          |  |       | 78.9  |         |  |          | 19.7 |   |  |  | 98.6  |   |  |     | 79.0  |   |  |  | 10.1 |   |  |  | 89.1  |  



---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

For an explanation of ratio calculations, please refer to the Schedule of
Segment Data on page F-7 of the financial statements.

Converium Zurich

Overview

Converium Zurich is responsible for non-life reinsurance clients in the
United Kingdom, Western and Southern Europe, Switzerland, the Benelux
countries, Latin America, the Far East and the Pacific Rim, Israel and Southern
Africa. In addition, some business originating in North America is written
through our Converium Zurich unit in the London market. This is done in
coordination with our Converium North America operations to avoid client
conflicts and unintended risk accumulation. Local branch and representative
offices assist in servicing the Asian and Latin American markets. In addition
to focusing on these regional markets, Converium Zurich serves as our center of
expertise with respect to certain product classes. For example, we believe
Converium Zurich is considered a lead market for aviation and space as well as
a major market for credit and surety risks. In addition, Converium Zurich is
the global center of expertise for marine and engineering business and provides
technical support for catastrophe risk assessment

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##### Table of Contents



and modeling for our global
operation. Converium Zurich accounted for $1,670.5 million, or 50.3%, of our
consolidated 2002 net premiums written.

Across all the lines of business Converium Zurich writes, we seek growth
and profitability by pursuing the following strategies, focused on
differentiation:



| |  |  | We pursue a focused and disciplined client strategy, based on our
clients market positioning, reinsurance needs, sophistication in
purchasing reinsurance and our relevance to them as a business partner.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | We focus on creating solutions and offering services that help our
clients to optimize the efficiency of reinsurance. We have developed
teams and tools to analyze a clients reinsurance and corporate finance
structure and to apply reinsurance solutions that match those needs.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      
|
| |  |  | We seek to strengthen strategic relationships with certain client and
industry groups in each market. For example, we expanded in the United
Kingdom through our strategic alliance with the MDU. The MDU is the
United Kingdoms premier medical defense organization. Through this
joint venture, we expect to expand services, tailor new products and
explore new market opportunities, building from our expertise and the
MDUs reputation as a trusted advisor and well-known, accepted brand. In
November 2002, Converium Zurich signed an agreement to take a 25%
shareholding in Global Aerospace Underwriting Managers Limited (GAUM), a
leading international aviation-underwriting agency. We received various
regulatory approvals and concluded the transaction in March 2003. We
also increased our participation in GAUMs aviation pool from 9% to 25%.
See Item 10.  Additional Information  C. Material Contracts.
|
| |  |  | In Europe, we seek to grow our reinsurance of exposures with longer
potential claim periods, referred to as long-tail lines, where we
believe our expertise and analytical skills provide us with a
competitive advantage.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                

Historically, Converium Cologne had client relationship management
responsibility for Switzerland to mitigate the competitive issues resulting
from our ownership by Zurich Financial Services, a large competitor of other
Swiss insurers. We have transferred full responsibility for our business in
Switzerland to Converium Zurich. We anticipate that we will secure new and
expanded client relationships in Switzerland as an independent reinsurer. In
addition, as an independently managed reinsurer, we are in a position to
compete for the Swiss market
reinsurance premiums ceded by Zurich Financial Services, of which minimal
premiums were reflected in our historical results.

Converium Zurich is active in both the direct and broker markets. In 2002,
40.6% of Converium Zurichs gross premiums written were written through the
direct market and 59.4% were written through the broker market.

The table below presents the distribution of net premiums written by our
Converium Zurich segment by line of business for the years ended December 31,
2002, 2001 and 2000.

|                      |       |   |                         |         |       |  |          |       |       |   |         |         |       |  |      |       |   |   |       |       |  |  |      |       |  
|--------------------- | ----- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | ------- | ------- | ----- |  | ---- | ----- | - | - | ----- | ----- |  |  | ---- | ----- | -
|                      |       |   | Year Ended December 31,
|                      |       |   |                        
|                      |       |   | 2002                    |         | 2001  |  | 2000    
|                      |       |   |                         |         |       |  |         
|                      |       |   | $                       |         | % of  |  | $        |       | % of  |   | $       |         | % of 
|                      |       |   | millions                |         | total |  | millions |       | total |   | million |         | total
|                      |       |   |                         |         |       |  |          |       |       |   |         |         |      
|Liability             |       | $ | 381.4                   |         |       |  | 22.8     | %     |       | $ | 226.6   |         |       |  | 19.1 | %     |   | $ | 180.5 |       |  |  | 22.1 | %    
|Property              |       |   | 312.9                   |         |       |  | 18.7     |       |       |   | 268.5   |         |       |  | 22.7 |       |   |   | 220.1 |       |  |  | 26.9 |      
|Motor                 |       |   | 178.5                   |         |       |  | 10.7     |       |       |   | 186.3   |         |       |  | 15.7 |       |   |   | 85.6  |       |  |  | 10.5 |      
|Credit & Surety       |       |   | 145.8                   |         |       |  | 8.7      |       |       |   | 114.1   |         |       |  | 9.6  |       |   |   | 97.7  |       |  |  | 11.9 |      
|Workers Compensation |       |   | 0.6                     |         |       |  |         |       |       |   | 0.2     |         |       |  |     |       |   |   |      |       |  |  |     |      
|Aviation & Space      |       |   | 370.2                   |         |       |  | 22.2     |       |       |   | 181.0   |         |       |  | 15.3 |       |   |   | 119.3 |       |  |  | 14.6 |      
|Accident & Health     |       |   | 39.8                    |         |       |  | 2.4      |       |       |   | 41.9    |         |       |  | 3.5  |       |   |   | 25.5  |       |  |  | 3.1  |      
|Marine                |       |   | 44.2                    |         |       |  | 2.7      |       |       |   | 32.0    |         |       |  | 2.7  |       |   |   | 19.7  |       |  |  | 2.4  |      
|Engineering           |       |   | 105.4                   |         |       |  | 6.3      |       |       |   | 71.1    |         |       |  | 6.0  |       |   |   | 55.3  |       |  |  | 6.8  |      
|Specialized & Other   |       |   | 91.7                    |         |       |  | 5.5      |       |       |   | 63.3    |         |       |  | 5.4  |       |   |   | 14.6  |       |  |  | 1.7  |      
|                      |       |   |                         |         |       |  |          |       |       |   |         |         |       |  |      |       |   |   |       |       |  |  |      |      
|                      | Total |   | $                       | 1,670.5 |       |  |          | 100.0 | %     |   | $       | 1,185.0 |       |  |      | 100.0 | % |   | $     | 818.3 |  |  |      | 100.0 | %
|                      |       |   |                         |         |       |  |          |       |       |   |         |         |       |  |      |       |   |   |       |       |  |  |      |      

The following table presents the loss, expense and combined ratios of our
Converium Zurich segment by line of business and type of reinsurance for the
years ended December 31, 2002, 2001 and 2000:

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##### Table of Contents



Loss, Expense and Combined Ratios

|                    |  |                         |      |         |  |          |      |       |  |         |       |          |  |       |        |         |  |          |      |   |  |  |        |   |  |     |       |   |  |  |      |   |  |  |       |  
|------------------- |  | ----------------------- | ---- | ------- |  | -------- | ---- | ----- |  | ------- | ----- | -------- |  | ----- | ------ | ------- |  | -------- | ---- | - |  |  | ------ | - |  | --- | ----- | - |  |  | ---- | - |  |  | ----- | -
|                    |  | Year Ended December 31,
|                    |  |                        
|                    |  | 2002                    |      | 2001    |  | 2000    
|                    |  |                         |      |         |  |         
|                    |  |                         |      |         |  | U/W      |      |       |  |         |       |          |  |       |        | U/W     |  |          |      |   |  |  |        |   |  | U/W |       |   |  | 
|                    |  | Loss                    |      | Expense |  | Combined |      | Loss  |  | Expense |       | Combined |  | Loss  |        | Expense |  | Combined
|                    |  | Ratio                   |      | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |       | Ratio(1) |  | Ratio |        | Ratio   |  | Ratio(1)
|                    |  |                         |      |         |  |          |      |       |  |         |       |          |  |       |        |         |  |         
|                    |  | %                       |      | %       |  | %        |      | %     |  | %       |       | %        |  | %     |        | %       |  | %       
|                    |  |                         |      |         |  |          |      |       |  |         |       |          |  |       |        |         |  |         
|Liability           |  |                         | 91.7 | %       |  |          | 15.6 | %     |  |         | 107.3 |          |  |       | 108.7  | %       |  |          | 18.5 | % |  |  | 127.2  | % |  |     | 72.1  | % |  |  | 17.5 | % |  |  | 89.6  | %
|Property            |  |                         | 44.7 |         |  |          | 19.3 |       |  |         | 64.0  |          |  |       | 95.5   |         |  |          | 20.9 |   |  |  | 116.4  |   |  |     | 58.8  |   |  |  | 20.0 |   |  |  | 78.8  |  
|Motor               |  |                         | 72.0 |         |  |          | 15.0 |       |  |         | 87.0  |          |  |       | 79.7   |         |  |          | 15.0 |   |  |  | 94.7   |   |  |     | 118.8 |   |  |  | 14.3 |   |  |  | 133.1 |  
|Credit & Surety     |  |                         | 64.8 |         |  |          | 32.4 |       |  |         | 97.2  |          |  |       | 93.5   |         |  |          | 31.3 |   |  |  | 124.8  |   |  |     | 60.4  |   |  |  | 32.2 |   |  |  | 92.5  |  
|Aviation & Space    |  |                         | 69.3 |         |  |          | 12.9 |       |  |         | 82.2  |          |  |       | 203.6  |         |  |          | 18.6 |   |  |  | 222.2  |   |  |     | 86.8  |   |  |  | 12.3 |   |  |  | 99.1  |  
|Accident & Health   |  |                         | 69.5 |         |  |          | 21.4 |       |  |         | 90.9  |          |  |       | 83.3   |         |  |          | 19.4 |   |  |  | 102.7  |   |  |     | 102.8 |   |  |  | 20.4 |   |  |  | 123.1 |  
|Marine              |  |                         | 49.4 |         |  |          | 18.9 |       |  |         | 68.3  |          |  |       | 65.6   |         |  |          | 22.3 |   |  |  | 87.9   |   |  |     | 63.1  |   |  |  | 23.1 |   |  |  | 86.2  |  
|Engineering         |  |                         | 80.0 |         |  |          | 21.1 |       |  |         | 101.1 |          |  |       | 98.4   |         |  |          | 23.0 |   |  |  | 121.4  |   |  |     | 91.1  |   |  |  | 27.5 |   |  |  | 118.7 |  
|Specialized & Other |  |                         | 76.2 |         |  |          | 22.7 |       |  |         | 98.9  |          |  |       | (107.1 | )       |  |          | 5.0  |   |  |  | (102.1 | ) |  |     |      |   |  |  |     |   |  |  |      |  
|Proportional        |  |                         | 74.6 |         |  |          | 20.6 |       |  |         | 95.2  |          |  |       | 120.4  |         |  |          | 24.7 |   |  |  | 145.1  |   |  |     | 63.9  |   |  |  | 28.5 |   |  |  | 92.4  |  
|Non-Proportional    |  |                         | 47.4 |         |  |          | 13.5 |       |  |         | 60.9  |          |  |       | 55.7   |         |  |          | 12.2 |   |  |  | 67.9   |   |  |     | 99.5  |   |  |  | 9.0  |   |  |  | 108.6 |  
|Structured/Finite   |  |                         | 99.5 |         |  |          | 6.6  |       |  |         | 106.1 |          |  |       | 103.1  |         |  |          | 6.7  |   |  |  | 109.8  |   |  |     | 67.2  |   |  |  | 9.5  |   |  |  | 76.7  |  



---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

For an explanation of ratio calculations, please refer to the Schedule of
Segment Data on page F-7 of the financial statements.

Converium Zurich is a full service provider, with treaty, facultative and
structured/finite capacities. In 2002, approximately 69.6% of Converium
Zurichs non-life net premiums written were on a proportional basis, 23.2% were
on a non-proportional basis and 7.2% were on a structured/finite basis. We
believe we are recognized in the marketplace as a lead market provider capable
of innovative solutions and responsive service.

Our Zurich office serves as the center of specialized expertise for a
number of areas. For example, our global aviation and space expertise is
managed out of Zurich. We offer reinsurance coverage for all aviation and space
related risks by way of proportional and non-proportional treaty reinsurance as
well as structured/finite solutions.

We consider credit and surety, which contributes an important part to our
premium volume, an important business line. We believe we have a strong
position in the credit and surety market. Converium is a selected member of the
long-term reinsurance panel of all major credit insurers and many important
surety companies worldwide. Our center of expertise in Zurich together with our
local offices are strongly committed to continuing to provide long-term
capacity, security and professional services to our clients in these highly
specialized lines of business.

Property catastrophe underwriting is coordinated among our three non-life
segments to optimize capital utilization, maximize diversification benefits on
a group-wide basis and monitor risk accumulations. Our property catastrophe
underwriting specialists in Zurich and Singapore coordinate with our
underwriters in the United States and Germany as well as marketing personnel in
our representative offices in Mexico City and Buenos Aires. In addition, our
property catastrophe underwriting team works together with the appropriate
client relationship teams in order to provide the best service to our clients.

European Markets

In Europe, insurance companies are increasingly focusing on life and
personal lines insurance and are withdrawing capacity from the commercial lines
insurance market. We believe this trend, together with significant
consolidation and enhanced pricing discipline, should lead to more favorable
pricing conditions in that market.

Throughout Europe, bodily injury claims have suffered from very high
claims inflation leading to unsatisfactory performance of lines of business
such as motor third-party liability and employers liability. Since those lines
of business are usually reinsured on an excess of loss basis, reinsurers have
borne more than their proportional share of the losses. As a result, in most
European markets insurers and reinsurers have now increased prices.

In 1999, France, Denmark, and Southern Germany experienced a series of
severe winter storms. Prices for catastrophe reinsurance covers in these
regions affected by the storms have increased substantially as a result.

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United Kingdom.The United Kingdom is our largest European market. During
the last few years the U.K. insurance market has undergone a series of dramatic
changes, including a wave of consolidations followed by a series of smaller
demergers, spin-offs and creation of start ups. The capitalization of these new
entities has often heavily relied on reinsurance, creating interesting
opportunities for us and other reinsurers. We principally write motor,
liability, property, accident and health and credit and surety business in the
United Kingdom, primarily through brokers.

The U.K. market is a deregulated market. The earnings of insurance
companies are volatile and the market is cyclical. Although pricing conditions
in the United Kingdom have improved, we intend to carefully monitor our premium
volumes in this market and to write U.K. business as long as it offers a
profitable opportunity.

We have expanded our business in the United Kingdom through our strategic
alliance with the MDU. The MDU is the United Kingdoms premier medical defense
organization. We expect to continue to expand services, tailor new products and
explore new market opportunities, through both our expertise and the MDUs
reputation as a trusted advisor and well-known, accepted brand. In addition to
our underwriting team which covers the U.K. and Irish markets out of Zurich, we
also have a representative office in London.

In November 2002, Converium AG acquired a corporate member at Lloyds,
renamed Converium Underwriting Ltd., with a view to rationalizing Converiums
operating structure for its Lloyds business and allowing us to make more
efficient use of capital supporting our Lloyds business.

Additionally, Converium has formed Converium (UK) Ltd. as the designated
legal entity for a Financial Services Authority-regulated insurance company in
the United Kingdom. The related licensing process is currently pending with the
Financial Services Authority in the U.K. It is intended that Converium (UK)
Ltd. will become an
issuing carrier for certain insurance business in the area of medical
malpractice as well as aviation and space, in particular in conjunction with
MDU Services Ltd. and Global Aerospace Underwriting Managers Ltd.

France.The French market is our second largest European market. Like the
U.K. market, the French insurance market has undergone substantial
consolidation in recent years. Despite this consolidation and the replacement
of proportional cessions by non-proportional reinsurance, we have been able to
substantially grow our premium income in the French market. We principally
write property, motor and liability business in France, primarily through
brokers.

The French market suffered very large storm losses at the end of 1999,
which were only fully recognized by insurance and reinsurance pricing during
the course of 2000. This has led to strong improvements in rates for property
catastrophe reinsurance protections. As a consequence, we have increased our
exposure to this type of risk in 2002 and 2001.

Netherlands.We principally write property business in the Netherlands,
primarily on a direct basis. The Dutch market has been one of the more
receptive markets for structured/finite products and we have been able to
develop our position due to our expertise in this field.

Southern Europe.We principally write property, motor and credit and
surety business in Southern Europe, primarily through brokers. The market
conditions in Italy and Spain have been difficult. Original rates of heavily
reinsured industrial fire risks are barely adequate, and a substantial share of
the losses is ceded through proportional reinsurance. In Spain our market share
is modest and will remain so as long as the conditions do not improve. The
Italian market experienced a substantial hardening during the last renewal
period. We have increased our exposure to the hardened market conditions
accordingly. We have a good position in the attractive Portuguese market. This
position has been further significantly improved at last renewal.

Switzerland.The formation of Converium and our separation from Zurich
Financial Services has created new opportunities for us in the Swiss market
where primary insurers have been unwilling to enter into business relationships
with the reinsurance operations of a competitor like Zurich Financial Services.
In addition, as an independent reinsurer, we are now in a position to compete
for the Swiss market reinsurance premiums ceded by Zurich Financial Services,
of which minimal premiums are reflected in our historical results. Converium is
positioned as an innovative provider in the structured/finite field and we
believe that Switzerland will continue to be a receptive market for
structured/finite solutions.

Overseas Markets

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Latin America.Our representative offices in Latin America are in Buenos
Aires, Mexico City and São Paulo, which support our underwriters in Zurich. Our
Mexico City office covers northern Latin America, including the Caribbean. The
business marketed through our Mexico City office has increased markedly in the
last three years. We achieved this growth by approaching new clients and by
taking advantage of the benefits offered by favorable pricing conditions in the
market after a series of hurricanes in 1998 and 1999. The Mexico City office
has grown in size to a staff of 20. We offer property, property catastrophe,
liability and engineering reinsurance in this market.

Our office in Buenos Aires serves southern Latin America, including
Argentina, Bolivia, Chile, Peru, Paraguay and Uruguay. The business volume in
this region has also grown significantly in the last three years. Our strongest
markets include Argentina, Chile and Peru. We offer property, liability and
motor business in these markets.

Our representative office in São Paulo was established in 1999 in
anticipation of the opening of the Brazilian reinsurance market. However, the
Brazilian market continues to be monopolized by the state-owned reinsurance
firm IRB Resseguros de Brazil, or IRB. We maintain a minimal presence in the
local office, where our staff coordinates business through IRB and supports our
other Latin American offices.

Japan.We have a representative office in Japan which supports our
underwriters in Zurich through local representation efforts. Earthquake and
wind/flood coverage represents the bulk of our Japanese book of business. We
have also built up our non-traditional capabilities and will seek to increase
our structured/finite business in the region. Our business in Japan has grown
substantially over the last three years.As of December 31, 2002, we had
approximately $52.3 million net premiums written in-force from reinsurance
business in Japan. We are well-positioned in Japans consolidating market as we
have a good relationship with all of the top insurance companies. In addition,
Japanese clients had been particularly sensitive to our historical ownership by
a competitor like Zurich Financial Services. We believe the Japanese market
will continue to present new growth opportunities.

Australia/ New Zealand.We opened a branch office in Sydney in 1999 and
believe we have identified attractive growth opportunities in Australia. Our
managers have significant underwriting experience and industry relationships in
this market. Currently, the majority of our Australian premiums are derived
from property lines, although we are also increasingly marketing our capacity
for appropriately priced liability and other lines. However, we consider
workers compensation business, in particular, heavily under priced and we
intend to limit our exposures on this business until conditions improve.

Asian Markets.We service the Far East, the Association of Southeast Asian
Nations, or ASEAN, countries and South Asia out of our branch offices in
Singapore and Labuan, Malaysia. We believe that we can achieve substantial
additional business from these territories. Our current focus is on Taiwan,
Hong Kong, Korea and the ASEAN countries. Our business volume has significantly
grown from negligible levels in 1997, as we have added additional staff with
property, liability and engineering capabilities. We also have actuaries based
in Singapore who support our underwriters.

Converium North America

Converium North America manages our non-life reinsurance business in the
United States, its primary market, and in Canada. In North America, we write a
full range of traditional and structured/finite reinsurance solutions on both a
treaty and individual risk, or facultative, basis. Converium North America
primarily writes liability, workers compensation, property, commercial motor
liability, commercial multi-peril, accident and health, surety and medical
malpractice reinsurance. In addition to its regional market responsibilities,
Converium North America is our global center of expertise for agribusiness.
Converium North America is the fourth largest broker reinsurer and the ninth
largest professional reinsurer in the United States based on 2002 net premiums
written. Converium North America accounted for $1,193.9 million, or 35.9%, of
our 2002 net premiums written.

Converium North America principally writes its reinsurance business
through brokers. However, we believe one of our competitive strengths is our
ability to work closely with our clients while honoring our and our clients
relationships with brokers.

Converium North Americas strategy is to be a lead underwriter working
closely with our clients, which we believe helps to distinguish us from our
competitors and improves our risk profile. In 2002, Converium North America
operated as the lead reinsurer with respect to contracts representing in excess
of 70% of its net premiums written. As a lead reinsurer, we seek to work
closely with our clients to bring them innovative solutions and to deepen our
mutual relationship. To do so, we have developed customized services, which we
offer both to our clients and brokers. These services include items such as
loss trend analysis, assistance with pricing tools, helping clients develop
experience and exposure analysis models, new product opportunity development
analysis, and

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##### Table of Contents



emerging and key issue analyses on subjects such as toxic torts,
indoor pollution, workers compensation reforms and e-business exposure.

The table below presents the distribution of net premiums written by our
Converium North America segment by line of business for the years ended
December 31, 2002, 2001 and 2000.

|                      |       |   |                         |         |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |       |  
|--------------------- | ----- | - | ----------------------- | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ----- | ----- |  | ---- | ----- | - | - | ----- | ----- |  |  | ---- | ----- | -
|                      |       |   | Year Ended December 31,
|                      |       |   |                        
|                      |       |   | 2002                    |         | 2001  |  | 2000    
|                      |       |   |                         |         |       |  |         
|                      |       |   | $                       |         | % of  |  | $        |       | % of  |   | $        |       | % of 
|                      |       |   | millions                |         | total |  | millions |       | total |   | millions |       | total
|                      |       |   |                         |         |       |  |          |       |       |   |          |       |      
|Liability             |       | $ | 347.2                   |         |       |  | 29.1     | %     |       | $ | 216.4    |       |       |  | 24.1 | %     |   | $ | 284.9 |       |  |  | 33.7 | %    
|Property              |       |   | 148.9                   |         |       |  | 12.5     |       |       |   | 144.6    |       |       |  | 16.1 |       |   |   | 120.0 |       |  |  | 14.2 |      
|Motor                 |       |   | 225.3                   |         |       |  | 18.9     |       |       |   | 178.5    |       |       |  | 19.9 |       |   |   | 175.9 |       |  |  | 20.8 |      
|Credit & Surety       |       |   | 53.9                    |         |       |  | 4.5      |       |       |   | 64.8     |       |       |  | 7.2  |       |   |   | 23.0  |       |  |  | 2.7  |      
|Workers Compensation |       |   | 207.2                   |         |       |  | 17.3     |       |       |   | 192.4    |       |       |  | 21.4 |       |   |   | 163.9 |       |  |  | 19.4 |      
|Aviation & Space      |       |   |                        |         |       |  |         |       |       |   |         |       |       |  |     |       |   |   |      |       |  |  |     |      
|Accident & Health     |       |   | 84.6                    |         |       |  | 7.1      |       |       |   | 38.9     |       |       |  | 4.3  |       |   |   | 11.0  |       |  |  | 1.3  |      
|Marine                |       |   | 14.6                    |         |       |  | 1.2      |       |       |   | 7.0      |       |       |  | 0.8  |       |   |   | 5.0   |       |  |  | 0.6  |      
|Engineering           |       |   | (0.2                    | )       |       |  |         |       |       |   |         |       |       |  |     |       |   |   |      |       |  |  |     |      
|Specialized & Other   |       |   | 112.4                   |         |       |  | 9.4      |       |       |   | 55.8     |       |       |  | 6.2  |       |   |   | 61.0  |       |  |  | 7.3  |      
|                      |       |   |                         |         |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |      
|                      | Total |   | $                       | 1,193.9 |       |  |          | 100.0 | %     |   | $        | 898.4 |       |  |      | 100.0 | % |   | $     | 844.7 |  |  |      | 100.0 | %
|                      |       |   |                         |         |       |  |          |       |       |   |          |       |       |  |      |       |   |   |       |       |  |  |      |      

The following table presents the loss, expense and combined ratios of our
Converium North America segment by line of business and type of reinsurance for
the years ended December 31, 2002, 2001 and 2000:

Loss, Expense and Combined Ratios

|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |          |      |   |  |  |       |   |  |     |       |   |  |  |      |   |  |  |       |  
|--------------------- |  | ----------------------- | ----- | ------- |  | -------- | ---- | ----- |  | ------- | ----- | -------- |  | ----- | ----- | ------- |  | -------- | ---- | - |  |  | ----- | - |  | --- | ----- | - |  |  | ---- | - |  |  | ----- | -
|                      |  | Year Ended December 31,
|                      |  |                        
|                      |  | 2002                    |       | 2001    |  | 2000    
|                      |  |                         |       |         |  |         
|                      |  |                         |       |         |  | U/W      |      |       |  |         |       |          |  |       |       | U/W     |  |          |      |   |  |  |       |   |  | U/W |       |   |  | 
|                      |  | Loss                    |       | Expense |  | Combined |      | Loss  |  | Expense |       | Combined |  | Loss  |       | Expense |  | Combined
|                      |  | Ratio                   |       | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |       | Ratio(1) |  | Ratio |       | Ratio   |  | Ratio(1)
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|                      |  | %                       |       | %       |  | %        |      | %     |  | %       |       | %        |  | %     |       | %       |  | %       
|                      |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|Liability             |  |                         | 110.0 | %       |  |          | 25.3 | %     |  |         | 135.3 | %        |  |       | 117.9 | %       |  |          | 33.5 | % |  |  | 151.4 | % |  |     | 101.8 | % |  |  | 28.3 | % |  |  | 130.1 | %
|Property              |  |                         | 53.5  |         |  |          | 27.4 |       |  |         | 80.9  |          |  |       | 77.2  |         |  |          | 25.6 |   |  |  | 102.8 |   |  |     | 68.9  |   |  |  | 29.9 |   |  |  | 98.8  |  
|Motor                 |  |                         | 88.6  |         |  |          | 29.8 |       |  |         | 118.4 |          |  |       | 93.5  |         |  |          | 22.5 |   |  |  | 116.0 |   |  |     | 92.4  |   |  |  | 16.0 |   |  |  | 108.4 |  
|Credit & Surety       |  |                         | 64.0  |         |  |          | 18.1 |       |  |         | 82.1  |          |  |       | 202.0 |         |  |          | 45.3 |   |  |  | 247.3 |   |  |     | 47.8  |   |  |  | 40.3 |   |  |  | 88.1  |  
|Workers
Compensation |  |                         | 76.9  |         |  |          | 24.0 |       |  |         | 100.9 |          |  |       | 67.0  |         |  |          | 27.7 |   |  |  | 94.7  |   |  |     | 91.0  |   |  |  | 24.6 |   |  |  | 115.6 |  
|Accident & Health     |  |                         | 69.2  |         |  |          | 22.6 |       |  |         | 91.8  |          |  |       | 85.4  |         |  |          | 22.1 |   |  |  | 107.5 |   |  |     | 80.1  |   |  |  | 20.0 |   |  |  | 100.1 |  
|Marine                |  |                         | 61.8  |         |  |          | 26.8 |       |  |         | 88.6  |          |  |       | 97.6  |         |  |          | 28.1 |   |  |  | 125.7 |   |  |     | 72.9  |   |  |  | 22.9 |   |  |  | 95.9  |  
|Specialized & Other   |  |                         | 75.2  |         |  |          | 16.9 |       |  |         | 92.1  |          |  |       | 95.3  |         |  |          | 35.4 |   |  |  | 130.7 |   |  |     | 62.9  |   |  |  | 26.0 |   |  |  | 88.9  |  
|Proportional          |  |                         | 71.8  |         |  |          | 32.1 |       |  |         | 103.9 |          |  |       | 89.2  |         |  |          | 35.8 |   |  |  | 125.0 |   |  |     | 82.6  |   |  |  | 34.6 |   |  |  | 117.2 |  
|Non-Proportional      |  |                         | 108.6 |         |  |          | 21.7 |       |  |         | 130.3 |          |  |       | 123.7 |         |  |          | 22.3 |   |  |  | 146.0 |   |  |     | 98.8  |   |  |  | 22.3 |   |  |  | 121.2 |  
|Structured/Finite     |  |                         | 68.7  |         |  |          | 21.9 |       |  |         | 90.6  |          |  |       | 69.7  |         |  |          | 24.6 |   |  |  | 94.3  |   |  |     | 83.4  |   |  |  | 10.3 |   |  |  | 93.7  |  



---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

For an explanation of ratio calculations, please refer to the Schedule of
Segment Data on page F-7 of the financial statements.

In 2002, approximately 29.7% of Converium North Americas net premiums
were written on a proportional basis, 39.0% were written on a non-proportional
basis and 31.3% were written on a structured/finite basis. We offer facultative
services primarily on a direct basis.

A number of the products offered by Converium North America have been
experiencing rate increases. Primary insurance conditions have continued to
become more restrictive, creating opportunities for reinsurers, although we
cant assure you this will continue. For example, we have seen primary rate
increases in all liability lines with reduced reinsurance ceding commissions.

As a result of insured losses arising from the terrorist attacks on
September 11, 2001, Enron-related losses, the poor performance of equity
markets in 2002 and 2001, lower interest rates and reserve adjustments for
prior years, we expect the improved environment for pricing and terms to
continue for both insurance and reinsurance products. We expect demand for
reinsurance to

-29-



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remain strong as primary insurers buy reinsurance to protect
weakened capital positions, react to rating agency pressures and reflect
revised estimates of the frequency and severity of insured events.

At the same time, however, we expect both pricing and terms to remain more
severe in the retrocessional reinsurance market. Accordingly, this may limit
the availability of desired amounts of retrocessional reinsurance at acceptable
pricing. Moreover, the September 11th terrorist attacks, threats of further
terrorist attacks and the military initiatives and political unrest in the
Middle East have adversely affected general economic, market and
political conditions, increasing many of the risks of our business. Over
time the rating agencies could re-examine the ratings affecting our industry
generally, including us.

Some of Converium North Americas operations are conducted through
Converium Insurance (North America) Inc., which is licensed to write various
lines of primary business in 49 states and the District of Columbia. Converium
Insurance (North America) Inc.s primary insurance license helps us create
efficient transaction structures for certain business, and in particular is the
means through which we write program business. Currently, Converium Insurance
(North America) Inc. has five active programs. These programs cover various
property and liability risks, with a primary emphasis on commercial trucking.
During 2002, Converium Insurance (North America) Inc. had direct premiums of
approximately $88.0 million. In October 2001, Converium Insurance (North
America) Inc. was granted a license by the United States Department of
Agriculture to write federal crop insurance policies. We currently expect crop
insurance to become an area of growth for the primary insurance company in
2003.

Converium Cologne

Overview

Converium Cologne manages our non-life reinsurance business in Germany,
Central and Eastern Europe, Northern Europe, Austria, Northern Africa and the
Middle East. Converium Cologne is active in both the direct and broker
reinsurance markets, and writes all major lines of business. In 2002, 50.7% of
Converium Colognes gross premiums written were written through the direct
market and 49.3% were written through the broker market.

In addition, Converium Cologne has worldwide underwriting responsibility
for health reinsurance business, except in the United States, which is managed
by Converium North America. Converium Cologne offers reinsurance on a
proportional, non-proportional and structured/finite basis. We believe that
Converium Cologne is widely accepted as a full-service provider in its markets,
with a principal focus on property, motor, liability, accident and health and
marine lines. Converium Cologne accounted for $289.8 million, or 8.7%, of our
2002 net premiums written.

With respect to Converium Colognes global health reinsurance business, we
primarily target the French, Italian and Middle Eastern markets. We are seeking
to grow our health reinsurance business opportunistically and cautiously. Our
experienced underwriters are very selective in accepting new health business.

Converium Germanys predecessor entities date to 1872, and Converium
Germany is a well established reinsurer with long-term client relationships.

Our strategies include:



| |  |  | extending our market position and client base in Germany and Austria                                                                       
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | seeking to increase the number of treaties where we have a leading or major role as reinsurer                                              
|
| |  |  | growing our structured/finite businesses in Germany, Northern Europe and Austria                                                           
|
| |  |  | focus on opportunistic growth in Central and Eastern Europe                                                                                
|
| |  |  | further developing our personal lines business in Northern Europe                                                                          
|
| |  |  | expanding our business relations in North Africa and the Middle East
and growing our non-proportional portfolio in these developing markets

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---



##### Table of Contents





| |  |  | writing health reinsurance on an opportunistic and prudent basis
| | - |  | ----------------------------------------------------------------

The table below presents the distribution of net premiums written by our
Converium Cologne segment by line of business for the years ended December 31,
2002, 2001 and 2000.

|                      |       |   |                         |       |       |  |          |       |       |   |          |       |       |  |      |       |   |   |      |       |  |  |      |       |  
|--------------------- | ----- | - | ----------------------- | ----- | ----- |  | -------- | ----- | ----- | - | -------- | ----- | ----- |  | ---- | ----- | - | - | ---- | ----- |  |  | ---- | ----- | -
|                      |       |   | Year Ended December 31,
|                      |       |   |                        
|                      |       |   | 2002                    |       | 2001  |  | 2000    
|                      |       |   |                         |       |       |  |         
|                      |       |   | $                       |       | % of  |  | $        |       | % of  |   | $        |       | % of 
|                      |       |   | millions                |       | total |  | millions |       | total |   | millions |       | total
|                      |       |   |                         |       |       |  |          |       |       |   |          |       |      
|Liability             |       | $ | 22.0                    |       |       |  | 7.6      | %     |       | $ | 15.1     |       |       |  | 5.9  | %     |   | $ | 9.5  |       |  |  | 4.3  | %    
|Property              |       |   | 113.6                   |       |       |  | 39.2     |       |       |   | 88.8     |       |       |  | 34.4 |       |   |   | 63.7 |       |  |  | 29.1 |      
|Motor                 |       |   | 51.0                    |       |       |  | 17.6     |       |       |   | 72.4     |       |       |  | 28.1 |       |   |   | 71.6 |       |  |  | 32.8 |      
|Credit & Surety       |       |   | 1.5                     |       |       |  | 0.5      |       |       |   | (0.3     | )     |       |  | (0.1 | )     |   |   | 1.3  |       |  |  | 0.6  |      
|Workers Compensation |       |   |                        |       |       |  |         |       |       |   |         |       |       |  |     |       |   |   |     |       |  |  |     |      
|Aviation & Space      |       |   | (0.1                    | )     |       |  |         |       |       |   |         |       |       |  |     |       |   |   |     |       |  |  |     |      
|Accident & Health     |       |   | 55.1                    |       |       |  | 19.0     |       |       |   | 35.6     |       |       |  | 13.8 |       |   |   | 48.8 |       |  |  | 22.3 |      
|Marine                |       |   | 34.4                    |       |       |  | 11.9     |       |       |   | 35.3     |       |       |  | 13.7 |       |   |   | 21.6 |       |  |  | 9.9  |      
|Engineering           |       |   | 11.6                    |       |       |  | 4.0      |       |       |   | 9.6      |       |       |  | 3.7  |       |   |   | 0.1  |       |  |  |     |      
|Specialized & Other   |       |   | 0.7                     |       |       |  | 0.2      |       |       |   | 1.3      |       |       |  | 0.5  |       |   |   | 2.0  |       |  |  | 1.0  |      
|                      |       |   |                         |       |       |  |          |       |       |   |          |       |       |  |      |       |   |   |      |       |  |  |      |      
|                      | Total |   | $                       | 289.8 |       |  |          | 100.0 | %     |   | $        | 257.8 |       |  |      | 100.0 | % |   | $    | 218.6 |  |  |      | 100.0 | %
|                      |       |   |                         |       |       |  |          |       |       |   |          |       |       |  |      |       |   |   |      |       |  |  |      |      

The following table presents the loss, expense and combined ratios of our
Converium Cologne segment by line of business and type of reinsurance for the
years ended December 31, 2002, 2001 and 2000:

Loss, Expense and Combined Ratios

|                    |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |          |      |   |  |  |       |   |  |     |       |    |  |  |      |   |  |  |       |  
|------------------- |  | ----------------------- | ----- | ------- |  | -------- | ---- | ----- |  | ------- | ----- | -------- |  | ----- | ----- | ------- |  | -------- | ---- | - |  |  | ----- | - |  | --- | ----- | -- |  |  | ---- | - |  |  | ----- | -
|                    |  | Year Ended December 31,
|                    |  |                        
|                    |  | 2002                    |       | 2001    |  | 2000    
|                    |  |                         |       |         |  |         
|                    |  |                         |       |         |  | U/W      |      |       |  |         |       |          |  |       |       | U/W     |  |          |      |   |  |  |       |   |  | U/W |       |    |  | 
|                    |  | Loss                    |       | Expense |  | Combined |      | Loss  |  | Expense |       | Combined |  | Loss  |       | Expense |  | Combined
|                    |  | Ratio                   |       | Ratio   |  | Ratio(1) |      | Ratio |  | Ratio   |       | Ratio(1) |  | Ratio |       | Ratio   |  | Ratio(1)
|                    |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|                    |  | %                       |       | %       |  | %        |      | %     |  | %       |       | %        |  | %     |       | %       |  | %       
|                    |  |                         |       |         |  |          |      |       |  |         |       |          |  |       |       |         |  |         
|Liability           |  |                         | 129.9 | %       |  |          | 13.8 | %     |  |         | 143.7 | %        |  |       | 333.7 | %       |  |          | 28.5 | % |  |  | 362.2 | % |  |     | (1.6  | )% |  |  | 18.2 | % |  |  | 16.6  | %
|Property            |  |                         | 100.8 |         |  |          | 27.3 |       |  |         | 128.1 |          |  |       | 84.3  |         |  |          | 18.0 |   |  |  | 102.3 |   |  |     | 129.7 |    |  |  | 28.0 |   |  |  | 157.7 |  
|Motor               |  |                         | 102.3 |         |  |          | 21.3 |       |  |         | 123.7 |          |  |       | 88.5  |         |  |          | 18.1 |   |  |  | 106.6 |   |  |     | 95.6  |    |  |  | 26.0 |   |  |  | 121.6 |  
|Credit & Surety     |  |                         | 76.0  |         |  |          | 34.9 |       |  |         | 110.9 |          |  |       |      |         |  |          |     |   |  |  |      |   |  |     | 31.2  |    |  |  | 37.0 |   |  |  | 68.2  |  
|Accident & Health   |  |                         | 77.5  |         |  |          | 12.4 |       |  |         | 89.9  |          |  |       | 107.5 |         |  |          | 3.1  |   |  |  | 110.6 |   |  |     | 86.8  |    |  |  | 38.2 |   |  |  | 125.0 |  
|Marine              |  |                         | 88.1  |         |  |          | 28.1 |       |  |         | 116.2 |          |  |       | 139.7 |         |  |          | 22.4 |   |  |  | 162.1 |   |  |     | 137.2 |    |  |  | 27.7 |   |  |  | 164.9 |  
|Engineering         |  |                         | 90.3  |         |  |          | 29.3 |       |  |         | 119.6 |          |  |       | 95.5  |         |  |          | 31.6 |   |  |  | 127.1 |   |  |     |      |    |  |  |     |   |  |  |      |  
|Specialized & Other |  |                         |      |         |  |          |     |       |  |         |      |          |  |       | 85.2  |         |  |          | 22.0 |   |  |  | 107.2 |   |  |     | 61.6  |    |  |  | 72.9 |   |  |  | 134.5 |  
|Proportional        |  |                         | 85.9  |         |  |          | 27.2 |       |  |         | 113.1 |          |  |       | 92.5  |         |  |          | 22.0 |   |  |  | 114.5 |   |  |     | 102.4 |    |  |  | 35.6 |   |  |  | 138.0 |  
|Non-Proportional    |  |                         | 141.6 |         |  |          | 5.3  |       |  |         | 146.9 |          |  |       | 195.8 |         |  |          | (5.3 | ) |  |  | 190.5 |   |  |     | 95.9  |    |  |  | 7.5  |   |  |  | 103.4 |  



---

|(1) |  | The combined ratios presented in this table exclude administration
expenses.
|--- |  | ----------------------------------------------------------------------------

For an explanation of ratio calculations, please refer to the Schedule of
Segment Data on page F-7 of the financial statements.

In 2002, approximately 79.9% of Converium Colognes non-life premiums were
written on a proportional basis and 20.1% were written on a non-proportional
basis.

The Cologne business unit has specialists in underwriting, actuarial,
accounting, finance, claims handling and catastrophe risk modeling as well as
other professional skills. Our Cologne non-life specialists work in close
cooperation with each other and with other professionals across our life
segment in Cologne and our non-life segments in New York and Zurich on mutual
benefit.

Converium Cologne has historically written its business primarily on a
proportional basis. We see some of our markets like Northern Europe
experiencing a shift from proportional to non-proportional reinsurance
arrangements. We believe our intimate knowledge of our clients, together with
our actuarial expertise, helps us to support our clients and to benefit from
structural changes in the markets.

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---



##### Table of Contents



Markets

Following a soft market in 1998 and 1999, improved pricing conditions in
our markets have resulted in slightly increased prices in 2000 and more
substantial increases in 2001 and 2002 in most of our major lines of business.
Our principal markets are:

Germany.Germany is the largest market served by our Converium Cologne
segment, representing approximately 34.9 % of the segments net premiums
written in 2002. The German market is the largest in Continental Europe and it
predominantly relies on direct distribution, rather than brokers. Personal
customer relationships are of essential importance in Germany, which we believe
gives us opportunities to benefit from our strong industry relationships.

Although reinsurance in Germany is largely written on a proportional
basis, we have recently observed a shift among clients towards a greater
interest in non-proportional and alternative reinsurance. We believe we have a
substantial opportunity to grow our business in Germany in traditional lines of
business. The demand for non-traditional financial risk products will grow in
anticipation of the intended adoption of International Accounting Standards, or
IAS, by the European Union, currently proposed to take effect in 2005. In
addition, we believe that the German market will provide opportunities for
independent reinsurance companies of our size as clients look for strong
independent alternatives to the largest reinsurers.

Central and Eastern Europe.Converium Cologne is an active provider of
non-life reinsurance in Central and Eastern European markets, which include
Russia, the Baltic States, the Czech Republic, Poland, Slovakia, Croatia,
Bulgaria and Romania. Our largest markets in this region are Poland and the
Czech Republic. We focus on traditional coverages such as property, motor and
marine which are generally sought on a proportional basis. London-based reinsurance
brokers constitute our principal distribution source.

Northern Europe.The Northern European markets are generally sophisticated
and competitive markets. We offer a full range of traditional non-life products
including property, marine and motor. Because of the intense competition and
resulting low profitability in traditional proportional reinsurance in Northern
Europe, we plan to increase our focus on non-proportional and structured/finite
business in these markets.

We anticipate that the improving level of price discipline will lead to
higher profitability in the future.

Austria.We have a solid position in the Austrian market, where we
primarily write property, motor and liability insurance. In Austria, four major
groups of insurers with a combined market share of nearly 50% dominate the
market. Each of these insurers is a client of ours. Three of these insurers
have affiliates in Central and Eastern European countries such as Poland, the
Czech Republic, Slovakia, Hungary and Croatia.

This market is of significant strategic importance to us. We believe our
relationships with these clients will facilitate our planned expansion into
Central and Eastern Europe.

Northern Africa/Middle East.We provide a broad variety of coverages in
Northern Africa and the Middle East, principally acting as a lead underwriter.
Our principal markets in the Middle East include Saudi Arabia, the United Arab
Emirates and Kuwait. The products we offer in these markets include property,
motor, marine and general accident. Reinsurance in Northern African and Middle
Eastern markets is typically written on a proportional treaty basis. Our
aggregate net premiums written in these markets have grown from $37.7 million
in 1998 to $70.5 million in 2002.

As of January 1, 2002, the primary responsibility for the markets Greece,
Turkey, Cyprus and Malta was transferred from Converium Zurich office to
Converium Cologne. The business written in these markets have increased to
$14.8 million in 2002.

Converium Life Operations

We offer life reinsurance on a global scale. We primarily conduct our life
reinsurance business from Cologne, Germany. In September 1999, we implemented a
strategy to substantially grow our Converium Life reinsurance business. Prior
to this time, we only offered life reinsurance in the Middle East and
retrocession coverage in the United States. In addition, we have established
branches in Milan and Paris, and maintain life representatives in our Buenos
Aires office to locally serve the Latin American markets. We also utilize our
Non-Life offices in many parts of the world to facilitate direct contacts with
our life reinsurance clients.

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---



##### Table of Contents



As a result of these initiatives, our Converium Life operations have grown
significantly in recent years, with our net premiums written increasing from
$62.6 million in 1998 to $168.0 million in 2002. As a result of the economic
situation in Latin America, our life reinsurance operations growth slowed in
2002.

Our primary goal is to write life business that generates an attractive
expected return. Our strategy for Converium Life focuses on:



| |  |  | maintaining underwriting discipline and pursuing business that is
attractive on a risk-adjusted basis                                      
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | pursuing growth in markets we believe offer attractive opportunities,
such as Germany, the United States, Italy, France and the Middle East
|
| |  |  | maintaining a low expense ratio                                                                                                            
|
| |  |  | selectively providing services in certain target markets to build loyalty and attract premiums                                             
|
| |  |  | providing structured/finite solutions                                                                                                      
|
| |  |  | leveraging our capital markets expertise which, among other things, provides us with additional capacity to write business                 

We are seeking to grow our Converium Life operations significantly and
believe that life reinsurance will represent an increasing percentage of our
business. Although we do not intend to compromise our underwriting standards,
we plan to seek prudent but rapid growth of our life reinsurance business. We
are focusing on the life reinsurance business because, among other reasons, we
believe that the market for life reinsurance is growing. In addition, life
reinsurance business tends to be less cyclical than non-life reinsurance due to
more predictable claims experience.

We believe that the demand from life insurers for financial support and
reinsurance services will continue to increase, particularly in Europe. In
order to meet this demand, we have established a refinancing strategic
retrocession facility that provides our clients with additional capacity
derived from the capital markets, while minimizing the insurance risk assumed
by the investment bank effecting the issuance of the securitized risk product.
We believe our capital markets and other non-traditional expertise will help us
bring additional innovative solutions to our clients and further enhance the
market position of our Converium Life operations.

In addition to the growth in our life insurance markets described above,
we believe that the following factors will also contribute to increased demand
for life reinsurance:



| |  |  | demutualizations of life insurance companies                                                                                                                                   
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the increasing importance of non-traditional and more sophisticated life products                                                                                              
|
| |  |  | aging of the population                                                                                                                                                        
|
| |  |  | privatization of benefits that used to be provided by governments                                                                                                              
|
| |  |  | deregulation and increased competition among primary insurance
companies from new entrants, such as banks and other financial services
companies                               
|
| |  |  | the increasing need for products that reduce the volatility of
earnings following the increasing adoption of international accounting
standards in many of the markets we serve

Our Converium Life business is comprised of the following principal lines:

Ordinary life reinsurance.Ordinary life reinsurance, our largest product,
generally involves the reinsurance of individual term life insurance policies,
whole life insurance policies, universal life insurance policies, joint and
survivor insurance policies, deferred annuity policies and endowment policies.
Our ordinary life line of business reinsures all of these products. Ordinary
life reinsurance is written either on a risk premium or modified co-insurance
basis.

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---



##### Table of Contents



Substantially all of our policy revenues with respect to ordinary life
reinsurance are written on an automatic treaty basis. Ordinary life reinsurance
is written on a facultative basis only in limited circumstances, generally for
primary insurers with whom we have automatic treaty reinsurance business. More
than 99% of our ordinary life reinsurance business is written on a quota share
or surplus basis.

We generally require ceding life insurance companies to retain at least
10% of every risk, whether the business is written on a surplus or quota share
basis. We generally seek to limit our own net liability on any one ordinary
life risk to $0.75 million. The majority of the ordinary life reinsurance
agreements remain in force for the life of the underlying policies reinsured.
We are generally entitled to renewal policy revenues absent the death of the
insured, voluntary surrender or lapse of the policy due to non-payment of
premium. In some cases, the ceding company has the right to recapture the
business after a designated period of time.

Group life reinsurance.Group life reinsurance is the reinsurance of
various types of group life policies. Employee-employer group term life cover
represents the majority of such business. Group life reinsurance generally is
written on an annual basis resulting in the terms of such contracts being
subject to renegotiation or cancellation each year.

Disability.Converium Life operations provide reinsurance for disability
coverage, which provides payments or annuities in case of permanent, total or
partial disability. Disability coverage is generally included within a life
insurance contract. Coverage can be defined as disability due to own occupation
or due to any occupation.

Critical illness.Critical illness or dread disease insurance is coverage
to provide lump sum payments in case of certain life threatening diseases. The
four main diseases are heart attack, stroke, coronary artery bypass surgery and
cancer. In the last years, critical illness policies have developed very
rapidly in many insurance markets to include a wide range of additional
diseases. Policies can be sold on a stand-alone basis, as accelerated benefit
or as additional rider to a life insurance contract.

Long-term care.A long-term care insurance benefit is paid when an insured
is not able to perform certain activities of daily living (ADLs), such as
washing, feeding, dressing, toileting, transferring and mobility. The annuity
is paid when the insured fails a defined number of ADLs.

Risk premium reinsurance.We provide risk premium reinsurance, which
generally refers to a proportional participation in life insurance policies.

Modified co-insurance.We provide modified co-insurance, which generally
takes the form of a proportional reinsurance structure to finance our clients
initial acquisition costs, such as agent and broker commissions.

We have developed a team of highly skilled, experienced life underwriters,
many of whom are actuaries or mathematicians. In addition, we utilize a profit
testing system, which helps us to determine appropriate pricing.

In addition to our reinsurance products, we offer valuable services in
select target markets to our life insurance clients. These services include:



| |  |  | product design and pricing                                                        
| | - |  | ----------------------------------------------------------------------------------
|
| |  |  | medical underwriting                                                              
|
| |  |  | claims settlement                                                                 
|
| |  |  | risk strategy and other consulting services                                       
|
| |  |  | providing surplus relief, which we believe is a core concern of some life insurers

The principal markets served and targeted by our Converium Life segment
are:

United States.In the U.S. life reinsurance market, we are an active
provider of retrocessional coverages. We focus on the life retrocessional
market in the United States because we believe we can obtain more predictable
results than available in the U.S. primary life reinsurance market because this
business tends to be written in larger blocks which results in greater
diversification of risk

- 34 -



---



##### Table of Contents



and because it can be written by a relatively small
staff at lower costs. We also provide group life and structured/finite
reinsurance in the United States.

Germany.Germany is one of our core markets. Our principal products in
Germany include risk premium reinsurance and modified co-insurance. In
addition, we are participating in new products in Germany, including
unit-linked policies and disability covers. We expect the German life insurance
industry to grow rapidly over the next few years due to, among other things,
cuts in benefits from state pensions under recent changes in German pension
law. We believe these developments will result in increased demand for modified
co-insurance as private companies seek to offer new products to cover risks
previously covered by government pensions. In addition, as with our German
non-life business, we believe a sizeable opportunity exists in Germany for new
structured/finite life reinsurance business as a result of the forthcoming
transition to IAS accounting standards.

Italy.Our principal products in Italy include risk premium reinsurance,
group life, accident and modified co-insurance. Since January 2002, we have
operated a branch office in Milan with a team of five people, after having
received a license from the Italian Insurance Supervisory Authority (ISVAP).
Due to the solid position in the Italian market, we believe we will benefit
from the expected growth at attractive rates for this market over the next
several years.

France.Our principal products offered by our branch in Paris include
group life and modified co-insurance. We are seeking to write flexibly and be
highly responsive to client needs in order to build our relationships in this
large market.

Latin America.Our life reinsurance operations have expanded significantly
in Latin America in the last several years. Our net premiums written had grown
substantially through 2001 due to the efforts of our representative office in
Buenos Aires, but as a result of the poor economic situation in Latin America,
our growth slowed in 2002. Our principal products in the region include pension
fund and group life reinsurance, largely written on a proportional basis. We
anticipate new opportunities to accelerate the growth of our portfolio in the
region as a result of the planned liberalization of the Brazilian reinsurance
market, as well as the expected transfer of government sponsored retirement
plans to the private insurance sector, although the time when these changes
will be effective is not presently known.

Middle East.Our principal line of business in the Middle East consists of
group life reinsurance, largely written on a proportional basis. We expect that
increasing awareness of life insurance in this region will accelerate the
growth of personal insurance and our life reinsurance portfolio in this market.

Competition

The reinsurance business is competitive and, except for regulatory
considerations, there are relatively few barriers to entry. We compete with
other reinsurers based on many factors, primarily:



| |  |  | expertise, reputation, experience and qualifications of employees
| | - |  | -----------------------------------------------------------------
|
| |  |  | local presence                                                   
|
| |  |  | client relationships                                             
|
| |  |  | products and services offered                                    
|
| |  |  | premium levels                                                   
|
| |  |  | financial strength                                               
|
| |  |  | contract terms and conditions                                    

As a direct writer of reinsurance, we compete with a number of major
direct marketers of reinsurance both in local markets and internationally. We
also compete with a number of major reinsurers who write business through
reinsurance brokers, and with Lloyds of London. We believe that our largest
competitors, both locally and internationally, are:

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| |  |  | Munich Reinsurance Company                                                                                        
| | - |  | ------------------------------------------------------------------------------------------------------------------
|
| |  |  | Swiss Reinsurance Company                                                                                         
|
| |  |  | General Cologne Reinsurance Company, a subsidiary of Berkshire Hathaway, Inc.                                     
|
| |  |  | Employers Reinsurance Corporation, a subsidiary of General Electric Company                                       
|
| |  |  | Hannover Re Group, which is 75% owned by the mutual insurance group
HDI Haftpflichtverband der Deutschen Industrie
|
| |  |  | ING Re                                                                                                            
|
| |  |  | Transamerica Reinsurance                                                                                          
|
| |  |  | Reinsurance Group of America, Incorporated  RGA                                                                  
|
| |  |  | SCOR                                                                                                              

Non-Life Underwriting, Pricing/Structuring and Accumulation Control

We regard underwriting and pricing as a core skill. Underwriting is the
process by which we identify desirable clients and lines of business, cultivate
profitable opportunities, and assess and manage our exposure, claims settlement
and reserving risk for any particular exposure. In our view, underwriting
requires a deep understanding of the client, their business and the market in
which the client operates. In evaluating business opportunities, we rely
heavily on a collaborative underwriting process that emphasizes communication
and information sharing among our underwriting, actuarial/modeling, claims,
legal and finance personnel. Our underwriters bring together all of those
disciplines to properly understand, assess, price and execute policies in a
manner appropriate to the nature of the risk.

Our underwriters coordinate globally to access our centers of expertise
and balance sheet capabilities to optimize solutions for our clients business
needs. We have underwriting specialists throughout our worldwide organization,
covering a wide range of disciplines that help us assess our global risk
exposures. In an effort to better serve our reinsurance clients, we integrate
our underwriters and actuaries in client management teams. Specifically, we
have developed, on a global basis, significant internal actuarial expertise,
which we deploy to assess our non-life pricing and reserve adequacy and to
develop associated capital attribution formula and risk models. Additionally,
our underwriting process draws upon our multidisciplinary specialists, many of
whom have advanced academic degrees, and who include engineers, meteorologists,
environmental scientists, economists, geologists, seismologists and
mathematicians. These actuaries and other specialists are based around the
world and work together to ensure and facilitate the application of best
practices and the consideration of the most recent scientific developments.
Moreover, we actively utilize and develop risk models and other sophisticated
tools, many of which are proprietary.

In developing underwriting guidelines, we assess market conditions,
quality of risks, past experience, and expectations about future exposure.
Where appropriate, we seek to limit our capacity on a per claim, per event and
per year basis, and employ aggregate annual limits and index clauses, which
reset retention in the event of claims inflation. The overall objective of
these procedures is to achieve an appropriate expected return on equity while
safeguarding our solvency and creditworthiness. In particular, we seek to
maintain a sufficient level of overall capital to retain a strong claims-paying
rating under normal circumstances and a strong investment grade rating in the
event of a significant loss.

During the underwriting process, we carefully seek to ensure that we
employ coherent and consistent structures, pricing and wording such that all of
our contracts and commitments are in line with our underwriting guidelines.
Compliance with these rules is regularly reviewed by our senior management,
which may effect adjustments as deemed appropriate. For non-standard
transactions, our legal staff is involved both in transaction structuring and
contract wording throughout the process.

Additionally, during the underwriting process, we assess and seek to
control the amount and concentration of risk underwritten for various areas by
analyzing aggregates and accumulation by region, peril or line of business,
such as property

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catastrophe, aviation, marine, agribusiness and credit and
surety. We normally use proprietary as well as commercially available tools to
monitor our accumulations and relate them to our overall risk appetite.
Aggregates are revised regularly and adapted in line with our current strategy
and risk-bearing willingness and ability, and transformed into rules and
parameters for underwriting decisions.

In pricing business, we analyze various aspects of a prospective non-life
reinsureds business including, but not limited to, historical and projected
loss and exposure data, future loss costs, financial stability and history,
classes and nature of underlying business and policy forms, underwriting and
claims guidelines, aggregation of loss potential (between contracts), the
correlation of risk factors relevant to the proposed policy with those relevant
to the rest of our portfolio, existing reinsurance programs (including
potential uncollectible reinsurance) and the quality and experience of
management.

Our core pricing approach is to estimate the underlying frequency and
severity of distributions so that we can develop an aggregate probability
distribution of ultimate loss. In order to understand the cash flows, we
estimate premium collection and loss payout patterns. Taking into account the
transaction structure, we then create an aggregate probability distribution of
the profit function of the contract after reflection of investment income
generated by the cash flows as well as all expenses and taxes. From this, we
estimate the expected net present value of the profit expectation of the
contract as well as the risk capital required by the contract. The risk capital
is a function of the potential for loss from the contract, the duration of the
liabilities and the correlation of the risk factors with the remainder of our
book of business. The contracts expected net present value is compared to its
risk based capital to determine its profitability level. We also consider other
items such as client and line of business desirability and associated business
opportunities. We develop or enhance additional tools to assess non-traditional
contracts where necessary or appropriate. For specialized lines, such as
aviation, agribusiness and credit and surety, we have developed and continue to
enhance pricing models that specify a particular pricing based on a number of
risk factors including, for instance, financial risks such as interest rate
volatility and stock or commodity market returns. Our comprehensive approach to
risk modeling, and our integration of analytical expertise in client focused
teams, allows us to quantify the potential balance sheet impact of these
measurable risks.

Our models give us the capability to easily and quickly analyze a contract
under numerous structures. This in turn allows us to be creative, innovative
and responsive in seeking to create a structure that satisfies our profit goals
and risk appetite while simultaneously satisfying our clients objectives. Due
to our strong modeling expertise and development of very fast algorithms and
simulations, we are able to price different structures very promptly. We are
able to access our pricing system and database online and from anywhere around
the world via telecommunication. For example, we can at any time price a
particular transaction on site during a client visit in any region using all
relevant information stored on our primary systems in Zurich, provide the
client with a prompt quote and upon binding enter the new treaty into our
system.

In order to fully realize the value of this ability, we seek to gain a
deep and thorough understanding of the subject business being covered. For most
of our business, including all large and complex contracts, actuaries and other
technical experts are part of the transaction team. They visit the client,
build the models, and jointly with the underwriters price and structure the
transaction. For the remainder of our business, internal actuaries or other
experts including engineers, meteorologists, environmental scientists,
economists, geologists, seismologists and mathematicians provide the analytic
tools for the underwriters use.

In order to provide maximum feedback to our underwriting teams we have
developed management information systems that track the profitability of each
contract from the time it is written until the last dollar is paid. We compare
ultimate loss ratios with our original expectations. This
information then populates our data base. We then have the ability to extract
information from our database and analyze the relationships between historic
profitability and such variables as size of contract, production source,
structure of transaction and size of client.

With respect to the health-related products offered by our Non-Life
business, we seek to underwrite very prudently, as profit margins can be eroded
in many jurisdictions by the rapid inflation of medical costs and risks in the
behavior of policyholders. In addition, these products are often characterized
by low retentions and high reinsurance commissions paid to the ceding company,
which reduce the profitability of the reinsurer. Additionally, we focus on
minimizing expenses from the health reinsurance we underwrite.

Non-Life Claims Management

Individual claims reported to our Non-Life operating units are initially
monitored and managed by the claims departments at each unit. At this level,
claims administration includes reviewing initial loss reports, monitoring
claims handling activities of clients, requesting additional information where
appropriate, establishing initial case reserves and approving payment of
individual claims. Authority for payment and establishing reserves is always
established in levels, depending upon rank and experience in the company.

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In addition to managing reported claims and conferring with ceding
companies on claims matters, our claims departments conduct periodic audits of
specific claims and the overall claims procedures of our clients at the offices
of ceding companies. We rely on our ability to effectively monitor the claims
handling and claims reserving practices of ceding companies in order to
establish the proper reinsurance premium for reinsurance agreements and to
establish proper loss reserves. Moreover, prior to accepting certain risks, our
claims departments are often requested by underwriters to conduct
pre-underwriting claims audits of prospective ceding companies. We attempt to
evaluate the ceding companys claims-handling practices, including the
organization of their claims department, their fact-finding and investigation
techniques, their loss notifications, the adequacy of their reserves, their
negotiation and settlement practices and their adherence to claims-handling
guidelines. Following these audits, the claims departments provide feedback to
the ceding company, including an assessment of the claims operation and, if
appropriate, recommendations regarding procedures, processing and personnel.

Our three units work together to coordinate global issues in a cooperative
effort involving claims services, actuarial, risk modeling and underwriting
functions. For example, our Claims Services personnel help coordinate the
establishment of proper reserving and risk assessment functions across our
global organization.

Generally, our claims department seeks to maintain a payment turnaround
time of two days on undisputed claims. In addition, the claims department
provides other value-added services to customers, e.g., assessment,
consultation, hosting professional
seminars, issuing publications, including surveys on topics of interest, as
well as maintaining a claims-related website.

Our North American unit has developed Converium Claim, a website which
facilitates our North American claims management functions. Through Converium
Claim, our clients have convenient and secure access to our claims payment
database to inquire about the status of payments due on proof of loss claims.

Converium Life Underwriting and Claims

We have developed underwriting guidelines, policies and procedures with
the objective of controlling the quality and pricing of the life reinsurance
business we write. Our life reinsurance underwriting process emphasizes close
collaboration among our underwriting, actuarial, administration and claims
departments. We determine whether to write reinsurance business by considering
many factors, including the type of risks to be covered, ceding company
retention and binding authority, product and pricing assumptions and the ceding
companys underwriting standards, financial strength and distribution systems.

We believe that one of our strengths is our expertise in medical
underwriting. We seek to work closely with our clients and, as a value-added
service, share this expertise in order to build client loyalty and better
understand their risks. Additionally, we maintain a website for the German
market that provides information on medical underwriting-related topics which
may be accessed and utilized by our ceding companies.

We generally do not assume 100% of a life reinsurance risk and require the
ceding company to retain at least 10% of every reinsured risk. We regularly
update our underwriting policies, procedures and standards to take into account
changing industry conditions, market developments and changes in medical
technology. We also endeavor to ensure that the underwriting standards and
procedures of our ceding client entities are compatible with ours. Toward this
end, we conduct periodic reviews of our ceding companies underwriting and
claims procedures.

Life, accident and disability claims generally are reported on an
individual basis by the ceding company. In case of large, difficult or doubtful
claims, cedents provide us with all supporting documents. We also investigate
claims generally for evidence of misrepresentation in the policy application
and approval process. In addition to reviewing and paying claims, we monitor
both specific claims and overall claims handling procedures of ceding
companies.

We monitor the loss development of our life reinsurance treaties and
compare them to our expected returns on a regular basis. In the case of
significant deviations, we may seek to negotiate alternative contract
provisions, including increased premiums or higher retentions.

For our life reinsurance business, the interaction between our actuaries
and underwriters is very close, as most of our underwriters are also
mathematicians. We use commercial as well as proprietary tools to assess the
profitability of the business. Our life underwriting seeks to ensure that our
expected stream of distributable profits will earn an adequate estimated
risk-adjusted return.

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Our analysis also includes sensitivity measures to
control the risk exposure of our global portfolio. As part of the underwriting
process, we also, on an annual basis, derive the embedded value of our life
reinsurance portfolio and its change over time, which enables us to measure the
growth and profitability of our life reinsurance business.

Catastrophe Risk Management

Natural peril and man-made catastrophe risk management is an essential
part of our overall corporate risk management plan. To help us globally measure
and monitor our exposure to natural catastrophic events, we have established a
Global Catastrophe Group comprised of senior management members with
underwriting, actuarial, risk management and other specialized expertise. This
group meets on a quarterly basis to review relevant aspects of our catastrophe
underwriting and risk management.

An integral part of our Global Catastrophe Group is our Natural Hazards
Team, located in Zurich. This specialized team provides services and support to
our underwriters and pricing actuaries in our offices around the world. Natural
Hazards Team members are integrated with our actuarial and risk modeling staff.
We believe that centralizing key catastrophe risk functions in our Natural
Hazards Team helps produce a consistent catastrophe exposure analysis across
our global operations. For example, our catastrophe risk specialists design,
maintain and support state-of-the-art risk modeling software, to which our
underwriters have direct access.

In addition, we have adopted a central monitoring system which helps us to
manage our worldwide accumulations of catastrophe risk by peril and region. In
our global analyses we focus on key zones where we face a geographic
concentration or peak exposures, such as U.S. hurricane risk. This centralized
analysis is essential for a global reinsurer such as Converium, since we may
write business for the same peril or region from more than one of our worldwide
offices. Also, we endeavor to monitor clash potential, both from lines other
than property catastrophe as well as between certain perils and regions.

A major component of our natural catastrophe risk management approach is
to employ global portfolio optimization and geographic diversification.
Utilizing careful risk selection, pricing, and modeling of portfolio additions,
we seek to diversify our exposures while optimizing available capacity and
maximizing our expected return on equity. This approach helps us to fully
capitalize on the natural catastrophe reinsurance premiums our global balance
sheet will support, while reducing the expected net impact of catastrophe
losses. We believe this strategy leaves us well positioned to write additional
business during periods of improving market conditions.

The principal goals of our natural hazard risk management procedures
include:



| |  |  | Measuring, monitoring and managing natural hazard exposures:For
measuring natural hazard exposures, we use specially developed software
and techniques. For example, we use third-party models developed by
specialized consultants to assist with catastrophe underwriting and
accumulation control. We also compare models for certain perils or
regions where our models indicate higher variability. In addition, we
have developed fully proprietary probabilistic tools to enhance the
utility of our models.                                                                                                                            
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Supporting risk mitigation measures:Our global monitoring system
helps us to measure our accumulation of individual risks by peril and
region. During renewal season, we seek to perform these functions on a
continuous basis. In addition, we conduct a combined analysis for our
worldwide portfolio at least on a quarterly basis. We believe that this
centralized, global review helps us to monitor and manage our natural
catastrophe loss potential and to take remedial action if our
accumulations reach unacceptable levels. In addition, our monitoring
system serves as the basis for structuring our own reinsurance
protection.
|
| |  |  | Assisting with optimal capacity utilization:We use return-on-equity
considerations to help us optimize expected profits from our catastrophe
portfolio and to seek to improve its performance. We do this by
dynamically adjusting capacity allocation during renewal periods as
business is written, thereby optimizing our worldwide capacity and
exploiting our diversification potential. We also review pricing levels
in several markets prior to renewal, in order to incorporate this
information in our business strategy.                                                                                                            
|
| |  |  | Supporting clients in all elements of natural hazards risk
management:The expertise developed by our catastrophe risk specialists
in understanding and managing catastrophe risk allows us to assist our
clients in assessing their own loss potential and in designing efficient
risk transfer mechanisms. Further, we utilize our expertise to influence
property catastrophe exposure reporting in the industry. For example, we
led the enhancement of the market standard for the exchange of exposure                                                                                                                                    

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| |   |  | data (CRESTA plus) between primary and reinsurance companies, thereby
assisting market participants to adopt common reporting and better
understand their natural catastrophe exposures. The new data format is
easy and flexible to use. It allows an efficient exposure and loss data
exchange between insurance and reinsurance companies. We believe that
the use of CRESTA plusimproves data quality, will enable more accurate
risk assessment, and helps save time and reduce costs.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Following post-disaster loss developments:Our catastrophe risk
specialists produce estimates of our expected losses promptly after a
catastrophe event. This rapid review helps us assess our liquidity needs
and determine whether we need to take any remedial action. In addition,
we regularly study catastrophe developments to improve our probabilistic
models.                                                                                                                     

The majority of the natural catastrophe reinsurance we write relates to
exposures within the United States, Europe and Japan. Accordingly, we are
exposed to natural catastrophic events which affect these regions, such as U.S.
hurricane, California earthquake, European windstorm and Japanese earthquake
events. Our estimated potential losses on a probable maximum loss (PML) basis, before giving
effect to our retrocessional protection, are currently managed to a
self-imposed maximum gross event limit of $400 million for a 250- year return
period loss.

We use retrocessional reinsurance protection to assist our efforts to
ensure that our risk tolerance is not exceeded on a per event or aggregate
basis. We actively seek to combine traditional reinsurance protection with
capital market solutions, in order to diversify our sources of risk bearing
capital and, in particular, to provide us with additional protection in our
higher retrocessional layers for up to approximately a 250-year event.

We have developed substantial capital markets expertise, which we can use
both to provide additional capacity to our clients and to improve our own
results and risk profile. The key business reasons for using a capital
markets-based solution rather than traditional reinsurance are as follows:



| |  |  | The lack of availability of high credit quality reinsurance
protection at competitive prices for California earthquakes, U.S.
hurricanes and European windstorms
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | The ability to achieve protection at stable prices for a multi-year period                                                                                      
|
| |  |  | To obtain better post-event liquidity relief compared to traditional retrocessionaires practices                                                               
|
| |  |  | To diversify sources of risk bearing capacity from more traditional reinsurance products                                                                        

For example, we have entered into a catastrophe agreement with ZIC based
on ZICs transaction with TRINOM Ltd. to reduce our net retained loss for large
catastrophe events that produce losses greater than what is referred to in the
industry as a once in 100 years magnitude. Perils covered by TRINOM and our
catastrophe agreement with ZIC, which we refer to as the Cat Retrocession
Agreement, include U.S. hurricane, U.S. earthquake, and European windstorm
losses that occur before June 18, 2004. See - Catastrophe
Protection.

Lastly, as respects man-made catastrophes such as acts of terrorism, we
have recently introduced a conservative monitoring and accumulation approach.
We utilize a matrix system to track for each contract the level of exclusion
(absolute or partial, sublimit or other) and its level of exposure. This allows
us to assess and estimate our current portfolio-wide terrorism aggregates by
adding contract exposure and taking into account its level of exclusion. While
our methodology is being further developed and refined, it enables a
conservative monitoring of our current exposure.

Retrocessional Reinsurance

We purchase retrocessional reinsurance to better manage risk exposures,
protect against catastrophic losses, access additional underwriting capacity
and to stabilize financial ratios. The insurance or indemnification of
reinsurance is called a retrocession, and a reinsurer of a reinsurer is called
a retrocessionaire. We aggregate our ceded risk across our operations to
achieve superior terms and pricing for our retrocessional coverage and to help
us better assess our overall portfolio risk. Additionally, we incorporate the
use of retrocessional coverage as a component of our underwriting process.

The major types of retrocessional coverage we purchase include the
following:

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| |  |  | specific coverage for certain property, engineering, marine, aviation, satellite, motor and liability exposures                                                                                   
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | catastrophe coverage for property business                                                                                                                                                        
|
| |  |  | casualty clash coverage for potential accumulation of liability from
treaties and facultative agreements covering losses arising from the
same event or occurrence aggregate stop loss protections

Effective in 2000, we established a control procedure whereby our Group
Chief Executive Officer, along with the other members of our senior executive
team, reviews the business purpose for all reinsurance purchases. Our senior
executive team, generally our Group Chief Executive Officer, approves all
purchases before they are bound.

Prior to entering into a retrocessional agreement, we analyze the
financial strength and rating of each retrocessionaire. Afterwards, the
financial performance and rating status of all material retrocessionaires is
monitored.

Retrocessional
reinsurance arrangements generally do not relieve us from our direct
obligations to our reinsureds. Thus, a credit exposure
exists with respect to reinsurance ceded to the extent that any
retrocessionaire is unable or unwilling to meet the obligations assumed under
the retrocessional agreements. At December 31, 2002, Converium Group holds
$687.8 million in collateral as security under related retrocessional
agreements in the form of funds held, securities and/or letters of credit.
Converium Group is able to access outside capacity for both traditional and
non-traditional coverage and therefore is not dependent upon any single
retrocessional market.

In the event our retrocessionaires are not able to fulfill their
obligations under our reinsurance agreements with them, Converium will not be
able to realize the full value of the reinsurance recoverable balance. We
record a reserve to the extent that reinsurance recoverables are believed to be
uncollectible. The reserve is based on an evaluation of each retrocessionaires
individual balances and an estimation of their uncollectible balances.
Allowances of $17.4 million and $9.6 million have recorded for estimated
uncollectible receivables and reinsurance recoverables at December 31, 2002 and
2001, respectively.

The following table sets forth Converiums ten largest retrocessionaires
as of December 31, 2002, by ceded premiums written, and their respective A.M.
Best or Standard & Poors claims-paying ability rating.

|                                                                                                |  |                                 |  |               |       |            |  |         |       |               |  |        
|----------------------------------------------------------------------------------------------- |  | ------------------------------- |  | ------------- | ----- | ---------- |  | ------- | ----- | ------------- |  | -------
|                                                                                                |  |                                 |  | Amount ceded  |       |            |  |         |       | S&P/A.M. Best
|Retrocessionaire                                                                                |  | Retrocessionaire Group          |  | in $ millions |       | % of total |  | Rating*
|                                                                                                |  |                                 |  |               |       |            |  |        
|AIOI General                                                                                    |  | AIOI Insurance Company Limited  |  | $             | 37.5  |            |  |         | 17.5  | %             |  | A      
|Inter-Ocean Reinsurance Co. Ltd                                                                 |  | Inter-Ocean Holdings            |  |               | 30.5  |            |  |         | 14.3  |               |  | A/A    
|Folksamerica Reinsurance                                                                        |  | White Mountains Insurance Group |  |               | 16.9  |            |  |         | 7.9   |               |  | A-/A-  
|Interpolis Reinsurance
Services Ltd                                                             |  | Rabobank                        |  |               | 16.0  |            |  |         | 7.5   |               |  | AA pi  
|Zurich Financial Services                                                                       |  | Zurich Financial Services       |  |               | 16.0  |            |  |         | 7.5   |               |  | A+/A   
|TransAm Assurance Company                                                                       |  | Trans World Assurance Group     |  |               | 16.0  |            |  |         | 7.5   |               |  | B+     
|Trinom Ltd.                                                                                     |  | Trinom Ltd.                     |  |               | 9.4   |            |  |         | 4.5   |               |  | NR     
|AXA Corp. Solutions                                                                             |  | AXA                             |  |               | 7.5   |            |  |         | 3.5   |               |  | AA-/A  
|Taisei Fire & Marine                                                                            |  | Sompo Japan
Insurance           |  |               | 5.9   |            |  |         | 2.8   |               |  | NR     
|Nissan Fire & Marine                                                                            |  | Mizuho Group                    |  |               | 5.9   |            |  |         | 2.8   |               |  | A+/NR-5
|                                                                                                |  |                                 |  |               |       |            |  |         |       |               |  |        
|Total provided by top ten
retrocessionaries, and
percentage of total
retrocessional reinsurance |  |                                 |  | $             | 161.6 |            |  |         | 75.7  | %             |  |        
|                                                                                                |  |                                 |  |               |       |            |  |         |       |               |  |        
|Total retrocessional reinsurance                                                                |  |                                 |  | $             | 213.6 |            |  |         | 100.0 | %             |  |        
|                                                                                                |  |                                 |  |               |       |            |  |         |       |               |  |        

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As a
consequence of the Formation Transactions, Converium AG has
assumed both the benefits and the financial risks relating to third-party
reinsurance recoverables under the Quota Share Retrocession Agreement. We
manage all third-party retrocessions related to the business reinsured by
Converium Zurich. ZIC and ZIB are obligated under the Quota Share Retrocession
Agreement, during its term, to maintain in force, renew or purchase third-party
retrocessions covering the reinsurance covered by the Quota Share Retrocession
Agreement at the sole discretion of Converium.

In addition, Zurich Financial Services, through its subsidiaries, provided
us with a degree of retrocessional reinsurance coverage following the Formation
Transactions. In particular, Zurich Financial Services, through its
subsidiaries, has agreed to provide us with coverage relating to potential
losses arising out of the Unicover Occupational Accident Reinsurance Pool
involving Amerisafe and to arrangements that cap our net exposure for losses
and loss adjustment expenses arising out of the September 11th terrorist
attacks at $289.2 million, the amount of loss and loss adjustment expenses we
recorded as of September 30, 2001. As part of these arrangements, subsidiaries
of Zurich Financial Services have agreed to take responsibility for non-payment
by the retrocessionaires of Converium Zurich and Converium Cologne with regard to
losses arising out of the September 11th attacks in excess of the $289.2
million cap. While the cap does not cover non-payment by the retrocessionaires
of Converium North America, our only retrocessionaire for this business is a
unit of Zurich Financial Services. Therefore, we are not exposed to potential
non-payments by retrocessionaires for these events in excess of the $289.2
million cap, although we will be exposed to the risk of non-payment of Zurich
Financial Services units and we will be exposed to credit risk from these
subsidiaries of Zurich Financial Services.

Catastrophe Protection

As of December 31, 2002, Converium has entered into agreements for
coverage of losses related to certain catastrophic loss events. These
agreements include both traditional reinsurance as well as a catastrophe
agreement described more fully below. The traditional reinsurance agreements
cover losses from an event in excess of $100.0 million for U.S. events and in
excess of $50 million for worldwide events, excluding the United States.

In June 2001, ZIC entered into a transaction with Trinom Ltd., a Bermuda
company that ultimately provides ZIC with specific high-limit catastrophe
protection. Trinom is a special purpose entity (SPE) established by ZIC in
Bermuda, and which issued all of its common shares to a Bermuda trust. Trinoms
business consists solely of issuing three-year catastrophe securities to
third-party qualified investors in the form of preference shares and two
classes of notes. Simultaneous with the offering of these securities, Trinom
entered into a counterparty contract with ZIC whereby Trinom will make payments
to ZIC from its funds to cover defined catastrophic losses in the United States
and Europe. ZIC is required to make payments to Trinom based on the balance of
Trinoms funds and the magnitude of its losses. The owners of the securities
are entitled to receive their original investment, plus interest on the notes
or dividends on the preference shares, both paid quarterly, less any loss
payments made to ZIC.

Additionally, as part of the Transactions, ZIC and Converium AG have
entered into a catastrophe derivative agreement (the Catastrophe Agreement)
in the form of a purchased option whereby Converium AG receives protection from
ZIC under terms similar to ZICs protection under the Trinom transaction.
Converium AG will pay ZIC amounts at least equal to the payments made by ZIC to
Trinom. Similarly, Converium AG is entitled to receive payments from ZIC that
are similar to those that ZIC is entitled to receive from Trinom. However,
there is no contractual relationship between Converium AG and Trinom as only
ZIC is the legal counterparty to the Trinom transaction. This Catastrophe
Agreement is effective as of June 18, 2001, and will remain in effect for the
same period as ZICs agreement with Trinom, including any extension thereto.

The coverage ZIC and ultimately Converium AG have obtained from the Trinom
transaction and the related Catastrophe Agreement is expected to reduce
Converium AGs net retained loss for large catastrophe events that produce
insured losses greater than what is referred to in the industry as once in 100
years magnitude. Perils covered by the Trinom transaction and the Catastrophe
Agreement include only US hurricane, US earthquake, and European windstorm
losses that occur before June 18, 2004. Payments from Trinom to ZIC, and
similarly from ZIC to Converium AG, are based on modeled reinsurance losses for
ZIC and ultimately Converium AGs exposures at the time of the Trinom
transaction.

In a modeled loss contract, the covered partys aggregate exposure to each
geographical region and type of catastrophe, by line of business, is compared
to industry-wide data in order to produce the covered partys market share of
particular loss events by line of business using commercially available natural
catastrophe loss simulation modeling software. The software simulates a
catastrophe, at various levels of severity, by generating certain probabilistic
loss distributions, in order to calculate industry-wide losses and the
corresponding losses for the covered party on a ground-up basis, by line of
business. These losses are then compared to the modeled loss contracts to
determine the amount of the covered partys recovery in respect of such an
event.

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Because the Trinom transaction is in two tranches, Converium AGs coverage
under the Catastrophe Agreement is also effectively in two tranches. The first
tranche provides first event coverages of approximately $65.0 million on 68% of
losses that exceed a range of losses from $209.0 million to $227.0 million; and
the second tranche provides $97.0 million of coverage on 100% of second and
subsequent event losses that exceed a range of losses from $100.0 million to
$133.0 million. The amount of losses that must be incurred before coverage
applies relates to the type of loss event, e.g. earthquake, hurricane or
windstorm. The expected annual cost of the Catastrophe Agreement to Converium
AG is approximately $9.4 million. However, if Converium Group collects amounts
as a result of a loss event that is protected by the Catastrophe Agreement,
Converium Group will be required to pay higher amounts for the remainder of the
Catastrophe Agreements term, and to reduce the recovery by these higher
amounts.

Loss and Loss Adjustment Expense Reserves

Establishment of Loss and Loss Adjustment Expense Reserves

We are required by applicable insurance laws and regulations and U.S. GAAP
to establish reserves for payment of losses and loss adjustment expenses that
arise from our products. These reserves are balance sheet liabilities
representing estimates of future amounts required to pay claims and claim
adjustment expenses for insured claims which have occurred at or before the
balance sheet date, whether already known to us or not yet reported.
Significant periods of time can elapse between the occurrence of an insured
claim, its reporting by the insured to the primary insurance company and from
the insurance company to its reinsurance company. Loss reserves fall into two
categories: reserves for reported losses and loss adjustment expenses, and
reserves for incurred but not reported, or IBNR, losses and loss adjustment
expenses.

Upon receipt of a notice of claim from a ceding company, we establish a
case reserve for the estimated amount of the ultimate settlement. Case reserves
are usually based upon the amount of reserves reported by the primary insurance
company and may subsequently be supplemented or reduced as deemed necessary by
our claims department. We also establish reserves for loss amounts that have
been incurred but not yet reported, including expected development of reported
claims. These IBNR reserves include estimated legal and other loss adjustment
expenses. We calculate IBNR reserves by using generally accepted actuarial
techniques. We utilize actuarial tools that rely on historical and pricing
information and statistical models as well as our pricing analyses. We revise
these reserves for losses and loss adjusted expenses as additional information
becomes available and as claims are reported and paid.

Our estimates of reserves from reported and unreported losses and related
reinsurance recoverable assets are reviewed and updated. Adjustments resulting
from this process are reflected in current income. The analysis relies upon the
basic assumption that past experience, adjusted for the effect of current
developments and likely trends, is an appropriate basis to estimate our current
loss and loss adjustment expense liabilities. Because estimation of loss
reserves is an inherently uncertain process, quantitative techniques frequently
have to be supplemented by professional and managerial judgment. In addition,
trends that have affected development of reserves in the past may not
necessarily occur or affect reserve development to the same degree in the
future.

The uncertainty inherent in loss estimation is particularly pronounced for
long-tail lines such as umbrella, general and professional liability and motor
liability, where information, such as required medical treatment and costs for
bodily injury claims, will only emerge over time. In the overall reserve
setting process, provisions for economic inflation and changes in the social
and legal environment are considered. The uncertainty inherent in the reserving
process for primary insurance companies is even greater for the reinsurer. This
is because of, but not limited to, the time lag inherent in reporting
information from the insurer to the reinsurer and differing reserving practices
among ceding companies. As a result, actual losses and loss adjustment expenses
may deviate, perhaps materially, from expected ultimate costs reflected in our
current reserves.

In setting reserves, we utilize the same integrated, multi-disciplinary
approach we use to establish our reinsurance prices. After an initial analysis
by members of our actuarial staff, preliminary results are shared with
appropriate underwriters, pricing actuaries, claims and finance professionals
and, as appropriate, senior management. Final actuarial recommendations
incorporate feedback from these professionals.

We have developed a proprietary global loss reserve estimation system,
which we refer to as FRAME. It applies a number of standard actuarial reserving
methods on a contract-by-contract basis. This allows us to calculate estimates
of IBNR for each transaction based on its own characteristics.

FRAME Reserving Methodology

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Expected Loss/Expected Loss Ratio

Reinsurance contracts are typically priced using proprietary pricing
models. The expected loss ratio for each reinsurance contract is normally the
expected loss ratio derived at the pricing of the reinsurance
contract and may be subject to adjustments based on re-pricing of the
reinsurance contract.

All reserve indications are conducted at the reinsurance contract level
typically on a gross and retro basis; net loss and allocated loss adjustment
expense reserve indications are typically derived by netting gross and retro
loss and allocated loss adjustment expense reserve indication. Unallocated loss
adjustments expense reserve provisions are derived at the business segment
level (i.e. Zurich, North America and Cologne).

Every reinsurance contract is assigned to a reserving group referred to as
a Reserve Equity Cell (REC). Each REC typically contains reinsurance contracts
with identical or similar characteristics in respect to:



| |  |  | underlying risk (e.g. line of business), geographic region or
treaty type (i.e. proportional, non-proportional or facultative); and                               
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the time period at which losses are expected to be paid and
reported (i.e. expected paid loss development factors and expected
reported loss development factors).

For each REC, expected paid loss development factors and expected
reported loss development factors are derived from either:



| |  |  | statistics developed by pricing actuaries, or                                                                                         
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | actual paid loss and reported loss (of the reinsurance contracts
assigned to a given REC) aggregated into underwriting year triangles.

It is Converiums policy to review regularly expected paid loss
development factors and expected reported loss development factors for each
REC.

For each REC and underwriting year, ultimate losses are projected using the
following five standard actuarial methods:



| |  |  | Expected Loss Method (normally derived from pricing as described above)
| | - |  | -----------------------------------------------------------------------
|
| |  |  | Paid Loss Bornhuetter Ferguson Method                                  
|
| |  |  | Incurred Loss Bornhuetter Ferguson Method                              
|
| |  |  | Paid Loss Development Method                                           
|
| |  |  | Incurred Loss Development Method                                       

For each
reinsurance contract within a given REC and underwriting year, one
reserving method is selected based on professional actuarial judgment. Standard
practice is to select the expected loss method for a relatively immature
underwriting year (i.e. underwriting year and REC for which the expected
reported loss as at the valuation period (e.g. December 31, 2002) is less than
50% of the ultimate loss that will eventually be reported) when the actual loss
experience is not yet deemed credible. In addition, actual reported losses and
expected reported losses are compared and in cases where the actual versus
expected are materially different, the reserving actuary may (especially if the
actual losses reported are higher than expected) either:



| |  |  | select a different actuarial method (i.e. to be more responsive to actual loss experience)
| | - |  | ------------------------------------------------------------------------------------------
|
| |  |  | revise the expected loss (see paragraph on expected loss/expected loss ratio)             
|
| |  |  | revise the expected paid loss or/and expected reporting loss patterns                     

The indicated ultimate loss is intended to represent the expected ultimate
loss for the full exposure of each contract as at the reserving date (e.g.
December 31, 2002). Additional reserve provisions can be added for known losses
(notified) that have not been recorded yet in our system.

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Typically the indicated ultimate loss for each contract is then adjusted
by the ratio of base earned premium to ultimate base premium in order to
calculate reserve provision (IBNR) only to the exposed/expired portion of the
reinsurance contract as of the reserving date. A base premium is a premium
which excludes loss sensitive premium adjustments.

In essence, for each REC and underwriting year we select best estimate of
ultimate losses within a reasonable range. The range estimates are done at the
REC level and are not aggregated to the business segment or consolidated level.

In addition to these bottom-up approaches we utilize standard top down
analyses. For these methods we aggregate the majority of our business into a
limited number of homogeneous classes and apply standard actuarial reserving
techniques. This provides an alternative view that is less dependent on pricing
information.

In accordance with U.S. GAAP, we do not establish contingency reserves for
future catastrophic losses in advance of the events occurrence. As a result, a
catastrophe event may cause material volatility in our incurred losses and
reserves and a material impact on our reported income, subject to the effects of our
retrocessional reinsurance. For further details on our catastrophe risk and
reinsurance programs, see - Catastrophe Risk Management and - Retrocessional
Reinsurance.

Adequacy of Reserves

Given the inherent uncertainty of the loss estimation process described
above, we employ a number of methods to develop a range of estimates. On the
basis of our actuarial reviews we believe our liability for gross losses and
loss adjustment expenses, referred to as gross reserves, and our gross reserves
less reinsurance recoverables for losses and loss adjustment expenses ceded,
referred to as net reserves, at the end of all periods presented in our
financial statements were determined in accordance with our established
policies and were reasonable estimates based on the information known at the
time our estimates were made. These analyses were based on, among other things,
original pricing analyses as well as our experience with similar lines of
business and historical trends, such as reserving patterns, exposure growth,
loss payments, pending levels of unpaid claims and product mix, as well as
court decisions and economic conditions. However, since the establishment of
loss reserves is an inherently uncertain process, the ultimate cost of settling
claims may exceed our existing loss and loss adjustment expense reserves,
perhaps materially. Any adjustments that result from changes in reserve
estimates are reflected in our results of operations.

In 2002,
we strengthened reserves by $148.5 million.
Throughout the year, increased loss experience related to prior years continued
to emerge. These additional provisions are the result of the continued
emergence of increased reported losses versus expected losses related to prior
years. As a result of actuarial work performed at Converium North America
through the third and fourth quarters, management concluded that ultimate losses
would most likely be higher in the range of possible outcomes than previously
estimated. During 2002, Converium North America engaged in an in-depth
actuarial reserve analysis of certain lines of business, which resulted in an
increase of $137.2 million of provisions for net losses, primarily related to
underwriting years 1997 through 2000, on the commercial umbrella,
miscellaneous casualty, medical errors and omissions liability and motor
liability lines of business. Converium Cologne recorded $31.1 million of
additional loss provisions related to prior years business, of which $25.4
million was related to run-off business. Partially offsetting this reserve
strengthening, Converium Zurich recorded $19.8 million of positive reserve
development in 2002 resulting from favorable development on prior year
liability business and property excess of loss business from underwriting year
2001.

The reserve strengthening of $148.5 million in 2002 as described above and
the $123.6 million in 2001 as described below in the Loss Reserve Development
section was determined in accordance with our loss reserving policies as
described in - Establishment of Loss and Loss Adjustment Expense Reserves,
and was recorded in accordance with our established accounting policies as
described in Note 2(c) of our financial statements. Under these policies we
review and update our reserves as experience develops and new information
becomes known, and we bring our reserves to a reasonable level within a range
of reserve estimates by recording an adjustment in the period when the new
information confirms the need for an adjustment.

Effects of Currency Fluctuations

A significant factor affecting movements in our net reserve balances has
been currency exchange rate fluctuations. These fluctuations affect our
reserves because we report our results in U.S. dollars. As of December 31,
2002, approximately 34.0% of our non-life reinsurance reserves are for
liabilities that will be paid in a currency other than the U.S. dollar. We
establish these reserves in original currency, and then, during our
consolidation process, translate them to U.S. dollars using the exchange rates
as of the balance sheet date. Any increase or decrease in reserves resulting
from this translation process is recorded directly to equity and has no impact

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on current earnings. When new losses are incurred or adjustments to prior
years reserve estimates are made, these amounts are reflected in the current
year net income at the average exchange rates for the period.

Loss Reserve Development

The first table below presents changes in the historical non-life loss and
loss adjustment expense reserves that we established in 1994 and subsequent
years. The top lines of the tables show the estimated loss and loss adjustment
reserves, gross and net of reinsurance, for unpaid losses and loss adjustment
expenses as of each balance sheet date, which represent the estimated amount of
future payments for all losses occurring prior to that date. The upper, or
paid, portion of the first table presents the cumulative amount of payments of
the loss and loss adjustment expense amounts through each subsequent year in
respect of the reserves established at each initial year-end. Losses paid in
currencies other than the U.S. dollar are translated at consolidation into U.S.
dollars using the average foreign exchange rates for periods in which they are
paid. The lower, or reserve re-estimated portion, gross and net of reinsurance,
of the first table shows the re-estimate of the initially recorded loss and
loss adjustment expense reserve as of each succeeding period-end, including
claims paid but recalculated using the foreign exchange rates for each
subsequent period-end. The reserve estimates change as more information becomes known about the
actual losses for which the initial reserves were established. The cumulative
redundancy/(deficiency) lines at the bottom of the table are equal to the
initial reserves less the liability re-estimated as of December 31, 2002.

Conditions and trends that have affected the development of our reserves
for losses and loss adjustment expenses in the past may or may not necessarily
occur in the future, and accordingly, our future results may or may not be
similar to the information presented in the tables below.

In 1997, Zurich Financial Services and its subsidiaries, including the
entities then operating under the Zurich Re brand name, retroactively adopted
International Accounting Standards, or IAS, as of January 1, 1995. As a
consequence, consolidated loss development data for Converium entities is not
available on a consistent accounting basis prior to December 31, 1994 and is
therefore not presented in this annual report. The inconsistencies prior to
December 31, 1994 principally arise from Converium entities having used
different reserving methodologies on a country-by-country basis as was
acceptable under generally accepted accounting principles in Switzerland. As an
example, some European reserving practices have historically tended to be
highly conservative, and therefore not consistent with IAS and U.S. GAAP best
estimate practices. Accordingly, we have only been able to provide a
consolidated loss development table commencing with December 31, 1994.

The table below presents our loss and loss adjustment expense reserve
development as of the dates indicated.

|                                                             |                   |   |                    |         |      |   |         |         |      |   |         |         |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|------------------------------------------------------------ | ----------------- | - | ------------------ | ------- | ---- | - | ------- | ------- | ---- | - | ------- | ------- | ---- | - | ------- | ------- | ---- | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- |  | 
|                                                             |                   |   | As of December 31,
|                                                             |                   |   |                   
|                                                             |                   |   | 1994               |         | 1995 |   | 1996    |         | 1997 |   | 1998    |         | 1999 |   | 2000    |         | 2001 |   | 2002   
|                                                             |                   |   |                    |         |      |   |         |         |      |   |         |         |      |   |         |         |      |   |        
|                                                             |                   |   | ($ in millions)   
|Gross reserves for losses and
loss adjustment expenses       |                   | $ | 1,468.9            |         |      | $ | 1,891.4 |         |      | $ | 2,245.3 |         |      | $ | 2,636.4 |         |      | $ | 2,988.1 |         |  | $ | 3,545.7 |         |  | $ | 4,546.0 |         |  | $ | 5,710.5 |         |  | $ | 6,821.3 | 
|Reinsurance recoverable                                      |                   |   | 59.6               |         |      |   | 102.9   |         |      |   | 106.9   |         |      |   | 290.1   |         |      |   | 457.3   |         |  |   | 704.9   |         |  |   | 1,212.2 |         |  |   | 1,545.0 |         |  |   | 1,459.8 | 
|Initial net reserves for losses
and loss adjustment expenses |                   | $ | 1,409.3            |         |      | $ | 1,788.5 |         |      | $ | 2,138.4 |         |      | $ | 2,346.3 |         |      | $ | 2,530.8 |         |  | $ | 2,840.8 |         |  | $ | 3,333.8 |         |  | $ | 4,165.5 |         |  | $ | 5,361.5 | 
|Cumulative paid as of:                                       |                   |   |                    |         |      |   |         |         |      |   |         |         |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         | 
|                                                             | One year later    |   |                    | 405.9   |      |   |         | 443.9   |      |   |         | 466.0   |      |   |         | 514.5   |      |   |         | 610.0   |  |   |         | 850.6   |  |   |         | 885.2   |  |   |         | 1,101.6 |  |   |         |  | 
|                                                             | Two years later   |   |                    | 611.1   |      |   |         | 669.4   |      |   |         | 721.2   |      |   |         | 843.0   |      |   |         | 968.8   |  |   |         | 1,339.2 |  |   |         | 1,501.0 |  |   |         |         |  |   |         |  | 
|                                                             | Three years later |   |                    | 736.2   |      |   |         | 803.1   |      |   |         | 921.7   |      |   |         | 1,064.4 |      |   |         | 1,250.7 |  |   |         | 1,670.1 |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Four years later  |   |                    | 815.4   |      |   |         | 927.0   |      |   |         | 1,062.2 |      |   |         | 1,261.7 |      |   |         | 1,438.6 |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Five years later  |   |                    | 896.9   |      |   |         | 1,007.7 |      |   |         | 1,178.3 |      |   |         | 1,336.5 |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Six years later   |   |                    | 949.9   |      |   |         | 1,093.8 |      |   |         | 1,197.5 |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Seven years later |   |                    | 1,006.5 |      |   |         | 1,087.1 |      |   |         |         |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Eight years later |   |                    | 986.5   |      |   |         |         |      |   |         |         |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|Net reserves
re-estimated as of:                             |                   |   |                    |         |      |   |         |         |      |   |         |         |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         | 
|                                                             | One year later    |   |                    | 1,457.6 |      |   |         | 1,763.3 |      |   |         | 1,901.5 |      |   |         | 2,145.6 |      |   |         | 2,292.7 |  |   |         | 2,815.5 |  |   |         | 3,405.3 |  |   |         | 4,292.4 |  |   |         |  | 
|                                                             | Two years later   |   |                    | 1,499.0 |      |   |         | 1,642.6 |      |   |         | 1,853.5 |      |   |         | 2,051.3 |      |   |         | 2,274.9 |  |   |         | 2,922.4 |  |   |         | 3,599.5 |  |   |         |         |  |   |         |  | 
|                                                             | Three years later |   |                    | 1,364.6 |      |   |         | 1,617.7 |      |   |         | 1,736.4 |      |   |         | 1,970.4 |      |   |         | 2,300.8 |  |   |         | 3,027.2 |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Four years later  |   |                    | 1,396.2 |      |   |         | 1,541.1 |      |   |         | 1,677.3 |      |   |         | 1,989.1 |      |   |         | 2,333.7 |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Five years later  |   |                    | 1,339.0 |      |   |         | 1,468.9 |      |   |         | 1,661.2 |      |   |         | 1,990.7 |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Six years later   |   |                    | 1,284.5 |      |   |         | 1,452.9 |      |   |         | 1,645.9 |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Seven years later |   |                    | 1,260.1 |      |   |         | 1,446.1 |      |   |         |         |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                             | Eight years later |   |                    | 1,263.3 |      |   |         |         |      |   |         |         |      |   |         |         |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|Reinsurance
recoverable
re-estimated as of
December 31, 2002 |                   |   | 127.4              |         |      |   | 241.5   |         |      |   | 333.1   |         |      |   | 414.4   |         |      |   | 687.4   |         |  |   | 1,275.5 |         |  |   | 1,657.2 |         |  |   | 1,628.4 |         |  |   |         | 
|Gross reserves re-estimated as of December
31, 2002          |                   |   | 1,390.7            |         |      |   | 1,687.6 |         |      |   | 1,979.0 |         |      |   | 2,405.1 |         |      |   | 3,021.1 |         |  |   | 4,302.7 |         |  |   | 5,256.7 |         |  |   | 5,920.8 |         |  |   |         | 
|Cumulative net redundancy/ (deficiency)                      |                   |   | 146.0              |         |      |   | 342.4   |         |      |   | 492.5   |         |      |   | 355.6   |         |      |   | 197.1   |         |  |   | (186.4  | )       |  |   | (265.7  | )       |  |   | (126.9  | )       |  |   |         | 

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|                                                                            |  |  |                    |   |      |  |       |   |      |  |       |   |      |  |       |   |      |  |       |    |  |  |        |    |  |  |        |    |  |  |        |    |  |  |  |  | 
|--------------------------------------------------------------------------- |  |  | ------------------ | - | ---- |  | ----- | - | ---- |  | ----- | - | ---- |  | ----- | - | ---- |  | ----- | -- |  |  | ------ | -- |  |  | ------ | -- |  |  | ------ | -- |  |  |  |  | 
|                                                                            |  |  | As of December 31,
|                                                                            |  |  |                   
|                                                                            |  |  | 1994               |   | 1995 |  | 1996  |   | 1997 |  | 1998  |   | 1999 |  | 2000  |   | 2001 |  | 2002 
|                                                                            |  |  |                    |   |      |  |       |   |      |  |       |   |      |  |       |   |      |  |      
|                                                                            |  |  | ($ in millions)   
|Cumulative redundancy/ (deficiency) as a
percentage of initial net reserves |  |  | 10.4               | % |      |  | 19.1  | % |      |  | 23.0  | % |      |  | 15.2  | % |      |  | 7.8   | %  |  |  | (6.6   | )% |  |  | (8.0   | )% |  |  | (3.0   | )% |  |  |  | 
|Cumulative gross redundancy/ (deficiency)                                   |  |  | 78.2               |   |      |  | 203.8 |   |      |  | 266.3 |   |      |  | 231.3 |   |      |  | (33.0 | )  |  |  | (757.0 | )  |  |  | (710.7 | )  |  |  | (210.3 | )  |  |  |  | 
|Cumulative redundancy/(deficiency) as a
percentage of gross reserves        |  |  | 5.3                | % |      |  | 10.8  | % |      |  | 11.9  | % |      |  | 8.8   | % |      |  | (1.1  | )% |  |  | (21.3  | )% |  |  | (15.6  | )% |  |  | (3.7   | )% |  |  |  | 

As a significant portion of our reserves relate to liabilities payable in
currencies other than U.S. dollars, any fluctuations of the U.S. dollar to
those currencies will have an impact on the reserve redundancy/(deficiency). As
seen from the table above, the net reserve position for 1998 developed
favorably from $2,530.8 million as of December 31, 1998 to $2,333.7 million as
of December 31, 2002, thereby reflecting a redundancy of $197.1 million.
However, as seen from the table below, applying the exchange rate as of
December 31, 1998 to the 1998 reserves re-estimated as of December 31, 2002
would result in re-estimated reserves of $2,469.9 million, or a redundancy of
$60.9 million, illustrating that a substantial part of the apparent redundancy
is due to currency movements, which may or may not persist to the date claims
are actually paid. As a result of these currency movements, the cumulative
redundancy/(deficiency) shown above is considerably higher/(lower) as of
December 31, 2002 than if the reserves were shown on a constant exchange rate
basis for all years presented. Due to inherent volatility of exchange rates,
this effect may change in the future. Accordingly, we expect that future changes in foreign exchange rates will
impact our reserve adequacy re-estimates. However, with respect to our primary
currencies, we believe that the potential volatility of our liabilities is
offset to a large extent by our efforts to invest in assets denominated in the
same currency.

The table above also shows that our net loss reserves have developed
larger redundancies/(lower deficiencies) than our gross loss reserves. Changes
in estimates of our net losses directly impact our reported results.
Accordingly, our estimates of reinsurance recoveries on incurred losses and our
collections of those recoveries from our retrocessionaires also directly impact
our reported results. See - Retrocessional Reinsurance above for a discussion
of the types of retrocessional reinsurance coverage that we purchase.

At December 31, 2002 we recorded $1,459.8 million of reinsurance
recoverables on loss and loss adjustment expense reserves. Approximately 41.0%
of this amount relates to workers compensation business and 23.1% relates to
recoverables in connection with the September 11th terrorist attacks.

For calendar years 1994 through 1997 our re-estimated reinsurance
recoverables increased compared to our original estimates. These increases are
principally related to higher reinsurance recoveries on higher than expected
gross losses on CENY Business which has been 100% retroceded to CIC and CSUS.
See Item 10.  Additional Information  C. Material Contracts  Acquisition of
the Converium North America Business  CENY Arrangements. For calendar years 1998 through 2000, the increase is substantially
related to workers compensation business written by Converium Reinsurance
(North America) Inc. that we retroceded to other parties and additionally is
impacted by changes in currency exchange rates.

The following table shows the development of our initial reserves net of
reinsurance using the same exchange rates in effect when each of the initial
reserves was set to re-estimate the reserves in subsequent years.

|                                                                           |  |                    |         |      |  |      |         |      |  |      |         |      |  |      |         |      |  |      |         |   |  |   |         |    |  |   |         |    |  |   |         |    |  |   |         | 
|-------------------------------------------------------------------------- |  | ------------------ | ------- | ---- |  | ---- | ------- | ---- |  | ---- | ------- | ---- |  | ---- | ------- | ---- |  | ---- | ------- | - |  | - | ------- | -- |  | - | ------- | -- |  | - | ------- | -- |  | - | ------- | 
|                                                                           |  | As of December 31,
|                                                                           |  |                   
|                                                                           |  | 1994               |         | 1995 |  | 1996 |         | 1997 |  | 1998 |         | 1999 |  | 2000 |         | 2001 |  | 2002
|                                                                           |  |                    |         |      |  |      |         |      |  |      |         |      |  |      |         |      |  |     
|                                                                           |  | ($ in millions)   
|Initial net reserves for losses
and loss adjustment expense                |  | $                  | 1,409.3 |      |  | $    | 1,788.5 |      |  | $    | 2,138.4 |      |  | $    | 2,346.3 |      |  | $    | 2,530.8 |   |  | $ | 2,840.8 |    |  | $ | 3,333.8 |    |  | $ | 4,165.5 |    |  | $ | 5,361.5 | 
|Net reserves re-estimated as of:                                           |  |                    |         |      |  |      |         |      |  |      |         |      |  |      |         |      |  |      |         |   |  |   |         |    |  |   |         |    |  |   |         |    |  |   |         | 
|One year later                                                             |  |                    | 1,410.1 |      |  |      | 1,805.6 |      |  |      | 2,004.9 |      |  |      | 2,108.6 |      |  |      | 2,394.8 |   |  |   | 2,907.9 |    |  |   | 3,457.4 |    |  |   | 4,268.1 |    |  |   |         | 
|Two years later                                                            |  |                    | 1,479.5 |      |  |      | 1,758.2 |      |  |      | 1,925.4 |      |  |      | 2,078.8 |      |  |      | 2,412.6 |   |  |   | 3,035.5 |    |  |   | 3,602.4 |    |  |   |         |    |  |   |         | 
|Three years later                                                          |  |                    | 1,387.9 |      |  |      | 1,707.3 |      |  |      | 1,865.4 |      |  |      | 2,016.6 |      |  |      | 2,463.0 |   |  |   | 3,118.1 |    |  |   |         |    |  |   |         |    |  |   |         | 
|Four years later                                                           |  |                    | 1,405.6 |      |  |      | 1,674.5 |      |  |      | 1,819.3 |      |  |      | 2,035.0 |      |  |      | 2,469.9 |   |  |   |         |    |  |   |         |    |  |   |         |    |  |   |         | 
|Five years later                                                           |  |                    | 1,382.7 |      |  |      | 1,612.4 |      |  |      | 1,799.4 |      |  |      | 2,023.7 |      |  |      |         |   |  |   |         |    |  |   |         |    |  |   |         |    |  |   |         | 
|Six years later                                                            |  |                    | 1,338.7 |      |  |      | 1,589.9 |      |  |      | 1,775.9 |      |  |      |         |      |  |      |         |   |  |   |         |    |  |   |         |    |  |   |         |    |  |   |         | 
|Seven years later                                                          |  |                    | 1,306.6 |      |  |      | 1,588.4 |      |  |      |         |      |  |      |         |      |  |      |         |   |  |   |         |    |  |   |         |    |  |   |         |    |  |   |         | 
|Eight years later                                                          |  |                    | 1,316.7 |      |  |      |         |      |  |      |         |      |  |      |         |      |  |      |         |   |  |   |         |    |  |   |         |    |  |   |         |    |  |   |         | 
|Cumulative redundancy/(deficiency)                                         |  |                    | 92.6    |      |  |      | 200.1   |      |  |      | 362.5   |      |  |      | 322.6   |      |  |      | 60.9    |   |  |   | (277.3  | )  |  |   | (268.6  | )  |  |   | (102.6  | )  |  |   |         | 
|Cumulative
redundancy/(deficiency) as a
percentage of initial net reserves |  |                    | 6.6     | %    |  |      | 11.2    | %    |  |      | 17.0    | %    |  |      | 13.7    | %    |  |      | 2.4     | % |  |   | (9.8    | )% |  |   | (8.1    | )% |  |   | (2.5    | )% |  |   |         | 

As described below, the loss development triangles show net cumulative
redundancies for 1994 through 1998 and net cumulative deficiencies for 1999
through 2002.

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In 2002 Converium recorded $148.5 million at the 2002 average exchange
rate ($102.6 million at the 2001 exchange rate) of net adverse development. See
- Adequacy of Reserves.

In 2001, Converium Group strengthened reserves by $123.6 million.
Converium Group retained an actuarial consulting firm to perform an independent
review of non-life net reserves as of December 31, 2000. This review reflected
certain information that became available after the issuance of the December
31, 2000 financial statements, including most fourth quarter 2000 and some
first quarter 2001 reports from ceding companies, who typically report on a
one-quarter lag. Based on the independent review and Converium Groups own
evaluations of these new developments, additional provisions of $112.0 million,
net of reinsurance, were recorded in the first half of 2001, principally
related to accident years 2000 and prior at Converium North America. Converium
Group recorded an additional $11.6 million of net adverse loss reserve
development in the second half of 2001. For 2001, Converium North America
recorded adverse development of $164.0 million, mainly related to general
liability, auto liability and umbrella business written in 1996 through 1999.
Converium Cologne strengthened its asbestos and environmental reserves by $11.5
million and performed an in-depth analysis of its European and Middle East
non-proportional motor book, which added an additional $20.0 million in
reserves. Converium Cologne also recorded an additional $9.8 million of
reserves for energy and property business in the Middle East. Partially
offsetting the above, loss reserves at Converium Zurich developed positively by
$81.7 million in 2001, reflecting positive development of $30.0 million in aviation and space,
primarily on non-proportional treaty business for years 1998 through 2000.
Additional positive development was experienced in casualty lines of business.

In 2000, Converium recorded $65.4 million of net adverse loss development.
This result was heavily driven by adverse development from the December 1999
European winter storms Anatol, Lothar and Martin. Since these events occurred
in the last week of December 1999, it was difficult to estimate the resulting
losses at December 31, 1999. In addition, Converium North America experienced
adverse loss development mainly related to casualty treaty business from prior
underwriting years.

The payment pattern of our loss and loss adjustment reserves varies from
year to year. We estimate that the mean time to payment, on an undiscounted
basis, of our loss provisions at December 31, 2002, was 4.1 years. We expect
this average payout period to change as our mix of business changes.

Reconciliation of Beginning and Ending Loss and Loss Adjustment Expense Reserves

The table below is a summary reconciliation of the beginning and ending
reserves for losses and loss adjustment expenses, net of reinsurance, for the
years ended December 31, 2002, 2001 and 2000.

|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |         | 
|------------------------------------------------------ | ------------------------------------------------------ | - | --------------- | ------- | ---- | - | ------- | ------- |  | - | ------- | ------- | 
|                                                       |                                                        |   | 2002            |         | 2001 |   | 2000   
|                                                       |                                                        |   |                 |         |      |   |        
|                                                       |                                                        |   | ($ in millions)
|As of January 1,                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|                                                       | Gross reserves for losses and loss adjustment expenses |   | $               | 5,710.5 |      |   | $       | 4,546.0 |  |   | $       | 3,545.7 | 
|                                                       | Less reinsurance recoverable                           |   |                 | 1,545.0 |      |   |         | 1,212.2 |  |   |         | 704.9   | 
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|Net reserves for losses and loss adjustment expenses   |                                                        |   | 4,165.5         |         |      |   | 3,333.8 |         |  |   | 2,840.8 |        
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|Losses and loss adjustment expenses incurred:          |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|                                                       | Current year                                           |   |                 | 2,186.8 |      |   |         | 2,039.5 |  |   |         | 1,454.6 | 
|                                                       | Prior years                                            |   |                 | 148.5   |      |   |         | 123.6   |  |   |         | 65.4    | 
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|Total                                                  |                                                        |   | 2,335.3         |         |      |   | 2,163.1 |         |  |   | 1,520.0 |        
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|Losses and loss adjustment expenses paid:              |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|                                                       | Current year                                           |   |                 | 299.4   |      |   |         | 359.1   |  |   |         | 222.0   | 
|                                                       | Prior years                                            |   |                 | 1,095.5 |      |   |         | 885.2   |  |   |         | 850.6   | 
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|Total                                                  |                                                        |   | 1,394.9         |         |      |   | 1,244.3 |         |  |   | 1,072.6 |        
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|Foreign currency translation effects                   |                                                        |   | 255.6           |         |      |   | (87.1   | )       |  |   | 45.6    |        
|As of December 31,                                     |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|                                                       | Net reserves for losses and loss adjustment expenses   |   |                 | 5,361.5 |      |   |         | 4,165.5 |  |   |         | 3,333.8 | 
|                                                       | Reinsurance recoverable                                |   |                 | 1,459.8 |      |   |         | 1,545.0 |  |   |         | 1,212.2 | 
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        
|Gross reserves for losses and loss adjustment expenses |                                                        | $ | 6,821.3         |         |      | $ | 5,710.5 |         |  | $ | 4,546.0 |        
|                                                       |                                                        |   |                 |         |      |   |         |         |  |   |         |        

Reserves for Accident Years 1994 and Prior

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As of December 31, 2002, net reserves for losses and loss adjustment
expenses included approximately $201.2 million of reserves related to losses
from accident years 1994 and prior.

Reserves for Asbestos and Environmental Losses

We have exposure to liabilities for asbestos and environmental impairment,
from our assumed reinsurance contracts, primarily arising from business written
by Converium Cologne. Our asbestos and environmental exposure primarily
originates from U.S. business written through the London Market and from
treaties directly written with reinsurers in the United States. We cancelled
our relevant London Market reinsurance contracts in 1966 and 1967. At the time,
we reduced our participation in asbestos and environmental-exposed U.S.
treaties, with the eventual result that Converium Cologne ceased property and
liability underwriting in the United States in 1990. The A&E reserves are
roughly 50% for asbestos and 50% for environmental. Due to uncertainties as to
the definitions and to incomplete reporting from clients, exact separation of
asbestos and environmental exposures cannot be reached. We believe that
Converium North Americas exposure to asbestos-related and environmental
pollution claims is limited due to the diminutive amount of business written
prior to 1987 and the protection provided by the continuing reinsurance protections described below under Item 10.  Additional
Information  C. Material Contracts. In addition, Converium Zurichs
exposure is also minimal because, under the terms of the Quota Share
Retrocession Agreement, Converium Zurich will only reinsure business written
with an inception or renewal date on or after January 1, 1987. In 1986, our
contract wording was revised, consistent with a general industry change, such
that asbestos and environmental claims were generally excluded.

As of December 31, 2002, our total loss and adjustment expense reserves,
including additional reserves and IBNR reserves, for U.S.-originated asbestos
and environmental losses are approximately $44.6 million or 0.8% of our total
net reserves for losses and loss adjustment expenses. This provision includes
reserves originally communicated by our cedents, together with additional
reserves we established.

We estimate that the survival ratio of our asbestos and environmental risk
portfolio, calculated as the average ratio of reserves held, including IBNR,
over claims paid over the last three years, is approximately 13.5 and 13.8
years as of December 31, 2002 and 2001, respectively. Survival ratio is an
industry measure of the number of years it would take a company to exhaust its
reserves for asbestos and environmental liabilities based on that companys
current level of claims payments. We currently have no retrocessional
protection for our U.S.-originated asbestos and environmental exposure, other
than the arrangements with Zurich Financial Services provided by the stop-loss
agreement described above and the other arrangements described below under
Item 10.  Additional Information  C. Material Contracts.

Reserving for asbestos and environmental claims is subject to a range of
uncertainties that has historically been greater than those presented by other
types of claims. Among the complications are a lack of historical data, long
reporting delays and uncertainty as to the number and identity of insureds with
potential exposure. In addition, there are complex, unresolved legal issues
regarding policy coverage and the extent and timing of contractual liability.

In the environmental context, for example, such legal issues include:



| |  |  | whether administrative actions by environmental authorities constitute a suit which triggers an insurers duty to defend                                                                                                                                        
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the timing of injury or damage which triggers comprehensive general liability coverage                                                                                                                                                                            
|
| |  |  | the allocation of indemnity and defense costs among triggered policy
years or, in some circumstances, to the policyholders                                                                                                                                        
|
| |  |  | the number of occurrences where environmental claims arise from one or more causes and result in one or more effects                                                                                                                                            
|
| |  |  | the efficacy of policy exclusions for pollution and related matters                                                                                                                                                                                               
|
| |  |  | the extent to which personal injury insurance may apply in the context of environmental losses                                                                                                                                                                    
|
| |  |  | whether environmental clean-up costs are property damage within the
intent of a comprehensive general liability policy, and whether an
action requiring the insured to undertake clean-up measures is an action
for damages within the intent of such a policy

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| |  |  | the applicability of so-called owned property exclusions in
comprehensive general liability policies in the context of environmental
claims                                     
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | whether sums expended by an insured to investigate the remediation of
hazardous waste constitute loss or expense within the intent of a
comprehensive general liability policy

In the asbestos context, many of these same issues exist, and other issues
may arise concerning:



| |  |  | the scope of so-called asbestosis exclusions                                                                                                                                                            
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the extent to which policy aggregate limits for product liability or
completed operations apply in the context of a particular asbestos
exposure                                                          
|
| |  |  | the interplay between various insurers policy wordings, especially
in the context of the trigger of coverage, when determining insurers
defense and indemnity obligations for a particular asbestos loss
|
| |  |  | the existence and nature of defense or defense reimbursement
obligations under various policy forms                                                                                                       
|
| |  |  | the disposition of asbestos claims in the context of policyholder or
insurer insolvencies. These issues are not likely to be resolved in the
near future                                                  

Consequently, traditional loss reserving techniques cannot wholly be
relied on and, therefore, the uncertainty with respect to the ultimate cost of
these types of claims is greater than the uncertainty relating to standard
lines of business. In addition, changes to existing legal interpretation, new
legislation or new court decisions could materially impact our reserves,
results of operations, cash flows and financial position in future periods.

Loss Reserve Development for the United States

Consolidated loss development data for Converium is not available on a
consistent accounting basis prior to December 31, 1994. Accordingly, we have
provided a consolidated loss development table commencing with information as
of December 31, 1994. In order to provide information regarding outstanding
reserves relating to 1994 and prior years, we have provided a ten-year loss
development table for business written by Converium North America. This
business represents 34.0 % of our outstanding net reserves as of December 31,
2002 related to 1994 and prior years. The remaining 66.0 % represents business
written by Converium Zurich and Converium Cologne. We have not provided
ten-year loss development tables for either Converium Zurich, a former division
of ZIC, or Converium Cologne, as none of this data is available on a consistent
accounting basis prior to December 31, 1994. See - Loss and Loss Adjustment
Expense Reserves  Loss Reserve Development.

The table has been prepared using information from the statutory filings
required in the United States. As such, the information differs from the
consolidated table above as it is prepared on a basis of accounting other than
U.S. GAAP. However, the change in accounting basis does not cause the table
below to be materially different than the U.S. amounts included in the
consolidated table above.

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|                                                                             |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|---------------------------------------------------------------------------- | ----------------- | - | ------------------ | ----- | ---- | - | ----- | ----- | ---- | - | ----- | ----- | ---- | - | ------ | ----- | ---- | - | ------- | ----- | ---- | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- | ------- |  | - | ------- |  | 
|                                                                             |                   |   | As of December 31,
|                                                                             |                   |   |                   
|                                                                             |                   |   | 1993               |       | 1994 |   | 1995  |       | 1996 |   | 1997  |       | 1998 |   | 1999   |       | 2000 |   | 2001    |       | 2002
|                                                                             |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |        |       |      |   |         |       |     
|                                                                             |                   |   | ($ in millions)   
|Gross reserves for loss and loss
adjustment expenses                         |                   | $ | 323.7              |       |      | $ | 463.5 |       |      | $ | 721.9 |       |      | $ | 882.9  |       |      | $ | 1,244.2 |       |      | $ | 1,473.9 |         |  | $ | 1,825.7 |         |  | $ | 2,581.7 |         |  | $ | 2,845.7 |         |  | $ | 2,890.0 | 
|Reinsurance recoverable                                                      |                   |   | 24.2               |       |      |   | 19.5  |       |      |   | 75.1  |       |      |   | 85.2   |       |      |   | 263.9   |       |      |   | 369.7   |         |  |   | 604.8   |         |  |   | 1,134.4 |         |  |   | 1,136.3 |         |  |   | 942.9   | 
|Initial net reserves for losses and
loss adjustment expenses                 |                   |   | 299.5              |       |      |   | 444.0 |       |      |   | 646.8 |       |      |   | 797.7  |       |      |   | 980.3   |       |      |   | 1,104.2 |         |  |   | 1,220.9 |         |  |   | 1,447.3 |         |  |   | 1,709.4 |         |  |   | 1,947.1 | 
|Cumulative paid as of:                                                       |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         | 
|                                                                             | One year later    |   |                    | 100.8 |      |   |       | 94.3  |      |   |       | 157.0 |      |   |        | 179.6 |      |   |         | 206.3 |      |   |         | 287.4   |  |   |         | 346.9   |  |   |         | 395.1   |  |   |         | 517.4   |  |   |         |  | 
|                                                                             | Two years later   |   |                    | 149.4 |      |   |       | 183.6 |      |   |       | 270.0 |      |   |        | 315.9 |      |   |         | 396.5 |      |   |         | 510.7   |  |   |         | 628.5   |  |   |         | 726.8   |  |   |         |         |  |   |         |  | 
|                                                                             | Three years later |   |                    | 198.7 |      |   |       | 252.3 |      |   |       | 351.0 |      |   |        | 437.2 |      |   |         | 552.3 |      |   |         | 696.0   |  |   |         | 837.2   |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Four years later  |   |                    | 233.2 |      |   |       | 296.9 |      |   |       | 417.1 |      |   |        | 531.2 |      |   |         | 655.9 |      |   |         | 817.2   |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Five years later  |   |                    | 266.1 |      |   |       | 334.2 |      |   |       | 461.8 |      |   |        | 577.6 |      |   |         | 725.5 |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Six years later   |   |                    | 273.4 |      |   |       | 357.2 |      |   |       | 485.3 |      |   |        | 615.5 |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Seven years later |   |                    | 283.3 |      |   |       | 367.0 |      |   |       | 505.2 |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Eight years later |   |                    | 288.4 |      |   |       | 376.6 |      |   |       |       |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Nine years later  |   |                    | 292.6 |      |   |       |       |      |   |       |       |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|Net reserves re-estimated as of:                                             |                   |   |                    |       |      |   |       |       |      |   |       |       |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         | 
|                                                                             | One year later    |   |                    | 312.0 |      |   |       | 444.6 |      |   |       | 639.4 |      |   |        | 816.1 |      |   |         | 982.0 |      |   |         | 1,117.5 |  |   |         | 1,301.9 |  |   |         | 1,611.7 |  |   |         | 1,846.6 |  |   |         |  | 
|                                                                             | Two years later   |   |                    | 323.2 |      |   |       | 446.9 |      |   |       | 651.3 |      |   |        | 823.0 |      |   |         | 971.0 |      |   |         | 1,174.9 |  |   |         | 1,449.3 |  |   |         | 1,758.3 |  |   |         |         |  |   |         |  | 
|                                                                             | Three years later |   |                    | 324.3 |      |   |       | 453.6 |      |   |       | 656.7 |      |   |        | 810.2 |      |   |         | 985.8 |      |   |         | 1,225.9 |  |   |         | 1,555.1 |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Four years later  |   |                    | 328.7 |      |   |       | 462.8 |      |   |       | 653.7 |      |   |        | 824.4 |      |   |         | 997.1 |      |   |         | 1,261.1 |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Five years later  |   |                    | 333.2 |      |   |       | 458.9 |      |   |       | 635.0 |      |   |        | 805.7 |      |   |         | 997.3 |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Six years later   |   |                    | 334.8 |      |   |       | 445.0 |      |   |       | 617.2 |      |   |        | 789.0 |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Seven years later |   |                    | 325.6 |      |   |       | 430.8 |      |   |       | 602.5 |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Eight years later |   |                    | 314.3 |      |   |       | 424.7 |      |   |       |       |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|                                                                             | Nine years later  |   |                    | 310.1 |      |   |       |       |      |   |       |       |      |   |        |       |      |   |         |       |      |   |         |         |  |   |         |         |  |   |         |         |  |   |         |         |  |   |         |  | 
|Reinsurance
recoverable
re-estimated as of
December 31, 2002                 |                   |   | 30.9               |       |      |   | 28.3  |       |      |   | 115.5 |       |      |   | 200.3  |       |      |   | 322.2   |       |      |   | 506.8   |         |  |   | 970.2   |         |  |   | 1,421.0 |         |  |   | 1,219.8 |         |  |   |         | 
|Gross reserves
re-estimated as of
December 31, 2002                          |                   |   | 341.0              |       |      |   | 453.1 |       |      |   | 718.0 |       |      |   | 989.3  |       |      |   | 1,319.5 |       |      |   | 1,767.9 |         |  |   | 2,525.3 |         |  |   | 3,179.3 |         |  |   | 3,066.4 |         |  |   |         | 
|Cumulative net
redundancy/(deficiency)                                       |                   |   | (10.6              | )     |      |   | 19.3  |       |      |   | 44.3  |       |      |   | 8.7    |       |      |   | (17.0   | )     |      |   | (156.9  | )       |  |   | (334.2  | )       |  |   | (311.0  | )       |  |   | (137.2  | )       |  |   |         | 
|Cumulative
redundancy/(deficiency) as a
percentage of initial
net reserves   |                   |   | (3.5               | )%    |      |   | 4.3   | %     |      |   | 6.8   | %     |      |   | 1.1    | %     |      |   | (1.7    | )%    |      |   | (14.2   | )%      |  |   | (27.4   | )%      |  |   | (21.5   | )%      |  |   | (8.0    | )%      |  |   |         | 
|Cumulative gross
redundancy/(deficiency)                                     |                   |   | (17.3              | )     |      |   | 10.4  |       |      |   | 3.9   |       |      |   | (106.4 | )     |      |   | (75.3   | )     |      |   | (294.0  | )       |  |   | (699.6  | )       |  |   | (597.6  | )       |  |   | (220.7  | )       |  |   |         | 
|Cumulative
redundancy/(deficiency) as a percentage of
initial gross reserves |                   |   | (5.3               | )%    |      |   | 2.2   | %     |      |   | 0.5   | %     |      |   | (12.1  | )%    |      |   | (6.1    | )%    |      |   | (19.9   | )%      |  |   | (38.3   | )%      |  |   | (23.1   | )%      |  |   | (7.8    | )%      |  |   |         | 

The loss development triangles show net loss reserve deficiencies of
greater than 8% for 1998 through 2001 as compared to the original net loss
reserve established. This adverse development is primarily related to loss
reserve increases of $164.0 million and $ 137.2 million recorded in calendar
years 2001 and 2002, respectively.

These additional provisions are the result of the continued emergence of
increased reported losses versus expected losses related to prior years. As a
result of actuarial work performed at Converium North America through the third
quarter of 2002, management concluded that ultimate losses would most likely be
higher in the range of possible outcomes than previously estimated. During
2002, Converium North America engaged in an in-depth actuarial reserve analysis
of certain lines of business, which resulted in an increase of $137.2 million
in provisions for losses, primarily related to underwriting years 1997 through
2000, in the commercial umbrella, miscellaneous casualty, medical errors and
omissions liability, and motor liability lines of business.

The 2001 calendar year development was comprised principally of $112.0
million of prior year strengthening connected to the actuarial review conducted
at December 31, 2000 and $52.0 million principally comprised of
unexpected claims on two liability treaties from two companies that were
declared insolvent.

During calendar year 2002 gross loss reserves for 1998 through 2000
developed by $88.0 million more than the net loss reserves developed. This
development relates primarily to workers compensation business assumed by
Converium Reinsurance (North America) Inc. which is almost entirely retroceded
to other parties.

The development in 1996 through 1997 in calendar years prior to 2002
relates to the CENY portfolio of business that was written on the Converium
Reinsurance (North America) Inc.s balance sheet and was subsequently 100%
retroceded to other Centre

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balance sheets. Accordingly the significant increases in our re-estimated
reinsurance recoverables in these years is attributable to the increased
workers compensation and CENY losses retroceded to our reinsurers.

Investments

Our overall financial results are in large part dependent upon the quality
and performance of our investment portfolio. Net investment income and net
realized capital (losses) gains accounted for 7.1% of our revenues for the year
ended December 31, 2002, 8.4% of our revenues for the year ended December 31,
2001 and 12.1% of our revenues for the year ended December 31, 2000. As of
December 31, 2002, the carrying value of our investment portfolio was $6.1
billion.

Our assets are invested with the objective of achieving investment returns
consistent with those of the markets in which we invest, using appropriate risk
management, diversification, tax and regulatory considerations, and to provide
sufficient liquidity to enable us to meet our obligations on a timely basis. We
principally focus on high quality, liquid securities, and seek to invest in
securities whose durations correspond to the estimated duration of the
reinsurance liabilities they support.

Our approach to fixed income investments is to limit credit risk by
focusing on investments rated A or better and to reduce concentration risk by
limiting the amount that may be invested in securities of any single issue or
group of issuers. With respect to equity investments, we seek to diversify our
equity portfolio so as to provide a broad exposure across major sectors of
individual stock markets. To reduce the effects of currency exchange rate
fluctuations, we seek to match the currencies of our investments with the
currencies of our underlying reinsurance liabilities.

Our investment practices are governed by guidelines established and
approved by our Board of Directors. Although these guidelines stress
diversification of risks, conservation of principal and liquidity, these
investments are subject to market-wide risks and fluctuations, as well as risks
inherent in particular securities.

At December 31, 2001, predominantly, all of our investments were managed
by affiliates of Zurich Financial Services. In the second quarter of 2002,
Zurich Financial Services sold certain of its investment management businesses,
including Zurich Scudder Investments, Inc., which managed a portion of our
investment assets, to Deutsche Bank AG. This transaction did not have a
material impact on our investment results. In the second half of 2002, we began
to transition our asset managers from Deutsche Bank AG to new third party
managers. We have entered into investment management agreements with these
managers on what we believe to be market terms. Under these investment
management agreements, our portfolio of investment securities is managed in
return for a fee based on the average total market value of the assets under
management. We monitor the performance of, and fees paid to, these investment
managers on a regular basis.

At December 31, 2002, total invested assets were $6.1 billion compared to
$4.9 billion as of December 31, 2001, an increase of $1.2 billion, or 24.4%.
This increase is mainly due to strong operating cash flow and proceeds from our
guaranteed subordinated notes, offset by net realized and unrealized losses on
the investment portfolio during 2002.

The table below presents the carrying value of our consolidated investment
portfolios as of December 31, 2002, 2001 and 2000.

|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |       |  
|------------------------------------------------ | ----------------- | - | ------------------ | ------- | ----- |  | -------- | ----- | ----- | - | -------- | ------- | ----- |  | ---- | ----- | - | - | ------- | ------- |  |  | ---- | ----- | -
|                                                 |                   |   | As of December 31,
|                                                 |                   |   |                   
|                                                 |                   |   | 2002               |         | 2001  |  | 2000    
|                                                 |                   |   |                    |         |       |  |         
|                                                 |                   |   | $                  |         | % of  |  | $        |       | % of  |   | $        |         | % of 
|                                                 |                   |   | millions           |         | Total |  | millions |       | Total |   | millions |         | Total
|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |      
|Fixed income securities                          |                   | $ | 3,443.1            |         |       |  | 56.3     | %     |       | $ | 2,331.4  |         |       |  | 47.4 | %     |   | $ | 2,236.2 |         |  |  | 51.4 | %    
|Equity securities                                |                   |   | 530.8              |         |       |  | 8.7      |       |       |   | 701.4    |         |       |  | 14.3 |       |   |   | 611.0   |         |  |  | 14.1 |      
|Funds Withheld Asset/ Zurich
Financing Agreement |                   |   | 1,648.1            |         |       |  | 27.0     |       |       |   | 1,598.5  |         |       |  | 32.5 |       |   |   | 1,335.2 |         |  |  | 30.7 |      
|Short-term investments                           |                   |   | 318.0              |         |       |  | 5.2      |       |       |   | 89.5     |         |       |  | 1.8  |       |   |   | 115.1   |         |  |  | 2.6  |      
|Other                                            |                   |   | 177.3              |         |       |  | 2.8      |       |       |   | 195.1    |         |       |  | 4.0  |       |   |   | 52.2    |         |  |  | 1.2  |      
|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |      
|                                                 | Total investments |   | $                  | 6,117.3 |       |  |          | 100.0 | %     |   | $        | 4,915.9 |       |  |      | 100.0 | % |   | $       | 4,349.7 |  |  |      | 100.0 | %
|                                                 |                   |   |                    |         |       |  |          |       |       |   |          |         |       |  |      |       |   |   |         |         |  |  |      |      

The table below presents the investment portfolios of our operating
segments based on carrying value as of December 31, 2002, 2001 and 2000.

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|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |      |       |  
|-------------------- | ----------------------- | ----- | ---- | ------------------ | ------- | ----- | --- | -------- | ----- | ----- | ---- | -------- | ------- | ----- | --- | ---- | ----- | - | ---- | ------- | ------- |  | --- | ---- | ----- | -
|                     |                         |       |      | As of December 31,
|                     |                         |       |      |                   
|                     |                         |       |      | 2002               |         | 2001  |     | 2000    
|                     |                         |       |      |                    |         |       |     |         
|                     |                         |       |      | $                  |         | % of  |     | $        |       | % of  |      | $        |         | % of 
|                     |                         |       |      | millions           |         | Total |     | millions |       | Total |      | millions |         | Total
|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |      
|Non-Life Reinsurance |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |     
|                     | Converium Zurich        |       | $    | 3,388.5            |         |       |     | 55.4     | %     |       | $    | 2,273.2  |         |       |     | 46.2 | %     |   | $    | 1,458.3 |         |  |     | 32.0 | %    
|                     | Converium North America |       |      | 2,239.4            |         |       |     | 36.6     |       |       |      | 2,387.4  |         |       |     | 48.6 |       |   |      | 2,304.8 |         |  |     | 54.2 |      
|                     | Converium Cologne       |       |      | 540.0              |         |       |     | 8.9      |       |       |      | 510.7    |         |       |     | 10.4 |       |   |      | 542.0   |         |  |     | 12.8 |      
|Converium Life       |                         |       | 99.4 |                    |         |       | 1.6 |          |       |       | 40.8 |          |         |       | 0.8 |      |       |   | 44.6 |         |         |  | 1.0 |     
|                     | Eliminations            |       |      | (150.0             | )       |       |     | (2.5     | )     |       |      | (296.2   | )       |       |     | (6.0 | )     |   |      |        |         |  |     |     |      
|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |      |      
|                     |                         | Total |      | $                  | 6,117.3 |       |     |          | 100.0 | %     |      | $        | 4,915.9 |       |     |      | 100.0 | % |      | $       | 4,349.7 |  |     |      | 100.0 | %
|                     |                         |       |      |                    |         |       |     |          |       |       |      |          |         |       |     |      |       |   |      |         |         |  |     |      |      

The eliminations line item above represents internal notes issued in 2001
between Converium Zurich and Converium North America, which are eliminated on a
consolidated basis.

Fixed Maturities

As of December 31, 2002, our fixed maturities portfolio, excluding the
Funds Withheld Asset, had a carrying value of $3.4 billion and represented 56.3
% of our total investment portfolio, excluding the Funds Withheld Asset, or
83.2 % including the Funds Withheld Asset. This represents an increase in
carrying value of $1.1 billion, or 47.7 %, from December 31, 2001 excluding the
Funds Withheld Asset. This increase was mainly due to the reinvestment of 2002
cash flows from operations and currency translation adjustments.

Our fixed income investments are managed by external investment managers,
and their performance is measured against benchmarks. We invest in government,
agency and corporate fixed income securities of issuers from around the world
that meet our liquidity and credit standards. We place an emphasis on investing
in listed fixed income securities that we believe to be liquid.

The table below presents our fixed income securities portfolio, excluding
the Funds Withheld Asset, based on carrying value by segment as of December 31,
2002, 2001 and 2000.

|                     |                           |  |                    |         |       |  |          |       |       |  |          |         |       |  |     |       |   |  |      |         |  |  |     |       |  
|-------------------- | ------------------------- |  | ------------------ | ------- | ----- |  | -------- | ----- | ----- |  | -------- | ------- | ----- |  | --- | ----- | - |  | ---- | ------- |  |  | --- | ----- | -
|                     |                           |  | As of December 31,
|                     |                           |  |                   
|                     |                           |  | 2002               |         | 2001  |  | 2000    
|                     |                           |  |                    |         |       |  |         
|                     |                           |  | $                  |         | % of  |  | $        |       | % of  |  | $        |         | % of 
|                     |                           |  | millions           |         | Total |  | millions |       | Total |  | millions |         | Total
|                     |                           |  |                    |         |       |  |          |       |       |  |          |         |      
|Non-Life Reinsurance |                           |  |                    |         |       |  |          |       |       |  |          |         |       |  |     |       |   |  |      |         |  |  |     |      
|                     | Converium Zurich          |  | $                  | 900.6   |       |  |          | 26.1  | %     |  | $        | 67.2    |       |  |     | 2.9   | % |  | $    | 41.8    |  |  |     | 1.9   | %
|                     | Converium North           |  |                    | 1,999.3 |       |  |          | 58.1  |       |  |          | 1,930.6 |       |  |     | 82.8  |   |  |      | 1,817.3 |  |  |     | 81.2  |  
|                     | America
Converium Cologne |  |                    | 443.8   |       |  |          | 12.9  |       |  |          | 292.8   |       |  |     | 12.6  |   |  |      | 348.4   |  |  |     | 15.6  |  
|Converium Life       |                           |  | 99.4               |         |       |  | 2.9      |       |       |  | 40.8     |         |       |  | 1.7 |       |   |  | 28.7 |         |  |  | 1.3 |      
|                     |                           |  |                    |         |       |  |          |       |       |  |          |         |       |  |     |       |   |  |      |         |  |  |     |      
|                     | Total                     |  | $                  | 3,443.1 |       |  |          | 100.0 | %     |  | $        | 2,331.4 |       |  |     | 100.0 | % |  | $    | 2,236.2 |  |  |     | 100.0 | %
|                     |                           |  |                    |         |       |  |          |       |       |  |          |         |       |  |     |       |   |  |      |         |  |  |     |      

The table below presents the composition of our fixed income securities
portfolio, excluding short-term investments, based on carrying value by
scheduled maturity as of December 31, 2002.

|                                      |       |   |              |         |       |  |      |       |  
|------------------------------------- | ----- | - | ------------ | ------- | ----- |  | ---- | ----- | -
|                                      |       |   | As of       
|                                      |       |   | December 31,
|                                      |       |   | 2002        
|                                      |       |   |             
|                                      |       |   | $            |         | % of 
|                                      |       |   | millions     |         | Total
|                                      |       |   |              |         |      
|Due less than one year                |       | $ | 15.7         |         |       |  | 0.5  | %    
|Due after one year through five years |       |   | 1,409.4      |         |       |  | 40.9 |      
|Due after five years through 10 years |       |   | 803.5        |         |       |  | 23.3 |      
|Due after 10 years                    |       |   | 387.5        |         |       |  | 11.3 |      
|                                      |       |   |              |         |       |  |      |      
|Subtotal                              |       |   | 2,616.1      |         |       |  | 76.0 |      
|Mortgage and asset backed securities  |       |   | 827.0        |         |       |  | 24.0 |      
|                                      |       |   |              |         |       |  |      |      
|                                      | Total |   | $            | 3,443.1 |       |  |      | 100.0 | %
|                                      |       |   |              |         |       |  |      |      

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Most of our fixed income securities are rated by Standard & Poors,
Moodys or similar rating agencies. As of December 31, 2002, approximately 97.0
% of our fixed income securities portfolio was invested in securities rated A
or better by these agencies and approximately 82.0 % was invested in
AAA/Aaa-rated securities.

The table below presents the composition of our fixed income securities
portfolio by rating as assigned by Standard & Poors or Moodys, using the
higher of these ratings for any security where there is a split rating.

|              |  |              |         |       |  |  |       |  
|------------- |  | ------------ | ------- | ----- |  |  | ----- | -
|              |  | As of       
|              |  | December 31,
|              |  | 2002        
|              |  |             
|              |  | $            |         | % of 
|              |  | millions     |         | Total
|              |  |              |         |      
|AAA/Aaa       |  | $            | 2,835.2 |       |  |  | 82.3  | %
|AA/Aa2        |  |              | 346.9   |       |  |  | 10.1  |  
|A/A2          |  |              | 156.9   |       |  |  | 4.6   |  
|BBB/Baa2      |  |              |        |       |  |  |      |  
|BB            |  |              | 10.0    |       |  |  | 0.3   |  
|Not rated (1) |  |              | 94.1    |       |  |  | 2.7   |  
|              |  |              |         |       |  |  |       |  
|Total         |  | $            | 3,443.1 |       |  |  | 100.0 | %
|              |  |              |         |       |  |  |       |  



---

|(1) |  | primarily investments in unrated funds whose underlying securities are
rated A or better
|--- |  | ----------------------------------------------------------------------------------------

Our guidelines also restrict our maximum investment in bonds issued by any
group or industry sector by reference to local benchmarks and applicable
insurance regulations. As of December 31, 2002, no aggregated amount of bonds
issued by a single group (excluding governments and funds) represented more
than 5% of our fixed maturities securities.

Equity Securities

As of December 31, 2002, our equity securities portfolio had a carrying
value of $530.8 million. This represents a decrease in carrying value of $170.6
million, or 24.3%, from December 31, 2001. The decrease was primarily due to
realized losses and market value declines in 2002. As of December 31, 2002,
equity securities comprised 8.7% of our investment portfolio.

Substantially all of our equity portfolio consists of listed securities,
held directly or through funds. The majority of our equity portfolio is in
developed markets with limited exposure to emerging markets. As experienced in
recent years, the equity markets around the world can produce highly volatile
and significantly varied results due to local and worldwide economic and
political conditions.

Our exposure to private equity fund investments as of December 31, 2002
was approximately $70.5 million. This figure represents the sum of the fair
market value of invested capital (as determined by the fund managers) and
remaining unpaid commitments. Of this total, the value of remaining unpaid
commitments was approximately $10.6 million.

At December 31, 2002 and 2001, gross unrealized gains on our equity
portfolio were $2.6 million and $47.2 million and gross unrealized losses were
$56.2 million and $25.1 million respectively. With the recent realignment in
our investment portfolio, the unrealized losses at December 31,2002
predominantly arise from securities acquired during 2002. We have reviewed the
securities that have declined in value and have recorded impairments
accordingly.

Our impairment policy requires us to record, as realized capital losses,
declines in value that exceed 20% over a period of six months, or in excess of
50% regardless of the period of decline. At managements judgment, we impair
additional securities based on prevailing market conditions.

Our guidelines also restrict our maximum investment in any one equity
security or industry sector by reference to local benchmarks and applicable
insurance regulations. As of December 31, 2002, excluding our investments in
funds and our shares in PSP Swiss Property AG, an indirect real estate
investment with a market value of $75.0 million as of December 31, 2002, no
single equity security represented more than 10% of our equity securities
portfolio

Funds Withheld Asset

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The transfer of Converium Zurichs business to Converium was effective as
of July 1, 2001 by means of the Quota Share Retrocession Agreement. In
addition, on that date, the Funds Withheld Asset was established. Its initial
balance was set to match the net balance of the liabilities, less the premium
receivables (including outstanding collectible balances and reinsurance
deposits), on the business to which the Quota Share Retrocession Agreement
applies. As of December 31, 2002, the Funds Withheld Asset was $1,648.1
million. The increase of $49.6 million over 2001 was substantially due to
additional premium received in the first half of 2002 and changes in foreign
exchange rates, offset by paid claims.

The Funds Withheld Asset is increased by premiums (less premium refunds),
salvage and subrogation, recoveries under retrocession agreements, profit
commissions and other amounts received for the business subject to the Quota
Share Retrocession Agreement, and is reduced by paid claims, profit
commissions, amounts paid to maintain the retrocession agreements and other
amounts paid on the business subject to the Quota Share Retrocession Agreement.
The balance of the Funds Withheld Asset will decrease over time. However,
business historically written on the Zurich Insurance Company (ZIC) and
Zurich Insurance Bermuda (ZIB) balance sheets is being renewed and written on
the Converium balance sheet. As a result, we will generate invested assets from
the new and renewal business written on the Converium balance sheet which we
expect to at least partially offset reductions of the balance of the Funds
Withheld Asset.

Under the Quota Share Retrocession Agreement, the interest payable to
Converium AG on the Funds Withheld Asset is based on fixed interest rates tied
to each of our major functional currencies. These interest rates were
calculated as if the assets had been invested in fixed income securities
denominated in the functional currencies payable on the Funds Withheld Asset as
of July 1, 2001 and reflected the estimated duration of the underlying
reinsurance liabilities as of that date. During 2002, the weighted average
interest rate based on the currency mix on the Funds Withheld Asset was 5.3%
and at December 31, 2002, the weighted average interest rate was 5.3%.

Under the Quota Share Retrocession Agreement, the Funds Withheld Asset may
be prepaid to us in whole or in part as of the end of any calendar quarter. In
the event that the Funds Withheld Asset is prepaid, we would have to reinvest
these assets in investments which may not provide yields comparable to those
under the Quota Share Retrocession Agreement. To the extent we are not able to
invest these funds at comparable yields, our investment income could be
adversely affected.

Short-Term Investments

Our short-term investment portfolio includes investments in fixed-term
deposits and fiduciary investments. These investments generally have maturities
of between three months and one year. As of December 31, 2002, we had
short-term investments with a carrying value of $318.0 million, representing
5.2% of our total investment portfolio. Short-term investments at December 31,
2002 include $193.7 million in proceeds received on December 23, 2002 from the
issuance of our guaranteed subordinated notes. These proceeds were
substantially invested in January 2003. As of December 31, 2002, none of our
short-term investments portfolio is restricted as to its use.

Real Estate and Other Investments

In late 2001, Converium acquired certain residential and commercial rental
properties from subsidiaries of Zurich Financial Services. As of December 31,
2002, we had $167.9 million of investments in real estate, most of which were
located in Switzerland, and our real estate portfolio represented 2.7% of our
total investment portfolio. In addition to these properties, Converium owns a
9.1% participation in PSP Swiss Property AG (an indirect real estate
investment, included in equity securities) with a market value of $75.0 million
as of December 31, 2002.

Reinsurance Assets

Retrocessional reinsurance arrangements generally do not relieve Converium
Group from its direct obligations to its reinsureds. Thus, a credit exposure
exists with respect to reinsurance ceded to the extent that any
retrocessionaire is unable or unwilling to meet the obligations assumed under
the retrocessional agreements. At December 31, 2002, Converium Group holds
$687.8 million in collateral as security under related retrocessional
agreements in the form of funds held, securities and/or letters of credit.
Converium Group is able to access outside capacity for both traditional and
non-traditional coverage and therefore is not dependent upon any single
retrocessional market.

As of December 31, 2002, we had reinsurance recoverables from
retrocessionaires of approximately $1.6 billion on paid and unpaid losses and
loss adjustment expenses and unearned premium reserve balances. Recoverables
from subsidiaries of Zurich

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Financial Services total 24.1% of equity at December 31, 2002.
Recoverables from one other third-party retrocessionaires were 12.9% of equity
at December 31, 2002. Recoverables from retrocessionaires relating to contracts
in arbitration were 9.5% of equity at December 31, 2002. There were no
recoverables from any other retrocessionaire that exceeded 10% of equity at
December 31, 2002. Allowances of $17.4 million and $9.6 million have been
recorded for estimated uncollectible receivables and reinsurance recoverables
at December 31, 2002 and 2001, respectively.

Capital Expenditures

In the three years ending December 31, 2002, we invested a total of $76.0
million in fixed assets. Most of these amounts were invested in equipment and
information technology, and were financed from our free cash flow. We currently
intend to continue to make capital investments at a similar pace and, in
particular, to further enhance our global intellectual informational technology
platforms.

Ratings

Standard & Poors has rated Converium A (Strong) and A.M. Best has rated
Converium A (Excellent). In December 2002, Standard & Poors lowered its
rating on Converium Group to A with a stable outlook from A+. We do not
believe that this downgrade will have a material effect on our ability to
operate.

Standard & Poors A range (A+, A and A-) is the second highest of
three ratings ranges within what Standard & Poors considers the secure
category. An insurer rated A is believed by Standard & Poors to have strong
financial security characteristics, but to be somewhat more likely to be
affected by business conditions than are insurers with higher ratings. A plus
(+) or minus (-) shows relative standing in a rating category.

A.M. Best states that its A (Excellent) rating is assigned to those
companies which, in its opinion, have, on balance, achieved excellent financial
strength, operating performance and market profile when compared to the
standards established by A.M. Best and have demonstrated a strong ability to
meet their ongoing obligations to policyholders. The A (Excellent) rating is
the third highest of fifteen ratings assigned by A.M. Best, which range from
A++ (Superior) to F (In liquidation).

Other agencies may rate Converium or one or more of our subsidiaries on an
unsolicited basis.

Our Standard & Poors and A.M. Best ratings are not designed to be, and do
not serve as, measures of protection or valuation offered to investors and
these claims-paying ratings should not be relied on with respect to making an
investment in our securities. Standard & Poors and A.M. Best review their
ratings periodically and we cannot assure you that we will maintain our current
ratings in the future.

On December 23, 2002, Converium Finance S.A. issued $200.0 million of
30-year subordinated notes. Converium Holding AG and Converium AG, jointly and
severally, guaranteed, on a subordinated basis, payments on the notes. The
guaranteed subordinated notes due 2032 are listed on the New York Stock
Exchange under the ticker symbol CHF. The notes are callable from 2007. The
securities were rated Baa1/BBB+ by Moodys and Standard & Poors and carry a
8.25% coupon, payable quarterly.

Regulation

General

The business of reinsurance is regulated in most countries, although the
degree and type of regulation varies significantly from one jurisdiction to
another. Reinsurers are generally subject to less direct regulation than
primary insurers in most countries. In Switzerland and Germany, we operate
under relatively less intensive regulatory regimes. Historically, neither Swiss
nor German regulations have materially restricted our business. However, in the
United States licensed reinsurers must comply with financial supervision
standards comparable to those governing primary insurers. Accordingly, our U.S.
subsidiaries are subject to extensive regulation under state statutes, which
delegate regulatory, supervisory and administrative powers to state insurance
commissioners.

This regulation, which is described in more detail below, generally is
designed to protect policyholders rather than investors, and relates to such
matters as rate setting; limitations on dividends and transactions with
affiliates; solvency standards which must be met and maintained; the licensing
of insurers and their agents; the examination of the affairs of insurance
companies, which includes periodic market conduct examinations by the
regulatory authorities; annual and other reports, prepared on a statutory
accounting basis;

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establishment and maintenance of reserves for unearned premiums and
losses; and requirements regarding numerous other matters. U.S. regulations
accordingly have in the past materially affected our U.S. business operations,
although not, we believe, in a manner disproportionate to or unusual in our
industry. We allocate considerable time and resources to comply with these
requirements, and could be adversely affected if a regulatory authority
believed we had failed to comply with applicable law or regulation.

We believe that Converium and all of its subsidiaries are in material
compliance with all applicable laws and regulations pertaining to their
business and operations. Set forth below is a summary of the material
reinsurance regulations applicable to us.

Switzerland

Converium AG has received an operating license from the Swiss Federal
Ministry of Justice and Police (Eidgenoessisches Justiz-und Polizeidepartement)
(the Swiss Ministry of Justice and Police). Converium AG is subject to
continued supervision by the Federal Office for Private Insurance (Bundesamt
für Privatversicherungswesen)(the FOPI), an administrative unit of the Swiss
Ministry of Justice and Police, pursuant to the Swiss Insurance Supervisory Act
of June 23, 1978, as amended (Versicherungsaufsichtsgesetz). The FOPI has
supervisory authority as well as the authority to make decisions to the extent
that the Swiss Ministry of Justice and Police is not explicitly designated by
law.

Unlike insurance business, which is strictly regulated in Switzerland,
regulation of reinsurance business is less intensive and most of the technical
rules for direct insurers are not applicable to the reinsurance business. The
supervision exercised by the FOPI is mainly indirect through the supervision of
direct insurance companies and the reinsurance arrangements which they have
established. Reinsurance companies from other countries which conduct only
reinsurance business in Switzerland from their foreign domicile are exempt from
supervision by the FOPI. Based upon a decree of the Federal Council of
November 30, 2001, a commission has been constituted to consider a revision of
the overall framework of the Swiss banking and insurance supervision. The full
report by the commission is expected to be released this summer. The proposal
will include the formation of a uniform financial services authority which will
comprise the supervision on banks (currently by the Federal Banking Commission)
and insurance (currently by the FOPI). In addition, a revision of the
Versicherungsaufsichtsgesetztis being considered by a commission of experts,
who are expected to report back to the Federal Council at a later stage.

Under current regulations, Swiss insurance and reinsurance companies
cannot operate in any field other than reinsurance and insurance. This rule is
subject to exceptions, which are granted by the FOPI. Generally, these
exceptions apply if the nature and volume of the proposed non-insurance or
non-reinsurance business does not threaten the solvency of the company.
Investments in an entity operating outside the reinsurance or insurance field
are subject to supervisory authority approval if the investment represents more
than 20% (or 10% in the case of a life insurance business) of the share or
cooperative capital of the non-insurance entity or if the investment represents
more than 10% of the insurers or reinsurers shareholders equity. Approval is
granted if the investment does not threaten the solvency of the company.

The FOPI requires each reinsurance company to submit a business plan which
provides details about the calculation of its technical reserves and about its
retrocession policies, and information about the reinsurers solvency. The FOPI
initially examines documents relating to the companys solvency, organization
and management. If all legal requirements are met, an operating license is
granted by the Swiss Ministry of Justice and Police. Thereafter, companies must
submit an annual business report, including financial statements, detailing
information on all aspects of their business activities, such as premium
income, paid out benefits, reserves and profits.

United States

General U.S. State Supervision

Insurance and reinsurance regulation is enforced by the various state
insurance departments and the extent and nature of regulation varies from state
to state. Converium Reinsurance (North America) Inc. is a Connecticut-domiciled
reinsurer which is licensed, accredited or approved in all 50 states, is an
accredited reinsurer in the District of Columbia and is an admitted reinsurer
for the United States Treasury. Converium Insurance (North America) Inc. is a
New Jersey-domiciled insurer licensed in 49 states (excluding only New
Hampshire) and the District of Columbia (as a reinsurer). In addition, some
states consider an insurer to be commercially domiciled in their states if
the insurer writes insurance premiums that exceed certain specified thresholds.
As a commercially domiciled insurer, an insurer would be subject to some of
the requirements normally applicable only to insurers domiciled in those
states, including, in particular, certain requirements of the insurance holding
company laws. Converium Insurance (North America) Inc. is currently
commercially domiciled in California.

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Insurance Holding Company Regulation

We and our U.S. insurance and reinsurance subsidiaries are subject to
regulation under the insurance holding company laws of various states. The
insurance holding company laws and regulations vary from state to state, but
generally require insurers and reinsurers that are subsidiaries of insurance
holding companies to register and file with state regulatory authorities
certain reports including information concerning their capital structure,
ownership, financial condition and general business operations. Generally, all
transactions involving the insurers in a holding company system and their
affiliates must be fair and, if material, require prior notice and approval or
non-disapproval by the state insurance department. Further, state insurance
holding company laws typically place limitations on the amounts of dividends or
other distributions payable by insurers and reinsurers. Connecticut and New
Jersey, the jurisdictions in which Converium Reinsurance (North America) Inc.
and Converium Insurance (North America) Inc. are domiciled, each provide that,
unless the prior approval of the state insurance commissioner has been
obtained, dividends may be paid only from earned surplus and the annual amount
payable is limited to the greater of 10% of policyholder surplus at the end of
the prior year or 100% of statutory net income for the prior year (excluding
realized gains, in the case of the New Jersey insurer). In addition, Converium
Reinsurance (North America) Inc. may not, for a period of two years from the
date of any change of control, make any dividends to its shareholders without
the prior approval of the Insurance Commissioner.

State insurance holding company laws also require prior notice or state
insurance department approval of changes in control of an insurer or reinsurer
or its holding company. The insurance laws of Connecticut and New Jersey
provide that no corporation or other person may acquire control of a domestic
insurance or reinsurance company unless it has given notice to such company and
obtained prior written approval of the state insurance commissioner. Any
purchaser of 10% or more of the outstanding voting securities of an insurance
or reinsurance company or its holding company is presumed to have acquired
control, unless this presumption is rebutted. Therefore, an investor who
intends to acquire 10% or more of our outstanding voting securities may need to
comply with these laws and would be required to file notices and reports with
the Connecticut and New Jersey insurance commissioners prior to such
acquisition.

In addition, many state insurance laws require prior notification to the
state insurance department of a change in control of a non-domiciliary
insurance company licensed to transact insurance in that state. While these
pre-notification statutes do not authorize the state insurance departments to
disapprove the change in control, they authorize regulatory action in the
affected state if particular conditions exist such as undue market
concentration. Any future transactions that would constitute a change in
control of Converium Holdings (North America) Inc. or either of its U.S.
insurance subsidiaries may require prior notification in the states that have
adopted pre-acquisition notification laws.

Insurance Regulation

Converium Insurance (North America) Inc. is subject to broad state
insurance department administrative powers with respect to all aspects of the
insurance business including: licensing to transact business, licensing agents,
admittance of assets to statutory surplus, regulating premium rates, approving
policy forms, regulating unfair trade and claims practices, methods of
accounting, establishing reserve requirements and solvency standards, and
regulating the type, amounts and valuations of investments permitted and other
matters.

State insurance laws and regulations require our U.S. insurance and
reinsurance subsidiaries to file financial statements with insurance
departments everywhere they do business, and the operations of our U.S.
insurance and reinsurance subsidiaries and accounts are subject to the
examination by those departments at any time. Our U.S. insurance and
reinsurance subsidiaries prepare statutory financial statements in accordance
with accounting practices and procedures prescribed or permitted by these
departments.

State insurance departments conduct periodic examinations of the books and
records, financial reporting, policy filings and market conduct of insurance
companies domiciled in their states, generally once every three to five years.
Examinations are generally carried out in cooperation with the insurance
departments of other states under guidelines promulgated by the National
Association of Insurance Commissioners, or the NAIC. The Connecticut Department
of Insurance last completed a financial examination of Converium Reinsurance
(North America) Inc. for the four-year period ending December 31, 1997 and is
now beginning a financial examination for the five year period ending December
31, 2002. The New Jersey Department of Banking and Insurance last completed a
financial examination of Converium Insurance (North America) Inc. for the
five-year period ending December 31, 2000. In each completed examination, the
state insurance department found no material deficiencies.

Reinsurance Regulation

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Converium Reinsurance (North America) Inc. is subject to insurance
regulation and supervision that is similar to the regulation of licensed
primary insurers in many respects. Generally, state regulatory authorities
monitor compliance with, and periodically conduct examinations regarding, state
mandated standards of solvency, licensing requirements, investment limitations,
restrictions on the size of risks which may be reinsured, deposits of
securities for the benefit of reinsureds, methods of accounting, and reserves
for unearned premiums, losses and other purposes. However, in contrast with
primary insurance policies which are regulated as to rate, form, and content,
the terms and conditions of reinsurance agreements generally are not subject to
regulation by state insurance regulators.

Converium Reinsurance (North America) Inc. is accredited or approved to
write reinsurance in certain states. The ability of any primary insurer, as
reinsured, to take credit for the reinsurance placed with reinsurers is a
significant component of reinsurance regulation. Typically, a primary insurer
will only enter into a reinsurance agreement if it can obtain credit on its
statutory financial statements for the reinsurance ceded to the reinsurer.
Credit is usually granted when the reinsurer is licensed or accredited in the
state where the primary insurer is domiciled. In addition, many states allow
credit for reinsurance ceded to a reinsurer that is licensed in another state
and which meets certain financial requirements, or if the primary insurer is
provided with collateral to secure the reinsurers obligations.

U.S. Reinsurance Regulation of our Non-U.S. Reinsurance Subsidiaries

Converium AG and Converium Germany, our non-U.S. reinsurance subsidiaries,
also assume reinsurance from primary U.S. insurers. In order for primary U.S.
insurers to obtain financial statement credit for the reinsurance obligations
of our non-U.S. reinsurers, our non-U.S. reinsurers must satisfy reinsurance
requirements. Non-U.S. reinsurers that are not licensed in a state generally
may become accredited by filing certain financial information with the relevant
state commissioner and maintaining a U.S. trust fund for the payment of valid
reinsurance claims in an amount equal to the reinsurers U.S. reinsurance
liabilities covered by the trust plus an additional $20 million. In addition,
unlicensed and unaccredited reinsurers may secure the U.S. primary insurer with
funds equal to its reinsurance obligations in the form of cash, securities,
letters of credit or reinsurance trusts.

NAIC Ratios

The NAIC has developed a set of financial relationships or tests known as
the NAIC Insurance Regulatory Information System to assist state regulators in
monitoring the financial condition of insurance companies and identifying
companies that require special attention or action by insurance regulatory
authorities. A second set of confidential ratios, called Financial Analysis
Solvency Tracking System, FAST, are also used for monitoring. Insurance
companies generally submit data quarterly to the NAIC, which in turn analyzes
the data using prescribed financial data ratios, each with defined usual
ranges. If an insurance companys results vary significantly from expected
ranges, regulators may make further inquiries. Regulators have the authority to
impose remedies ranging from increased monitoring to certain business
limitations to various degrees of supervision. For example, as a result of
having two IRIS loss reserve tests fall outside of the specified parameters,
Converium Reinsurance (North America) Inc. has been required by the State of
New York Insurance Department to engage a qualified independent loss reserve
specialist to render an opinion as to the adequacy of its loss and loss
adjustment expense reserves at December 31, 2002. Neither our U.S. insurance
nor our reinsurance subsidiary are currently subject to any other increased
regulatory scrutiny based on these ratios.

Risk-Based Capital

The Risk-Based Capital for Insurers Model Act, or the Model Act, as it
applies to non-life insurers and reinsurers, was adopted by the NAIC in 1993.
The main purpose of the Model Act is to provide a tool for insurance regulators
to evaluate the capital of insurers relative to the risks assumed by them and
determine whether there is a need for possible corrective action. U.S. insurers
and reinsurers are required to report the results of their risk-based capital
calculations as part of the statutory annual statements filed with state
insurance regulatory authorities. The Model Act provides for four different
levels of regulatory actions based on annual statements, each of which may be
triggered if an insurers Total Adjusted Capital, as defined in the Model Act,
is less than a corresponding level of risk-based capital (RBC).

The Company Action Level is triggered if an insurers Total Adjusted
Capital is less than 200% of its Authorized Control Level RBC, as defined in
the Model Act. At the Company Action Level, the insurer must submit a RBC plan
to the regulatory authority that discusses proposed corrective actions to
improve its capital position. The Regulatory Action Level is triggered if an
insurers Total Adjusted Capital is less than 150% of its Authorized Control
Level RBC. At the Regulatory Action Level, the regulatory authority will
perform a special examination of the insurer and issue an order specifying corrective actions that must be

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followed. The Authorized Control Level is triggered if an insurers Total
Adjusted Capital is less than 100% of its Authorized Control Level RBC, and at
that level the regulatory authority is authorized (although not mandated) to
take regulatory control of the insurer. The Mandatory Control Level is
triggered if an insurers Total Adjusted Capital is less than 70% of its
Authorized Control Level RBC, and at that level the regulatory authority must
take regulatory control of the insurer. Regulatory control may lead to
rehabilitation or liquidation of an insurer. As of December 31, 2002, the Total
Adjusted Capital of each of our U.S. reinsurance subsidiary and our U.S.
insurance subsidiary exceeded amounts requiring company or regulatory action at
any of the four levels.

The Gramm-Leach-Bliley Act

In November 1999, the Gramm-Leach-Bliley Act of 1999, or the GLBA, was
enacted, implementing fundamental changes in the regulation of the financial
services industry in the United States. The GLBA permits the transformation of
the already converging banking, insurance and securities industries by
permitting mergers that combine commercial banks, insurers and securities firms
under one holding company, a financial holding company. Bank holding
companies and other entities that qualify and elect to be treated as financial
holding companies may engage in activities, and acquire companies engaged in
activities that are financial in nature or incidental or complementary to
such financial activities. Such financial activities include acting as
principal, agent or broker in the underwriting and sale of life, property,
casualty and other forms of insurance and annuities. However, although a bank
cannot act as an insurer nor can it own an insurer as a subsidiary in most
circumstances, a financial holding company can own any kind of insurer,
insurance broker or agent. Under the GLBA, national banks retain their existing
ability to sell insurance products in some circumstances.

Under state law, the financial holding company must apply to the insurance
commissioner in the insurers state of domicile for prior approval of the
acquisition of the insurer. Under the GLBA, no state may prevent or restrict
affiliations between banks and insurers, insurance agents or brokers. Further,
states cannot prevent or significantly interfere with bank or bank subsidiary
sales activities. Finally, both bank and bank affiliates can obtain licenses as
producers.

Until the passage of the GLBA, the Glass-Steagall Act of 1933, as amended,
had limited the ability of banks to engage in securities-related businesses,
and the Bank Holding Company Act of 1956, as amended, had restricted banks from
being affiliated with insurers. With the passage of the GLBA, among other
things, bank holding companies may acquire insurers, and insurance holding
companies may acquire banks. The ability of banks to affiliate with insurers
may materially affect our U.S. insurance and reinsurance subsidiaries product
lines by substantially increasing the number, size and financial strength of
potential competitors.

Insurance Guaranty Association Assessments

Each state has insurance guaranty association laws under which property
and casualty insurers doing business in the state may be assessed by state
insurance guaranty associations for certain obligations of insolvent insurance
companies to policyholders and claimants. These laws do not apply to
reinsurers. Typically, states assess each member insurer in an amount related
to the member insurers proportionate share of the business written by all
member insurers in the state. While we cannot predict the amount and timing of
any future assessments on our insurance companies under these laws, we have
established reserves that we believe are adequate for assessments relating to
insurance companies that are currently subject to insolvency proceedings.

Losses caused by the September 11th terrorist attacks, loss reserve
deficiencies, or prior investment results may result in the insolvency of
certain U.S. insurance companies, increasing the possibility that we will be
assessed by state insurance guaranty associations.

Terrorism Legislation

On November 26, 2002, President George W. Bush signed into law the
Terrorism Risk Insurance Act of 2002 (TRIA). This legislation establishes a
program under which the Federal government will share the risk of loss arising
from future terrorist attacks with the insurance industry. The law does not
apply to reinsurers, and the federal government does not share in the risk of
loss emanating from future terrorist attacks with the reinsurance industry.
Each reinsurer is free to make its own contractual arrangements with its ceding
partners, as it deems appropriate.

Regarding our ceding companies, TRIA offers a three-year program, imposes
a deductible that must be satisfied before federal assistance is triggered and
contains a coinsurance feature. The deductible is based on a percentage of
direct earned premiums for commercial insurance lines from the previous
calendar year. It rises from 1% during the transition period, running from the
date of enactment to December 31, 2002, to 7% during year one of the program
(2003), 10% during year two, and 15% in year three. The

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federal program covers 90% of losses in excess of the applicable deductible, while the insurance
company retains the remaining 10%. The program imposes an annual of cap of $100
billion on covered losses. Participation in the program for insurers providing
commercial property and casualty insurance is mandatory. While TRIA appears to
provide the property and casualty sector with an increased ability to withstand
the effect of potential terrorist events during the next three years, any
companys results of operations or equity could nevertheless be materially
adversely impacted, in light of the unpredictability of the nature, targets,
severity or frequency of such potential events.

Germany

Converium Germany is regulated in Germany and is engaged exclusively in
the reinsurance business. It is thus an insurance enterprise within the meaning
of the German Insurance Supervision Act and as such is subject to governmental
supervision. This supervision is exercised by the Federal Insurance Supervisory
Office located in Bonn.

In contrast to insurance enterprises, companies that engage exclusively in
reinsurance activities are subject to a narrower scope of governmental
supervision. The supervisory authoritys monitoring of reinsurers consists of
ensuring that they comply with the specific accounting regulations applicable
to insurance enterprises. For this purpose, reinsurance enterprises are
required to submit quarterly and annual financial statements to the supervisory
authority.

In addition, reinsurers are obligated to submit detailed reports on the
nature and volume of their business to the supervisory authority in accordance
with the Ordinance on Reporting by Insurance Enterprises to the Federal
Insurance Supervisory Office.

The supervisory authority may, at its discretion, perform inspections at
the reinsurers premises to verify compliance with these statutory obligations.

In current practice, for the most part German reinsurers are only
indirectly supervised, principally through the supervision of primary insurance
companies. Exploration of subjecting German reinsurance companies to a more
extensive form of regulation and supervision has not progressed very far to
date. However, German reinsurance companies may become subject to more intense
regulation in the future. In particular, the Federal Insurance Supervisory
Office requires German insurance companies to monitor their reinsurance
agreements, which has led to the installation of internal rating systems for
reinsurers by German insurance companies.

European Union Directives

Our businesses in the United Kingdom and Germany, as well as in the other
member states of the European Union, or EU, and the European Economic Area, or
EEA, are impacted by EU directives. These directives are implemented through
legislation in each member state. Switzerland, which is not a member state of
the EU, entered into a treaty with the EU in 1989 which allows Swiss direct
insurers, other than life insurers, the free establishment of branches and
subsidiaries within the EU. Without being part of the EEA nor being bound by
contract, Switzerland reviews and largely conforms its financial services
regulations with EU Directives.

In October 2002, the European Commission released a draft Proposal for a
Directive of the European Parliament and of the Council concerning reinsurance
and retrocession. The draft proposal provides for certain protections, freedoms
of action and other benefits for reinsurance companies established within the
EU when engaging in business in other EU member states. As we are established
in Switzerland, if this Directive is eventually adopted, Converium AG, which
conducts substantial business in the EU, would not be entitled to these same
benefits within the EU as other reinsurers which have been established there.
The same, of course, would be true with respect to our Bermuda Branch.

C. ORGANIZATIONAL STRUCTURE

We are a multinational group of companies with insurance subsidiaries and
other companies organized in jurisdictions worldwide. Our significant
subsidiaries are Converium AG, Converium Finance S.A., Converium
Rückversicherung (Deutschland) AG and Converium Holdings (North America) Inc.,
which holds our subsidiaries
Converium Reinsurance (North America) Inc. and Converium Insurance (North
America) Inc.. Converium owns, directly or indirectly, 100% of all of our
operating companies. In January 2003, Converium purchased the
remaining 1.37%
interest in Converium Rückversicherung (Deutschland) AG which increased its
interest to 100.0%.

The following chart summarizes our corporate structure.

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(FLOW CHART OF CORPORATE STRUCTURE)

HVAG Hamburg Verischerungs-Aktiengesellschaft Hamburg/Germany, which was
50.001% owned by Converium Rückversicherung (Deutschland) AG was sold in
January 2003.



---

|(1) |  | Final regulatory approval of 25% shareholding obtained in March 2003.                                 
|--- |  | ------------------------------------------------------------------------------------------------------
|   
|(2) |  | Converiums interest in Converium Rückversicherung (Deutschland) AG
increased to 100% in January 2003.

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D. PROPERTY, PLANTS AND EQUIPMENT

Our operational head office is located at General Guisan  Quai 26, 8002
Zurich, Switzerland, where we lease an aggregate of 227,226 square feet. We
also maintain offices at:



| |  |  | our U.S. headquarters in New York, New York, at One Chase Manhattan
Plaza, New York, NY 10005 where we sublease an aggregate of 77,013
square feet and
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | our German headquarters in Cologne, Germany, at Clever Strasse 36,
50668 Köln, Germany where we lease an aggregate of 44,918 square feet              

In addition to our headquarter offices, we lease space for our branch and
marketing offices. In addition, we have administrative offices in Stamford,
Connecticut. We believe that these facilities are adequate for our present
needs in all material respects. We also hold other properties for investment
purposes.




ITEM 5. OPERATING AND FINANCIAL REVIEW AND PROSPECTS

A. OPERATING RESULTS

You should read the following discussion and analysis in conjunction with
our consolidated financial statements including the related notes to those
financial statements. Our consolidated financial statements have been prepared
in accordance with U.S. GAAP. This discussion contains forward-looking
statements that involve risks and uncertainties. Our actual results may differ
materially from the results described or implied by these forward-looking
statements. You should read the information under Risk Factors on page 6 of
this annual report for information about material risks and uncertainties that
affect our business and Cautionary Note Regarding Forward-Looking Statements
on page 3 for information about our presentation of forward-looking
information.

Overview

Converium Holding AG and subsidiaries (Converium Group or Converium)
is a leading global professional reinsurer, which offers a full range of
traditional non-life and life reinsurance products as well as innovative
non-traditional solutions to help clients manage capital and risk. Our
principal lines of non-life reinsurance include liability, property, motor,
credit and surety, workers compensation, aviation and space, accident and
health, marine, engineering and other specialized lines. The principal life
reinsurance product is ordinary life reinsurance, including quota share,
surplus coverage and financing contracts.

Converium Group was formed through the restructuring and integration of
substantially all of the third-party assumed reinsurance business of Zurich
Financial Services through a series of transactions (Transactions). On
December 1, 2001, Converium Group entered into a Master Agreement with Zurich
Financial Services (the Master Agreement), which set forth the terms of the
separation from Zurich Financial Services. In December 2001, Zurich Financial
Services sold 87.5% of its interest in Converium Group through an initial
public offering (IPO), which date represented the legal separation from
Zurich Financial Services. Zurich Financial Services remaining 12.5% interest
in Converium Group was sold in January 2002.

Subsequent to these Transactions, Converium has operated as an independent
company. However, under the Master Agreement, Converium has several ongoing
business relationships with Zurich Financial Services. See Item 10. -
Additional Information  C. Material Contracts and the notes to the
consolidated financial statements.

Based on calendar year 2001 third-party net premiums written, Converium
ranks among the ten largest global professional reinsurers. Converium is rated
A (Strong) with stable outlook by Standard & Poors Corporation and A
(Excellent) by A.M. Best Company, Inc. Our Standard & Poors and A.M. Best
ratings are not designed to be, and do not serve as, measures of protection or
valuation offered to investors and these claims-paying
ratings should not be relied on with respect to making an investment in
our securities. Standard & Poors and A.M. Best review their ratings
periodically and we cannot assure you that we will maintain our current ratings
in the future.

We organize our business and allocate our capital and other resources
through four operating segments:



| |  |  | Converium Zurich  Non-Life reinsurance
| | - |  | ---------------------------------------

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| |  |  | Converium North America  Non-Life reinsurance
| | - |  | ----------------------------------------------
|
| |  |  | Converium Cologne  Non-Life reinsurance      
|
| |  |  | Converium Life  Life reinsurance             

We prepare segregated financial information for each of our operating
segments. In the future, we plan to continue conducting our business and
measuring our financial and operating performance based on these segments.

We derive our revenues principally from:



| |  |  | premiums from our non-life and life reinsurance and insurance businesses                                
| | - |  | --------------------------------------------------------------------------------------------------------
|
| |  |  | investment income and investment gains from our portfolio of invested assets, net of investment expenses
|
| |  |  | interest on premium and loss deposits withheld by our clients                                           

Our costs and expenses principally consist of:



| |  |  | losses and loss adjustment expenses, which include:
| | - |  | ---------------------------------------------------



| |  |  | non-life reinsurance and insurance losses and loss adjustment expenses
| | - |  | ----------------------------------------------------------------------
|
| |  |  | death and other life reinsurance benefits                             



| |  |  | operating and administration costs, which include:
| | - |  | --------------------------------------------------



| |  |  | treaty and individual risk underwriting acquisition costs, commonly referred to as commissions
| | - |  | ----------------------------------------------------------------------------------------------
|
| |  |  | overhead costs, predominantly consisting of salaries and related costs                        
|
| |  |  | interest expenses                                                                             
|
| |  |  | income taxes                                                                                  

Our profitability depends to a large extent on:



| |  |  | the quality of our underwriting and pricing                                    
| | - |  | -------------------------------------------------------------------------------
|
| |  |  | the level of incurred losses and commissions                                   
|
| |  |  | the timing of loss and benefit payments                                        
|
| |  |  | our ability to earn appropriate yields on our investment portfolio             
|
| |  |  | our ability to manage operating and administration costs                       
|
| |  |  | our ability to efficiently and effectively manage risk, including retrocessions

When reviewing our financial statements, there are certain business
characteristics that affect the reporting of our results. The most significant
factors are set forth below.

Formation Transactions and Consolidated Financial Statements

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We prepare our financial statements on a U.S. GAAP basis. For periods
prior to December 11, 2001, we derived the financial information in this annual
report from the historical financial statements of Zurich Financial Services.
These statements present the financial condition, results of operations and
cash flows of the businesses which, prior to the Formation Transactions, were
owned by Zurich Financial Services and now comprise Converium. The Formation
Transactions included the:



| |  |  | creation of Converium Holding AG, based in Zug, Switzerland, as a
separate legal entity                                                                                                                                                                                            
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | reinsurance by Converium AG under the Quota Share Retrocession
Agreement described below of substantially all of the third-party
reinsurance business historically underwritten under the Zurich Re
brand name by the Zurich Re Zurich business unit of Zurich Financial
Services
|
| |  |  | establishment of the Funds Withheld Asset contemplated by the Quota Share Retrocession Agreement                                                                                                                                                                                   
|
| |  |  | transfer by Zurich Financial Services and its subsidiaries of cash and other assets and liabilities to Converium                                                                                                                                                                   

The assets transferred to us included:



| |  |  | approximately $70 million in shares in PSP Swiss Property Ltd., Zug, a company listed on the SWX Swiss Exchange                                                  
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | approximately $50 million in units of Zurich Invest Aktien Euroland,
an investment fund quoted on the Frankfurt Stock Exchange. This
investment was sold in 2002.
|
| |  |  | the shareholders equity of the legal entities comprising our operating businesses                                                                               
|
| |  |  | the operating assets of the Converium Zurich business                                                                                                            

The balance of the assets transferred to us consists of cash, of which
approximately $140 million was used by Converium AG to acquire residential and
commercial rental properties located in Switzerland from subsidiaries of Zurich
Financial Services.

Our historical financial results reflect the effects of the intercompany
financing agreement between Converium AG and an affiliate of Zurich Financial
Services, which we refer to as the Zurich Financing Agreement. This agreement
was established to help measure the profitability and cash flows of the
reinsurance operations of Zurich Insurance Company, or ZIC, and historically
accounted for substantially all of the investment returns of the Zurich Re
Zurich business unit of Zurich Financial Services. As a consequence of the
Formation Transactions, this agreement was cancelled, effective July 1, 2001.

Accordingly, our financial statements may not necessarily reflect the
results that Converium would have achieved on a stand-alone basis, mainly
because of different investment results. See  Investment Results for a
discussion of the impact on our investment results of the cancellation of the
Zurich Financing Agreement, the establishment of the Funds Withheld Asset
contemplated by the Quota Share Retrocession Agreement, and the related capital
contribution to Converium AG by Zurich Financial Services and its subsidiaries.

The following is a description of certain transactions that have been
entered into by Converium and Zurich Financial Services and their respective
subsidiaries to establish Converium as a stand-alone legal entity.

Converium Zurich.Historically, Converium Zurich was not a separate legal
entity and underwrote substantially all of its business pursuant to reinsurance
policies issued by ZIC and Zurich International (Bermuda) Limited, or ZIB, both
subsidiaries of Zurich Financial Services, and was operated as the Zurich Re
Zurich business unit of Zurich Financial Services. These subsidiaries were
retained by Zurich Financial Services. In June 2001, we incorporated Converium
AG, based in Zurich, which is a wholly owned
subsidiary of Converium Holding AG and is referred to as Converium AG.
Since October 1, 2001, Converium Zurich has written its new and renewal
business on the balance sheet of the new legal entity. The third-party
reinsurance business written by ZIC and ZIB under the Zurich Re brand name
with an inception date on or after January 1, 1987 was reinsured by Converium
Zurich pursuant to the Quota Share Retrocession Agreement. See
Item 10.  Additional Information  C. Material Contracts  Acquisition of the Converium
Zurich Business  Quota Share Retrocession Agreement for a description of this
agreement. This business is reflected in our financial statements as if it had
been written by Converium Zurich from the date of inception of the business.

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The transfer of the Converium Zurich business was accomplished pursuant to
the Quota Share Retrocession Agreement, on a funds withheld basis. This means
that Converium Zurich assumed all the liabilities (except certain liabilities
arising from the September 11th terrorist attacks), primarily consisting of
loss and loss adjustment expense reserves plus unearned premium balances,
relating to the business. ZIC and ZIB retained the assets which support this
business, and Converium Zurich receives an investment return derived from these
assets in the form of interest. In this annual report, we refer to the assets
retained by ZIC and ZIB as the Funds Withheld Asset. See
 Investment
Results and Item 4.  Information on the
Company  B. Business Overview  Investments. Under the Quota Share Retrocession Agreement, ZIC and ZIB remain
the legal counter-parties for the original insureds and Converium Zurich
reinsures ZIC and ZIB. Converium Zurich retains the profits and losses from
this business.

Converium Zurich has financial risks relating to the gross loss and loss
adjustment expense reserves and related third-party reinsurance recoverables
arising out of the business reinsured under the Quota Share Retrocession
Agreement. We manage all third-party retrocessions related to the reinsured
business and bear the credit risk for uncollectible reinsurance balances (with
the exception of reinsurance for September 11th events). Additionally, we have
a right of offset under the Quota Share Retrocession Agreement so that
reinsurance balances owed to ZIC and ZIB may be offset against the Funds
Withheld Asset directly. The Quota Share Retrocession Agreement provides that
ZIC and ZIB may not, during its term, cancel these existing third-party
retrocessions for the benefit of the reinsurance policies covered under the
agreement without the consent of Converium.

Under the Quota Share Retrocession Agreement, the interest payable to
Converium AG on the Funds Withheld Asset is based on fixed interest rates tied
to each of our major functional currencies. These interest rates were
calculated as if the assets had been invested in fixed income securities
denominated in the functional currencies as of July 1, 2001 and reflect the
estimated duration of the underlying reinsurance liabilities as of that date.
Interest on the Funds Withheld Asset is payable quarterly in the currencies of
the assets held and the amount of interest payable will vary due to changes in
the currency mix of the Funds Withheld Asset and changes in foreign exchange
rates. Among other things, this structure is designed to reduce our exposure to
foreign currency movements.

Converium North America.In North America, our business is conducted
through the legal entities Converium Reinsurance (North America) Inc. and
Converium Insurance (North America) Inc., which are held through Converium
Holdings (North America) Inc. Converium Reinsurance (North America) Inc. and
Converium Insurance (North America) Inc. were historically known as Zurich
Reinsurance (North America), Inc., and ZC Insurance Company, respectively.
Converium Holdings (North America) Inc. is a Delaware holding company
established to own our North American reinsurance and insurance operations.

Historically, a number of Zurich Financial Services business units wrote
business not managed by us on the Converium Reinsurance (North America) Inc.
balance sheet. These units included Zurich Financial Services internal
reinsurance division, referred to as GRI, and the Centre Group of companies,
referred to as Centre Group. As part of the Formation Transactions, the
business underwritten by GRI and Centre Group has been either novated or
retroceded to affiliates of Zurich Financial Services pursuant to certain
reinsurance and novation agreements. See Item 10.  Additional Information -
C. Material Contracts for a description of these agreements. Our financial
statements reflect the business that remains the financial responsibility of
Converium North America and exclude novated business from all periods
presented. The business that was retroceded is reported as 100% ceded for all
periods presented. Converium North America will only have financial
responsibility for the retroceded business if these affiliates of Zurich
Financial Services do not meet their reinsurance obligations. However, this
risk is mitigated by the fact that we hold reinsurance deposits to
collateralize the retroceded liabilities.

Converium Cologne and Converium Life.Converium Cologne and Converium Life
conduct their business through Converium Rückversicherung (Deutschland) AG,
which we refer to as Converium Germany. Converium Germany was historically
known as Zürich Rückversicherung (Köln) AG, or ZRK. Historically, Zurich Re
Zurich, ZIC and GRI all wrote reinsurance business through policies issued by
Converium Germany. As part of the Formation Transactions, business not managed
by us but written on contracts issued by Converium Germany was novated,
commuted or retroceded to affiliates of Zurich Financial Services or third
parties. Our financial statements reflect the business that remains the
financial responsibility of Converium Cologne and exclude novated and commuted
business from all periods presented.

Critical Accounting Policies

Our discussion and analysis of the financial condition and results of
operations are based upon our consolidated financial statements, which have
been prepared in accordance with accounting principles generally accepted in
the United States of America (U.S. GAAP). The preparation of these financial
statements in accordance with U.S. GAAP requires the use of estimates and
judgments that affect the reported amounts and related disclosures. Changes in
Converiums financial and operating environment could influence the accounting
estimates that support our financials statements. The following presents those
accounting policies that

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management believes are the most critical to its
operations and those policies that require significant judgment on the part of
management. The assumptions and judgments used by management are the ones they
believe to be the most appropriate at this time. However, as described below,
these estimates could change materially if different information or assumptions
were used. The descriptions below are summarized and have been simplified for
clarity. A more detailed description of these and other significant accounting
policies used by us in preparing our financial statements is included in the
Notes to the Consolidated Financial Statements.

Non-Life Loss and Loss Adjustment Reserves

We are required by applicable insurance laws and regulations, as well as
U.S. GAAP, to establish reserves for payment of losses and loss adjustment
expenses that arise from our non-life reinsurance and insurance businesses.
Loss and loss adjustment reserves are based on estimates of future payments to
settle claims, including legal and other expenses. The liability for unpaid
losses and loss adjustment expenses for property and casualty business includes
amounts determined from loss reports on individual cases and amounts for losses
incurred but not reported. We estimate our loss and loss adjustment reserves
on the basis of facts reported to us by ceding companies, in conjunction with
actuarial estimates and methodologies, which are commonly used in our industry,
for instances where we have not received reports from ceding companies. Our
estimates of losses and loss adjustment expenses are subject to assumptions
reflecting economic and other factors such as inflation rates, changes in
legislation, court rulings, case law and prevailing concepts of liability,
which can change over time. In addition, if ceding company data is not provided
to us on a timely basis, this could potentially impact the accuracy of our
estimates. We review and update our estimates and record changes to our loss
and loss adjustment reserves in current income.

Premiums

When we underwrite business, we receive premiums for assuming the risk.
When our client is an insurance company, we classify this as assumed premiums
written, and when our client is not an insurance company, we classify it as
direct premiums written. When combined, assumed premiums and direct premiums
are referred to as gross premiums. Should we choose to purchase reinsurance
protection for the business that we underwrite, then the premiums paid to the
retrocessionaire for the protection are recorded as ceded premiums written. The
amount represented by gross premiums written less ceded premiums written is
referred to as net premiums written. Net premiums written include premiums
reported to us by our clients and those we estimate and accrue on contracts
underwritten.

In a typical reporting period we generally earn a portion of the premiums
written during that period together with premiums that were written during
earlier periods. Likewise, some part of our premiums written will not be earned
until future periods. We allocate premiums written but not yet earned to an
unearned premium reserve, which represents a liability on our balance sheet. As
time passes, the unearned premium reserve is gradually reduced and the
corresponding amount is released through the income statement as premiums
earned. Premiums are typically earned on a pro rata basis over the period that
the coverage is in effect. Our premium earned and written estimates are
regularly reviewed and enhanced as information is reported to us by our clients
and we are able to refine our estimates and assumptions. Our estimation
procedures are also affected by the timeliness and comprehensiveness of the
information our clients provide to us.

Initially, we establish written premium estimates based on the
expectations of the underwriters established at the outset of a contract, and
based on information from ceding companies and our expectations of the total
premiums. As premium information on reinsurance contracts typically emerges
over several years, we have relied on the underwriter updates of premium
estimates, together with subsequent updates, for a period of several years from
inception of the contract. As part of our process to regularly review the
efficiency and effectiveness of our estimation procedures, we plan, during
2003, to enhance our process for establishing written premium estimates,
considering a variety of techniques, including regular analysis of the
underwriters estimates and shortening the duration during which written
premium estimates continue to be established.

We write a wide range of different types of insurance and reinsurance
policies, some of which are earned during periods shorter than one reporting
period, while some are earned during substantially longer periods. This mix of
business can change significantly from one period to the next and these changes
can cause the relationship between written and earned premiums to differ,
perhaps significantly, on a year-to-year basis. In our analysis of trends, we
relate the change in premiums earned to the change in premiums written.
Typically, differences in the percentage growth or decline between premiums
written and earned mainly reflect differences in our mix of business from year
to year.

Reinsurance Recoverables

We cede reinsurance to retrocessionaires in the normal course of business.
Under U.S. GAAP, reinsurance is recorded gross in the balance sheet.
Reinsurance assets (recoverables) include the balances due from
retrocessionaires for paid and unpaid losses and loss adjustment expenses,
ceded unearned premiums, and ceded future life benefits. Amounts recoverable
from retrocessionaires are estimated in a manner consistent with the
liabilities associated with the reinsured contracts.

We establish an allowance for potentially uncollectible recoverables from
retrocessionaires for amounts owed to us under reinsurance contracts that
management believes will not be collected. Failure of retrocessionaires to
indemnify us due to insolvencies or disputes could result in uncollectible
amounts and losses to Converium. In addition, we immediately charge operations
for any

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recoverable balances that are deemed to be uncollectible. Collateral
and other offsets are considered in determining the allowance or expense.

Foreign Currency Translation

In view of our global scale and the fact that more of our business is
transacted in US dollars than in any other currency, we report our financial
information in US dollars. However, a large portion of our revenues and
expenses are denominated in other currencies including the Euro, British pound,
Swiss franc, and Japanese yen. Since these currencies are functional currencies
for our business units, translation differences are recorded directly in
shareholders equity. Exchange rate differences arising from holding assets,
other than investment assets, and liabilities denominated in non-functional
currencies are recorded as income or expense, as the case may be, in our income
statement.

Invested Assets

Converiums fixed maturities and equity securities are classified as
available-for-sale and are carried at fair value. Fair values are generally
based upon quoted market prices, however when not available, they are estimated
using either values obtained from independent pricing services or quoted market
prices of comparable investments. Unrealized gains or losses on investments
carried at fair value are recorded in other comprehensive income, net of
deferred income taxes.

When declines in values of securities below cost or amortized cost are
considered to be other than temporary, an impairment charge is recorded as a
realized loss in the statement of income for the difference between cost or
amortized cost and estimated fair value. Other than temporary declines are
decreases in the cost or amortized cost of the security that exceed 20% over a
period of six months, or in excess of 50% regardless of the period of decline.
At managements judgment, we impair additional securities based on prevailing
market conditions by considering various factors such as the financial
condition of the issuer, the market value and the expected future cash flows of
the security.

Investment Results

Investment results are an important part of our overall profitability.
Our net investment income was $251.8 million for the year ended December 31,
2002, representing an increase of $23.1 million, or 10.1%, as compared to the
same period for 2001.

The increase is primarily from an increase in invested assets due to our
additional capitalization in late 2001 and the investment of cash flows from
operating activities during 2002. Our net investment income yield was 4.3% for
the year ended December 31, 2002 as compared to 4.7% and 4.0% for the same
periods in 2001 and 2000, respectively. The decline in 2002 reflects lower
interest rates worldwide relative to 2001. The lower yield in 2000 reflects
returns on the Zurich Funds Withheld Asset/Zurich Financing Agreement described
below. Yields are calculated based on the average of beginning and ending
investment balances (including cash and cash equivalents). We paid fees in the
amount of $6.1 million, $4.7 million, $6.7 million to our asset managers and
custodians in 2002, 2001 and 2000, respectively.

We had net realized capital losses for the year ended December 31, 2002 of
$10.3 million, compared to net realized capital losses of $18.4 million in 2001
and gains of $83.7 million in 2000. Included in the 2002 realized amounts were gains
on the restructuring of Converium North Americas fixed income portfolio of
$52.9 million, offset by losses on the restructuring of Converium North
Americas equity portfolio of $32.7 million and losses realized on the sale of
WorldCom fixed income investments of $15.8 million. Converium Cologne
recognized gains on the restructuring of its fixed income portfolio of $10.0
million, offset by losses on the restructuring of its equity portfolio of $15.5
million. The decrease of $102.1 million in 2001 reflected $82.5 million of
impairment losses on our equity portfolio.

We recorded $48.3 million of impairment charges on our equity portfolio
for the year ended December 31, 2002, compared to
$82.5 million for 2001 and $1.0
million for 2000. The decline in 2002 reflects the restructuring of our
Converium North America and Converium Cologne portfolios, whereby certain
unrealized losses were realized. Our impairment policy requires us to record,
as realized capital losses, declines in value that exceed 20% over a period of
six months or in excess of 50% regardless of the period of decline. At
managements judgment, we impair additional securities based on prevailing
market conditions.

The table below shows the impact, based on December 31, 2002 market value,
of potential future impairments of securities where the decline in value has
not yet exceeded 50%, as well as the additional potential exposure of our
portfolio to 5% and 10% declines in the stock market.

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|                     |  |            |       |            |  |       |      |                    |  |                     |       |   |  |   |      |   |  |   |      |  
|-------------------- |  | ---------- | ----- | ---------- |  | ----- | ---- | ------------------ |  | ------------------- | ----- | - |  | - | ---- | - |  | - | ---- | -
|                     |  | Loss in    |       | Loss in    |  | Total |      | Additional loss if |  | Additional loss if 
|($ in million)       |  | 0-3 Months |       | 4-6 Months |  | Loss  |      | Market declines 5% |  | Market declines 10%
|                     |  |            |       |            |  |       |      |                    |  |                    
|Decline in value (%) |  |            |       |            |  |       |      |                    |  |                     |       |   |  |   |      |   |  |   |      |  
|20-30%               |  | $          | (6.1  | )          |  | $     | (2.2 | )                  |  | $                   | (8.3  | ) |  | $ | (2.0 | ) |  | $ | (5.5 | )
|30-40%               |  |            | (4.0  | )          |  |       | (2.3 | )                  |  |                     | (6.3  | ) |  |   | 1.3  |   |  |   | 0.2  |  
|40-50%               |  |            | (1.6  | )          |  |       | (0.9 | )                  |  |                     | (2.5  | ) |  |   | (3.2 | ) |  |   | (4.5 | )
|                     |  |            |       |            |  |       |      |                    |  |                     |       |   |  |   |      |   |  |   |      |  
|Total                |  | $          | (11.7 | )          |  | $     | (5.4 | )                  |  | $                   | (17.1 | ) |  | $ | (3.9 | ) |  | $ | (9.8 | )
|                     |  |            |       |            |  |       |      |                    |  |                     |       |   |  |   |      |   |  |   |      |  

Our net investment income increased $52.7 million, or 29.9% for 2001 as
compared to 2000. The increase mostly resulted from Converium Zurich,
primarily due to the Funds Withheld Asset/Zurich Financing Agreement. Prior to
the Transactions, Converium Zurich did not have a separate investment
portfolio, and its investments and cash flows were managed by Zurich Financial
Services. In 2000, interest income was based on a formula designed to reflect
a total return on a diverse investment portfolio weighted approximately 75% to
bond indices and 25% to equity indices. Accordingly, during most of 2000,
Converium Zurichs investment income reflected the overall poor performance of
the stock markets for its equity component and generally declining interest
rates for its fixed income component. Beginning in 2001, Converium Zurich
received a fixed interest return on the Funds Withheld Asset based on fixed
interest rates tied to each of our major functional currencies and reflect the
estimated duration of the underlying reinsurance liabilities. For 2002 and
2001, the weighted average interest rate earned based on the currency mix of
the Funds Withheld Asset was 5.3 % and 5.4%, respectively. If we had obtained
the 5.4% weighted average interest rate in 2000, our investment income in 2000
on a pre-tax basis would have been approximately $30 million higher.

The following table shows the average pre-tax yields and investment
results on our investment portfolio for the years ended December 31, 2002, 2001
and 2000. The average pre-tax yield is calculated by dividing total investment
income for the period, net of investment expenses and realized capital gains
(losses), by the average of the beginning and period end investment balances
(including cash and cash equivalents).

|                                                              |  |                                                               |       |       |  |          |     |        |  |          |        |          |  |         |       |       |  |          |     |          |  |         |       |       |  |   |       |   |  |          |     |   |  |   |      |  
|------------------------------------------------------------- |  | ------------------------------------------------------------- | ----- | ----- |  | -------- | --- | ------ |  | -------- | ------ | -------- |  | ------- | ----- | ----- |  | -------- | --- | -------- |  | ------- | ----- | ----- |  | - | ----- | - |  | -------- | --- | - |  | - | ---- | -
|                                                              |  | Net Investment Income and Net Realized Capital Gains (Losses)
|                                                              |  | Year Ended December 31,                                      
|                                                              |  |                                                              
|                                                              |  | 2002                                                          |       | 2001  |  | 2000    
|                                                              |  |                                                               |       |       |  |         
|                                                              |  |                                                               |       |       |  |          |     |        |  | Realized |        |          |  |         |       |       |  |          |     | Realized |  |         |       |       |  |   |       |   |  | Realized
|                                                              |  |                                                               |       |       |  | Pre-tax  |     | gains  |  |          |        |          |  | Pre-tax |       | gains |  |          |     |          |  | Pre-tax |       | gains
|                                                              |  | Income                                                        |       | yield |  | (losses) |     | Income |  | yield    |        | (losses) |  | Income  |       | yield |  | (losses)
|                                                              |  |                                                               |       |       |  |          |     |        |  |          |        |          |  |         |       |       |  |         
|                                                              |  | ($ in millions, except for percentages)                      
|Fixed maturity securities                                     |  | $                                                             | 132.7 |       |  |          | 4.6 | %      |  | $        | 88.0   |          |  | $       | 130.0 |       |  |          | 5.7 | %        |  | $       | 45.9  |       |  | $ | 124.7 |   |  |          | 5.8 | % |  | $ | 3.0  |  
|Equity securities                                             |  |                                                               | 14.5  |       |  |          | 2.4 |        |  |          | (101.2 | )        |  |         | 9.7   |       |  |          | 1.5 |          |  |         | (64.6 | )     |  |   | 9.2   |   |  |          | 1.6 |   |  |   | 83.8 |  
|Funds Withheld Asset/ Zurich
Financing Agreement              |  |                                                               | 81.1  |       |  |          | 5.3 |        |  |          |       |          |  |         | 75.7  |       |  |          | 5.2 |          |  |         |      |       |  |   | 40.1  |   |  |          | 2.9 |   |  |   |     |  
|Short-term and other                                          |  |                                                               | 35.4  |       |  |          | 4.5 |        |  |          | 2.9    |          |  |         | 18.1  |       |  |          | 3.6 |          |  |         | 0.3   |       |  |   | 8.7   |   |  |          | 3.3 |   |  |   | (3.1 | )
|Less investment expenses                                      |  |                                                               | (11.9 | )     |  |          |    |        |  |          |        |          |  |         | (4.8  | )     |  |          |    |          |  |         |       |       |  |   | (6.7  | ) |  |          |    |   |  |   |      |  
|                                                              |  |                                                               |       |       |  |          |     |        |  |          |        |          |  |         |       |       |  |          |     |          |  |         |       |       |  |   |       |   |  |          |     |   |  |   |      |  
|Total                                                         |  |                                                               | 251.8 |       |  |          | 4.3 |        |  |          |        |          |  |         | 228.7 |       |  |          | 4.7 |          |  |         |       |       |  |   | 176.0 |   |  |          | 4.0 |   |  |   |      |  
|                                                              |  |                                                               |       |       |  |          |     |        |  |          |        |          |  |         |       |       |  |          |     |          |  |         |       |       |  |   |       |   |  |          |     |   |  |   |      |  
|Net realized capital (losses) gains                           |  |                                                               | (10.3 | )     |  |          |     |        |  |          |        |          |  |         | (18.4 | )     |  |          |     |          |  |         |       |       |  |   | 83.7  |   |  |          |     |   |  |   |      |  
|                                                              |  |                                                               |       |       |  |          |     |        |  |          |        |          |  |         |       |       |  |          |     |          |  |         |       |       |  |   |       |   |  |          |     |   |  |   |      |  
|Net investment income and
net realized capital (losses) gains |  | $                                                             | 241.5 |       |  |          | 4.1 |        |  |          |        |          |  | $       | 210.3 |       |  |          | 4.3 |          |  |         |       |       |  | $ | 259.7 |   |  |          | 5.9 |   |  |   |      |  
|                                                              |  |                                                               |       |       |  |          |     |        |  |          |        |          |  |         |       |       |  |          |     |          |  |         |       |       |  |   |       |   |  |          |     |   |  |   |      |  

The average pre-tax realized investment yields of our investment portfolio
for the years ended December 31, 2002, 2001, and 2000 were 4.1%, 4.3%, and
5.9%, respectively. Our net investment income yield was 4.3% for the year ended
December 31, 2002, as compared to 4.7% and 4.0% for the same periods in 2001
and 2000, respectively. The decline in 2002 reflects lower interest rates
worldwide relative to 2001. The lower yield in 2000 reflects returns on
the Funds Withheld Asset/Zurich Financing Agreement described below.

As a result of the amendment of the Zurich Financing Agreement on January
1, 2001 and its subsequent cancellation on July 1, 2001, and the establishment
of the Funds Withheld Asset on July 1, 2001, we expect our investment results
to differ from those we reported before. In particular, we believe that the
bond yield basis by which income on the Funds Withheld Asset is calculated, the
elimination of the 25% equity component and our ability to invest our new
capital and assets arising from future business will reduce the volatility of
our investment earnings as compared with the total return basis of calculating
investment income under the Zurich Financing Agreement. However, we cannot
assure you that we will experience improved investment results in the future,
or that these

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results will contribute materially to our results of operations.

Under the Quota Share Retrocession Agreement, the Funds Withheld Asset may
be prepaid to us in whole or in part as of the end of any calendar quarter. In
the event that the Funds Withheld Asset is prepaid, we would have to reinvest
these assets in investments which may not provide yields comparable to those
payable under the Quota Share Retrocession Agreement. To the extent we are not
able to invest these funds at comparable yields, our investment income could be
adversely affected.

Restructuring Charge

In connection with the Formation Transactions, Converium Group incurred
$50.0 million in restructuring costs during 2001. Any restructuring costs
relating to the Formation Transactions in excess of this amount were borne by
Zurich Financial Services. The restructuring costs, according to the Master
Agreement, included the costs and expenses of the Formation Transactions,
including advisors fees, retention plan costs expensed in 2001 and stamp duty
taxes. Converium Group did not incur any restructuring costs during 2002 or
2000

Income Tax

We are subject to local income tax requirements in the jurisdictions in
which we operate. The income tax expense reflected in our financial statements
therefore reflects a number of different local tax rates, and as a result may
change from one period to the next depending on both the amount and the
geographic contribution of our taxable income. In addition, the income tax we
pay is based on local tax statements in which our reported income and expenses
may differ from that reported in our financial statements.

As a result of changes in our geographic contribution of taxable income as
well as changes in the amount of our non-taxable income and expense, the
relationship between our reported income before tax and our income tax expense
may change significantly from one period to the next. For more information
about our income tax expenses, see Note 11 to our financial statements.

Regulatory and Legislative Environment

Our business is subject to regulation in all of the jurisdictions in which
we operate. Regulation includes compliance with applicable laws covering
operating and reporting requirements, monitoring of solvency and reserves and
asset valuation. Changes in government policy or taxation also may affect our
results of operations. In addition, political, judicial and legislative
developments could broaden the intent and scope of coverage of existing
policies written by our clients, which may result in additional liabilities for
reinsurers. See Item 4.  Information on the Company
 B. Business Overview  Regulation.

Combined Results of Operations

The table below presents summary income statement data for the years ended
December 31, 2002, 2001 and 2000.

|                                                              |                |   |                         |         |      |   |          |         |  |   |          |         | 
|------------------------------------------------------------- | -------------- | - | ----------------------- | ------- | ---- | - | -------- | ------- |  | - | -------- | ------- | 
|                                                              |                |   | Year Ended December 31,
|                                                              |                |   |                        
|                                                              |                |   | 2002                    |         | 2001 |   | 2000    
|                                                              |                |   |                         |         |      |   |         
|                                                              |                |   | ($ in millions)        
|Revenues:                                                     |                |   |                         |         |      |   |          |         |  |   |          |        
|Gross premiums written                                        |                | $ | 3,535.8                 |         |      | $ | 2,881.2  |         |  | $ | 2,565.8  |        
|Net premiums written                                          |                | $ | 3,322.2                 |         |      | $ | 2,482.6  |         |  | $ | 1,996.0  |        
|Net premiums earned                                           |                | $ | 3,165.5                 |         |      | $ | 2,295.2  |         |  | $ | 1,861.5  |        
|Net investment income and net realized capital (losses)
gains |                |   | 241.5                   |         |      |   | 210.3    |         |  |   | 259.7    |        
|Other (loss) income                                           |                |   | (1.2                    | )       |      |   | (5.8     | )       |  |   | 29.3     |        
|                                                              |                |   |                         |         |      |   |          |         |  |   |          |        
|                                                              | Total revenues |   |                         | 3,405.8 |      |   |          | 2,499.7 |  |   |          | 2,150.5 | 
|                                                              |                |   |                         |         |      |   |          |         |  |   |          |        
|Benefits, losses and expenses:                                |                |   |                         |         |      |   |          |         |  |   |          |        
|Losses and loss adjustment expenses and life benefits         |                |   | (2,492.0                | )       |      |   | (2,300.5 | )       |  |   | (1,604.5 | )      
|Underwriting acquisition costs                                |                |   | (666.7                  | )       |      |   | (508.1   | )       |  |   | (454.4   | )      
|Operating and administration expenses                         |                |   | (173.3                  | )       |      |   | (146.4   | )       |  |   | (116.0   | )      
|Interest expense                                              |                |   | (16.4                   | )       |      |   | (24.2    | )       |  |   | (17.1    | )      
|Amortization of goodwill                                      |                |   |                        |         |      |   | (7.8     | )       |  |   | (7.3     | )      
|Restructuring costs                                           |                |   |                        |         |      |   | (50.0    | )       |  |   |         |        
|                                                              |                |   |                         |         |      |   |          |         |  |   |          |        

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|                   |                                     |  |                         |          |      |  |       |          |   |  |      |          |  
|------------------ | ----------------------------------- |  | ----------------------- | -------- | ---- |  | ----- | -------- | - |  | ---- | -------- | -
|                   |                                     |  | Year Ended December 31,
|                   |                                     |  |                        
|                   |                                     |  | 2002                    |          | 2001 |  | 2000 
|                   |                                     |  |                         |          |      |  |      
|                   |                                     |  | ($ in millions)        
|                   | Total benefits, losses and expenses |  |                         | (3,348.4 | )    |  |       | (3,037.0 | ) |  |      | (2,199.3 | )
|                   |                                     |  |                         |          |      |  |       |          |   |  |      |         
|                   | Income (loss) before tax            |  |                         | 57.4     |      |  |       | (537.3   | ) |  |      | (48.8    | )
|                   |                                     |  |                         |          |      |  |       |          |   |  |      |         
|Income tax benefit |                                     |  | 49.4                    |          |      |  | 169.9 |          |   |  | 19.5 |         
|                   |                                     |  |                         |          |      |  |       |          |   |  |      |         
|                   | Net income (loss)                   |  | $                       | 106.8    |      |  | $     | (367.4   | ) |  | $    | (29.3    | )
|                   |                                     |  |                         |          |      |  |       |          |   |  |      |         

The net income as presented in our historical financial statements is not
necessarily representative of the net income and return on equity we would have
achieved as a stand-alone legal entity, principally with respect to investment
results. See - Investment Results.

Year Ended December 31, 2002 Compared to Year Ended December 31, 2001

Converium Consolidated Net Income (Loss)

Converium reported pre-tax operating income (defined as pre-tax income or
loss excluding pre-tax net realized capital gains or losses, amortization of
goodwill and restructuring costs) of $67.7 million for the year ended December
31, 2002, an improvement of $528.8 million as compared to the pre-tax operating
loss of $461.1 million for 2001. The improvement in operating results was due
to significant premium growth and an overall lower non-life combined ratio.
Net income improved $474.2 million to $106.8 million for the year ended
December 31, 2002.

The table below shows the reconciliation between pre-tax operating income
and pre-tax income.

|                                            |  |  |                         |      |      |  |      |        |   |  |   |       
|------------------------------------------- |  |  | ----------------------- | ---- | ---- |  | ---- | ------ | - |  | - | ------
|Pre-Tax Operating Income                    |  |  |                         |      |      |  |      |        |   |  |   |       
|($ million)                                 |  |  |                         |      |      |  |      |        |   |  |   |       
|                                            |  |  | Year Ended December 31,
|                                            |  |  |                        
|                                            |  |  | 2002                    |      | 2001 |  | 2000
|                                            |  |  |                         |      |      |  |     
|Income (loss) before taxes                  |  |  | $                       | 57.4 |      |  | $    | (537.3 | ) |  | $ | (48.8 
|Pre-tax net realized capital losses (gains) |  |  |                         | 10.3 |      |  |      | 18.4   |   |  |   | (83.7 
|Amortization of goodwill                    |  |  |                         |     |      |  |      | 7.8    |   |  |   | 7.3   
|Restructuring costs                         |  |  |                         |     |      |  |      | 50.0   |   |  |   |      
|                                            |  |  |                         |      |      |  |      |        |   |  |   |       
|Pre-tax operating income                    |  |  | $                       | 67.7 |      |  | $    | (461.1 | ) |  | $ | (125.2
|                                            |  |  |                         |      |      |  |      |        |   |  |   |       

Our 2002 results were impacted by the recognition of a $148.5 million
provision for net reserve development on prior years business, representing a
movement of 3.6% of the net non-life reserves at December 31, 2001. Converium
North America recorded reserve development of $137.2 million, and Converium
Cologne recorded an additional $31.1 million in reserves related to prior
years business. This was partially offset by positive reserve development of
$19.8 million in Converium Zurich. In addition, our results were also impacted
by losses from the August 2002 European floods of $51.1 million (net of
reinstatement premiums of $3.1 million), primarily from reinsurance contracts
written in Germany, the Czech Republic, Austria and Italy.

Our net investment income increased 10.1% to $251.8 million for the year
ended December 31, 2002 as compared to the same period for 2001. Our net
realized capital losses were less than 2001. We recorded $10.3 million of
pre-tax net realized capital losses on our investment portfolio, which included
$48.3 million of impairment charges on our equity portfolio, which compared to
$18.4 million of pre-tax net realized capital losses, including $82.5 million
of impairment charges in 2001.

The above results were affected by a tax benefit of $49.4 million in 2002
compared to a benefit of $169.9 million in 2001. The tax benefit in 2002 is
largely due to a one-time ruling regarding a tax loss carryforward and pre-tax
losses in the United States and Germany. The tax benefit in 2001 is due to
pre-tax losses. The components of net income (loss) are described below.

Converium Consolidated Premiums

Gross premiums written for the year ended December 31, 2002 increased
$654.6 million, or 22.7% compared to the same period for 2001. Net premiums
written for 2002 increased $839.6 million, or 33.8% compared to 2001. The
growth in net premiums written exceeded the growth in gross premiums written
due to an increased retention rate in 2002 compared to 2001, and a ceded

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premiums charge in 2001 of $28.5 million related to coverage from Zurich
Financial Services for the September 11th terrorist attacks. For the year
ended December 31, 2002, we retained 94.0% of our gross premiums written,
compared to 86.2% in 2001.

The increases in non-life net premiums written predominately reflect the
hardening market conditions in 2002. As described in the following discussion
of results by business segment, Converium Zurich experienced the largest
premium growth, with net premiums written increasing $485.5 million, or 41.0%
over 2001. Converium North America grew by $295.5 million, or 32.9%, and
Converium Cologne grew $32.0 million, or 12.4% in 2002 compared to 2001.

Net premiums earned for the year ended December 31, 2002 increased $870.3
million, or 37.9% compared to 2001. Net premiums earned increased at a higher
rate than net premiums written due to the growth and seasonality of certain
business of Converium Zurich.

Converium Consolidated Net Investment Income and Net Realized Capital Losses

Investment results are an important part of our overall profitability. Our
net investment income was $251.8 million for the year ended December 31, 2002,
representing an increase of $23.1 million, or 10.1% as compared to the same
period for 2001.

The increase is primarily from an increase in invested assets due to our
additional capitalization in late 2001 and the investment of cash flows from
operating activities during 2002. Our net investment income yield was 4.3% for
the year ended December 31, 2002 as compared to 4.7% in 2001. The decline in
2002 reflects lower interest rates worldwide relative to 2001. Yields are
calculated based on the average of beginning and ending investment balances
(including cash and cash equivalents). We paid fees in the amount of $6.1
million and $4.7 million to our asset managers and custodians in 2002 and 2001,
respectively.

We had net realized capital losses for the year ended December 31, 2002 of
$10.3 million, compared to net realized capital losses of $18.4 million in
2001. Included in the 2002 realized amounts were gains on the restructuring of
Converium North Americas fixed income portfolio of $52.9 million, offset by
losses on the restructuring of Converium North Americas equity portfolio of
$32.7 million, and losses realized on the sale of WorldCom fixed income
investments of $15.8 million. Converium Cologne recognized gains on the
restructuring of its fixed income portfolio of $10.0 million, offset by losses
on the restructuring of its equity portfolio of $15.5 million. The decrease of
$102.1 million in 2001 reflected $82.5 million of impairment losses on our
equity portfolio.

We recorded $48.3 million of impairment charges on our equity portfolio
for the year ended December 31, 2002, compared to
$82.5 million for 2001. The decline
in 2002 reflects the restructuring of our Converium North America and Converium
Cologne portfolios, whereby certain unrealized losses were realized. Our
impairment policy requires us to record, as realized capital losses, declines
in value that exceed 20% over a period of six months, or in excess of 50%
regardless of the period of decline. At managements judgment, we impair
additional securities based on prevailing market conditions.

Converium Consolidated Other Loss

Other loss for the years ended December 31, 2002 and 2001 was $1.2 million
and $5.8 million, respectively. The other loss in 2002 represents write-offs
of certain uncollectible reinsurance recoverables, offset by interest income on
reinsurance deposits and interest relating to a dispute settlement. The other
loss in 2001 is primarily due to interest expense on funds held under
reinsurance contracts and losses from investments in private equity funds.

Converium Consolidated Losses and Loss Adjustment Expenses and Life Benefits

Our losses and loss adjustment expenses and life benefits incurred
increased $191.5 million, or 8.3% in 2002 as compared to 2001. The non-life
loss and loss adjustment expense ratio was 77.8% in 2002, compared to 99.7% in
2001. Our reported losses and loss adjustment expenses and life benefits have
been impacted by the following loss events: net reserve development, European
floods, September 11th terrorist attacks, Enron Chapter 11 reorganization and
variable annuity life losses.

Reserve development:In 2002, Converium Group strengthened reserves by
$148.5 million. Throughout the year, increased loss experience related to
prior years continued to emerge. During 2002, Converium North America engaged
in an in-depth actuarial reserve analysis, which resulted in an increase of
$137.2 million in provisions for losses, primarily related to accident years
1997 through 2000, including $70.3 million of additional provisions in the
fourth quarter on its commercial umbrella, miscellaneous casualty, medical
errors and omissions liability, motor liability, and workers compensation
lines of business. Converium Cologne

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recorded $31.1 million of additional loss
provisions related to prior years business. Partially offsetting this reserve
strengthening, Converium Zurich recorded $19.8 million of positive reserve
development in 2002. This resulted primarily from favorable development on
prior year liability business and property excess of loss business from
underwriting year 2001.

In 2001, Converium Group strengthened reserves by $123.6 million.
Converium Group retained an actuarial consulting firm to perform an independent
review of non-life net reserves as of December 31, 2000. This review reflected
certain information that became available after the issuance of the December
31, 2000 financial statements, including most fourth quarter 2000 and some
first quarter 2001 reports from ceding companies, who typically report on a
one-quarter lag. Based on the independent review and Converium Groups own
evaluations of these new developments, additional provisions of $112.0 million,
net of reinsurance, were recorded in the first half of 2001, principally
related to accident years 2000 and prior at Converium North America. Converium
Group recorded an additional $11.6 million of net adverse loss reserve
development in the second half of 2001. For 2001, Converium North America
recorded adverse development of $164.0 million, mainly related to general
liability, auto liability and umbrella business written in 1996 through 1999.
Converium Cologne strengthened its asbestos and environmental reserves by $11.5
million and performed an in-depth analysis of its European and Middle East
non-proportional motor book, which added an additional $20.0 million in
reserves. Converium Cologne also recorded an additional $9.8 million of
reserves for energy and property business in the Middle East. Partially
offsetting the above, loss reserves at Converium Zurich developed positively by
$81.7 million in 2001, reflecting positive development of $30.0 million in
aviation and space, primarily on non-proportional treaty business for years
1998 through 2000. Additional positive development was experienced in casualty
lines of business.

Impact of Property Catastrophe Business:A substantial portion of our
property catastrophe business is written on an excess of loss basis. Related
to this business, we had gross premiums written of $172.9 million and $148.1
million and a net technical result (defined as net premiums earned minus losses
and loss adjustment expenses and underwriting acquisition costs) of $60.4
million and $29.8 million in 2002 and 2001, respectively. Included in the net
technical results are the following large natural catastrophe losses, defined
as those in excess of $10.0 million or more of net incurred losses to us: the
European floods in 2002 ($51.1 million) and the El Salvador earthquake in 2001
($14.2 million).

European floods:In August 2002, Germany, the Czech Republic, Austria and
Italy experienced severe floods. Based on the information received from clients
and from other market sources, we recorded gross losses of $54.2 million,
respectively net losses of $51.1 million, nearly all of which came from our
Converium Cologne segment. We have external reinsurance protection in excess of
this amount. The loss estimate contains substantial IBNR estimates for
contracts where no specific information has been received from clients.

September 11th terrorist attacks:The September 11th terrorist attacks in
the United States represented the largest loss event in the insurance
industrys history. In 2001, we recorded gross losses and loss adjustment
expenses of $692.9 million arising out of the terrorist attacks. Net of
retrocessional recoveries and the cap from Zurich Financial Services, our
recorded losses and loss adjustment expenses were $289.2 million, coming
primarily from our aviation and property lines of business. The remainder of
the losses were from our workers compensation, life and third-party liability
lines of business. Zurich Financial Services, through its subsidiaries, agreed
to arrangements that cap our net exposure for losses and loss adjustment
expenses arising out of the September 11th terrorist attacks at $289.2 million.
As part of these arrangements, these subsidiaries of Zurich Financial Services
have agreed to take responsibility for non-payment by the retrocessionaires of
Converium Zurich and Converium Germany with regard to losses arising out of the
September 11th terrorist attacks in excess of the $289.2 million cap. While the
cap does not cover non-payment by the retrocessionaires of Converium North
America, our only retrocessionaire for this business is a unit of Zurich
Financial Services. Therefore, we are not exposed to potential non-payments by
retrocessionaires for these events in excess of the $289.2 million cap,
although we will be exposed to the risk of non-payment of Zurich Financial
Services units and we are exposed to credit risk from these subsidiaries of
Zurich Financial Services.

During 2002, there was no additional development in net reserves for the
September 11th terrorist attacks (as losses are capped at $289.2 million by
Zurich Financial Services).

Enron Chapter 11 reorganization:In December 2001, Enron Corporation
announced that it and certain of its subsidiaries had filed voluntary petitions
for Chapter 11 reorganization. We recorded $67.0 million in losses in 2001,
representing our aggregate limits under existing reinsurance contracts in
connection with Enron. These exposures result principally from credit and
surety and, to a lesser extent, from liability lines of business in the
Converium Zurich and Converium North America operating segments.

Asbestos and environmental exposures:As of December 31, 2002 and 2001, we
had reserves for environmental impairment liability and asbestos-related claims
of $44.6 million for both years. Our survival ratio (calculated as the
average ratio of reserves

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held, including IBNR, over claims paid over the last
three years) for asbestos and environmental reserves was 13.5 years at December
31, 2002, compared to 13.8 years at December 31, 2001.

Variable Annuity Life:In 2002, following the ongoing downturn of the
international equity markets, Converium Life reported losses of $28.1 million,
including paid claims of $12.5 million and reserve strengthening of $15.6
million for a closed block of long-term business (variable annuity business) in
order to align the reserves to the expected future life benefits. In 2001,
Converium Life reported losses of $16.7 million for its variable annuity life
book.

Converium Consolidated Underwriting Acquisition Costs

Underwriting acquisition costs primarily relate to commissions on treaty
and individual risk business. Our underwriting acquisition costs increased
31.2% in 2002 over 2001. This increase is mainly related to the increase in net
premiums earned. The non-life underwriting expense ratio for the years ended
December 31, 2002 and 2001 was 21.1% and 23.2%, respectively. The reduction in
2002 comes from the Converium Zurich and Converium North America segments.

Converium Consolidated Operating and Administration Expenses

Operating and administration expenses increased 18.4% in 2002 over 2001.
This increase primarily arose from increases in Converium Zurich due to
additional headcount and related overhead costs, including information
technology, needed to support business growth, as well as an increased cost
level required for new functions and departments required as an independent
company. Operating and administration expenses were also impacted in 2002 by
the decrease of the US dollar against the hardening European currencies.
Various costs related to the initial public offering increased operating and
administration expenses in 2001. Despite the increase in operating and
administration expenses, the non-life administration expense ratio declined to
5.3% in 2002, compared to 6.1% in 2001. This decline was due to strong premium
growth.

We fully charge the cost of options to operating expense under the fair
value approach of SFAS No. 123, Accounting for Stock-Based Compensation, and
recorded compensation expense of $5.8 million and $3.5 million in 2002 and
2001, respectively, in connection with Converium Groups stock option plans.

Converium Consolidated Interest Expense, Amortization of Goodwill and Restructuring Costs

Our interest expense for the year ended December 31, 2002 was $16.4
million compared to $24.2 million in 2001. Interest expense on our Senior
Notes was $14.2 million in each year. The increase in 2001 versus 2002 is
principally due to an increase in short-term borrowings from Zurich Financial
Services, which had a higher average amount outstanding during 2001.

At January 1, 2002 we adopted SFAS 142, Goodwill and Other Intangible
Assets, which prohibits the amortization of goodwill. Amortization of
goodwill in 2001 was $7.8 million. Restructuring costs were $50.0 million in
2001 and were incurred relating to our initial public offering and related
transactions. No restructuring costs were incurred during 2002.

Converium Consolidated Income Tax Benefit

Our income tax benefit was $49.4 million and $169.9 million for the years
ended December 31, 2002 and 2001, respectively. Our effective tax rate for 2002
was a benefit of 86.1%, compared to an expected weighted average tax benefit
rate of 24.9%. This rate was derived by calculating the weighted average of the
expected statutory income tax in relation to the income (loss) generated in
the various territories in which we operate. Our 2002 taxes reflect a
one-time benefit of $21.3 million as the result of a ruling received by
Converium AG from the Swiss tax authorities regarding a tax loss carryforward.
Other differences include the impact from currency translation adjustments and
changes in tax rates. Our effective tax rate was 31.6% in 2001.

Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium Consolidated Net Loss

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We reported a net loss of $367.4 million for 2001 compared to a net loss
of $29.3 million for 2000. As discussed below, pre-tax losses of $289.2 million
were recognized for the September 11th terrorist attacks, net pre-tax adverse
loss development of $123.6 million was recorded related to accident years 2000
and prior, $67.0 million in pre-tax losses were incurred relating to the Enron
Chapter 11 reorganization and $28.5 million in ceded premiums were recorded for
September 11th terrorist attacks and other coverages from Zurich Financial
Services.

In addition, the net loss included $82.5 million in pre-tax charges
against income for publicly traded equity investments that were impaired. The
impairment charges reflect continued deterioration in global stock markets,
particularly in North America. As a result of these charges, our gross pre-tax
unrealized losses in our equity portfolio declined from $65.9 million at
December 31, 2000 to $25.1 million at December 31, 2001 and our net pre-tax
unrealized position improved from a loss of $1.3 million at December 31, 2000
to a gain of $22.1 million at December 31, 2001.

The above charges were offset by a tax benefit of $169.9 million in 2001
compared to a benefit of $19.5 million in 2000.

Converium Consolidated Premiums

Our consolidated gross premiums written in 2001 were $2,881.2 million,
compared to $2,565.8 million in 2000, representing an increase of $315.4
million, or 12.3%. Our consolidated net premiums written in 2001 were $2,482.6
million, compared to $1,996.0 million in 2000, representing an increase of
$486.6 million, or 24.4%. The increase in gross premiums written is less than
the increase in net premiums written partially due to the elimination of
certain treaties where Converium North America assumed the risk and then
retroceded material amounts to other reinsurers.

The increase in premiums written in 2001 was driven predominately by
increasing our share of clients business upon renewal and by new business
written by Converium Zurich, which had an increase in net premiums written of
$366.7 million, as described more fully in the segment discussions which
follow.

The above premium growth was offset by reduced premium volume due to the
non-renewal of certain treaties in 2001 that did not meet our underwriting
performance targets, primarily in the liability lines.

Our consolidated net premiums earned in 2001 were $2,295.2 million
compared to $1,861.5 million in 2000, representing an increase of $433.7
million, or 23.3%. This increase reflects our growth in net premiums written.

Converium Consolidated Net Investment Income and Net Realized Capital
(Losses) Gains

Our consolidated net investment income was $228.7 million in 2001 compared
to $176.0 million in 2000, representing an increase of $52.7 million, or 29.9%.
The increase is from Converium Zurich, primarily due to the Funds Withheld
Asset/Zurich Financing Agreement, as described more fully in the segment
discussions which follow.

Converiums consolidated net realized capital losses were $18.4 million in
2001 compared to net realized capital gains of $83.7 million in 2000,
representing a decrease of $102.1 million. The decrease reflects $82.5 million
of impairment losses on our equity portfolio following continued deterioration
in global stock markets, particularly in the telecommunication and technology
sectors in North America where market values were substantially below our cost
for a number of months, and where we did not expect value to recover in the
near term.

Converium Consolidated Other (Loss) Income

Our other loss in 2001 was $5.8 million compared to other income of $29.3
million in 2000, representing a decrease of $35.1 million. Reasons for this
decrease include the decline in the market value of our investments in private
equity funds of $6.2 million relative to 2000 and interest expense of $6.7
million on an aggregate excess of loss cover purchased by Converium North
America in 2001, with the balance primarily representing reduced interest
income on third-party reinsurance deposits.

Converium Consolidated Losses and Loss Adjustment Expenses and Life Benefits

Our consolidated net losses and loss adjustment expenses and life benefits
in 2001 were $2,300.5 million compared to $1,604.5 million in 2000,
representing an increase of $696.0 million, or 43.4%. The adjusted non-life
loss and loss adjustment expense

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ratio was 76.6% in 2001, compared to 82.9% in
2000. The adjusted ratio was calculated excluding the impact of the following
loss events: the September 11th terrorist attacks, including the related ceded
premium to Zurich Financial Services, the Enron Chapter 11 reorganization and
net reserve development. The actual non-life loss and loss adjustment expense
ratio was 99.7% in 2001, compared to 86.6% in 2000.

The September 11th terrorist attacks in the United States represent the
largest loss event in the insurance industrys history. As of December 31,
2001, we recorded gross losses and loss adjustment expenses of $692.9 million
arising out of the terrorist attacks. Net of retrocessional recoveries and the
cap from Zurich Financial Services, our recorded losses and loss adjustment
expenses were $289.2 million, coming primarily from our aviation and property
lines of business. The remainder of the losses were from our workers
compensation, life and third-party liability lines of business. Our gross
estimates are subject to adjustment as more information becomes known and as
claims are received.

Zurich Financial Services, through its subsidiaries, has agreed to
arrangements that cap our net exposure for losses and loss adjustment expenses
arising out of the September 11th terrorist attacks at $289.2 million. As part
of these arrangements, these subsidiaries of Zurich Financial Services have
agreed to take responsibility for non-payment by the retrocessionaires of
Converium Zurich and Converium Germany with regard to losses arising out of the
September 11th attacks in excess of the $289.2 million cap. While the cap does
not cover non-payment by the retrocessionaires of Converium North America, our
only retrocessionaire for this business is a unit of Zurich Financial Services.
Therefore, we are not exposed to potential non-payments by retrocessionaires
for these events in excess of the $289.2 million cap, although we will be
exposed to the risk of non-payment of Zurich Financial Services units and we
are exposed to credit risk from these subsidiaries of Zurich Financial
Services.

On December 2, 2001, Enron Corporation announced that it and certain of
its subsidiaries had filed voluntary petitions for Chapter 11 reorganization.
We recorded $67.0 million in losses as of December 31, 2001, representing our
aggregate limits under existing reinsurance contracts in connection with Enron.
These exposures result principally from credit and surety and, to a lesser
extent, from liability lines of business in the Converium Zurich and Converium
North America operating segments.

In the first half of 2001, we recorded $112.0 million of net adverse loss
reserve development. In the second quarter of 2001, we retained an actuarial
consulting firm to perform an independent review of non-life net reserves as of
December 31, 2000. The review began during the second quarter of 2001 and was
completed in the third quarter of 2001. The independent analysis reflected
certain information that became available after the issuance of the December
31, 2000 financial statements, including most of fourth quarter 2000 and some
first quarter 2001 reports from ceding companies, who typically report on a
one-quarter lag. Based on the independent review and our own evaluations of
these new developments, additional provisions of $112.0 million, net of
reinsurance, were recorded in the first half of 2001, principally related to
accident years 2000 and prior at Converium North America. The adverse loss
development mainly related to general liability, commercial auto liability and
umbrella treaty business written in 1996 through 1999. The net amounts of
reserve development by segments were $125.0 million of adverse development at
Converium North America offset by $13.0 million of net positive development at
Converium Zurich.

In the second half of 2001, we recorded an additional $11.6 million of net
adverse loss reserve development based on our year end review of non-life
reserves. Converium Cologne increased its asbestos and environmental reserves
by $11.5 million, in order to increase the survival ratio from 13.1 years at
December 31, 2000 to 13.8 years at December 31, 2001. Converium Cologne also
performed an in-depth analysis of its European and Middle Eastern
non-proportional motor book in light of current trends, including lower
interest rates, higher long-term disability costs and longevity risk. As a
result of this review, an additional $20.0 million in reserves were recorded
for European and Middle Eastern motor lines for years 2000 and prior. Converium
Cologne also recorded an additional $9.8 million of reserves for energy and
property business in the Middle East. Converium North America recorded adverse
development of $39.0 million, mainly related to general liability, auto
liability and umbrella business written in 1996 through 1999. Partially
offsetting the above, loss reserves at Converium Zurich developed positively by
$69.0 million, reflecting positive
development of $30.0 in aviation and space, primarily on non-proportional
treaty business for the years 1998 through 2000. Additional positive
development was experienced in casualty lines of business.

In addition to the adverse loss development discussed above, in the fourth
quarter of 2001 Converium Cologne recorded a loss of $26.8 million for
liability and recall costs related to the withdrawal of a German
cholesterol-reducing drug (Bayer Lipobay®, or Baycol®).

Converium Consolidated Underwriting Acquisition Costs

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Our underwriting acquisition costs, which primarily relate to commissions
on treaty and individual risk business, were $508.1 million in 2001 compared to
$454.4 million in 2000, representing an increase of $53.7 million, or 11.8%.
This increase is mainly related to the increase in net premiums earned. Our
non-life underwriting expense ratio in 2001 was 23.2%, compared to 23.9% in
2000. This decrease is due to a lower underwriting expense ratio for Converium
Zurich and the non-renewal by Converium Cologne of several contracts with high
commissions.

Converium Consolidated Operating and Administration Expenses

Our operating and administration expenses in 2001 were $146.4 million
compared to $116.0 million in 2000, representing an increase of $30.4 million,
or 26.2%. This increase was the result of growth and an increased cost level
required for new functions and departments required as an independent company,
such as treasury, investor relations and communications. In addition, various
costs related to the initial public offering, such as share-based compensation,
increased operating and administration expenses in 2001. Despite the increase
in operating and administration expenses, the administration expense ratio
declined to 6.1% in 2001, compared to 6.4% in 2000.

Converium Consolidated Interest Expense, Amortization of Goodwill and
Restructuring Costs

Our interest expense in 2001 was $24.2 million compared to $17.1 million
in 2000, representing an increase of $7.1 million, or 41.5%. This increase is
principally due to an increase in short-term borrowings from Zurich Financial
Services, which caused Converium to have a higher average amount outstanding
during 2001.

Amortization of goodwill in 2001 was $7.8 million compared to $7.3 million
in 2000, representing an increase of $0.5 million, or 6.9%.

Restructuring costs in 2001 were $50.0 million. The restructuring charges
include the costs and expenses of the Formation Transactions, including
advisors fees, retention plan costs expensed in 2001 and stamp duty taxes in
Switzerland. Any restructuring costs relating to the Formation Transactions in
excess of this amount will be borne by Zurich Financial Services.

Converium Consolidated Income Tax Benefit

Our income tax benefit was $169.9 million in 2001 compared to a
consolidated income tax benefit of $19.5 million in 2000, representing an
increase of $150.4 million. The large increase in the income tax benefit was a
result of Converiums increased pre-tax losses.

Results of Operations by Operating Segment

To measure the financial performance of our operating segments, we exclude
certain items such as income taxes, interest expense on debt, goodwill
amortization and restructuring costs. The table below reconciles our segment
income to our consolidated net income as set forth above and in our financial
statements.

|                            |  |                         |       |      |  |      |        |   |  |   |       |  
|--------------------------- |  | ----------------------- | ----- | ---- |  | ---- | ------ | - |  | - | ----- | -
|                            |  | Year Ended December 31,
|                            |  |                        
|                            |  | 2002                    |       | 2001 |  | 2000
|                            |  |                         |       |      |  |     
|                            |  | ($ in millions)        
|Converium Zurich            |  | $                       | 225.9 |      |  | $    | (178.7 | ) |  | $ | 10.8  |  
|Converium North America     |  |                         | (57.0 | )    |  |      | (197.9 | ) |  |   | (28.7 | )
|Converium Cologne           |  |                         | (64.4 | )    |  |      | (71.6  | ) |  |   | (16.8 | )
|Non-Life Eliminations       |  |                         | (11.3 | )    |  |      | (1.0   | ) |  |   |      |  
|                            |  |                         |       |      |  |      |        |   |  |   |       |  
|Converium Non-Life          |  |                         | 93.2  |      |  |      | (449.2 | ) |  |   | (34.7 | )
|Converium Life              |  |                         | (19.4 | )    |  |      | (7.1   | ) |  |   | 10.3  |  
|Eliminations                |  |                         |      |      |  |      | 1.0    |   |  |   |      |  
|                            |  |                         |       |      |  |      |        |   |  |   |       |  
|Total segment income (loss) |  |                         | 73.8  |      |  |      | (455.3 | ) |  |   | (24.4 | )
|Interest expense on debt    |  |                         | (16.4 | )    |  |      | (24.2  | ) |  |   | (17.1 | )
|Amortization of goodwill    |  |                         |      |      |  |      | (7.8   | ) |  |   | (7.3  | )
|Restructuring costs         |  |                         |      |      |  |      | (50.0  | ) |  |   |      |  
|Income tax benefit          |  |                         | 49.4  |      |  |      | 169.9  |   |  |   | 19.5  |  
|                            |  |                         |       |      |  |      |        |   |  |   |       |  
|Net income (loss)           |  | $                       | 106.8 |      |  | $    | (367.4 | ) |  | $ | (29.3 | )
|                            |  |                         |       |      |  |      |        |   |  |   |       |  

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Non-Life

The table below presents information regarding results of operations of
our Non-Life business for the years ended December 31, 2002, 2001 and 2000.
This information is further discussed on a segment basis below.

|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |          |  
|------------------------------------------------------------- | ------------------------- | - | ----------------------- | -------- | ---- | - | --------------- | -------- | - | - | -------- | -------- | -
|                                                              |                           |   | Year Ended December 31,
|                                                              |                           |   |                        
|                                                              |                           |   | 2002                    |          | 2001 |   | 2000           
|                                                              |                           |   |                         |          |      |   |                
|                                                              |                           |   |                         |          |      |   | ($ in millions) |          |   |   |         
|Revenues:                                                     |                           |   |                         |          |      |   |                 |          |   |   |          |         
|Gross premiums written                                        |                           | $ | 3,338.9                 |          |      | $ | 2,718.2         |          |   | $ | 2,445.3  |         
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |         
|Net premiums written                                          |                           | $ | 3,154.2                 |          |      | $ | 2,341.2         |          |   | $ | 1,881.6  |         
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |         
|Net premiums earned                                           |                           | $ | 3,001.1                 |          |      | $ | 2,170.1         |          |   | $ | 1,755.5  |         
|Net investment income and net
realized capital (losses) gains |                           |   | 233.7                   |          |      |   | 207.9           |          |   |   | 254.0    |         
|Other (loss) income                                           |                           |   | (8.0                    | )        |      |   | (20.0           | )        |   |   | 7.7      |         
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |         
|                                                              | Total revenues            |   |                         | 3,226.8  |      |   |                 | 2,358.0  |   |   |          | 2,017.2  |  
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |         
|Benefits, losses and expenses:                                |                           |   |                         |          |      |   |                 |          |   |   |          |         
|Losses and loss adjustment expenses                           |                           |   | (2,335.3                | )        |      |   | (2,163.1        | )        |   |   | (1,520.0 | )       
|Underwriting acquisition costs                                |                           |   | (632.1                  | )        |      |   | (502.4          | )        |   |   | (419.9   | )       
|Operating and administration expenses                         |                           |   | (166.2                  | )        |      |   | (141.7          | )        |   |   | (112.0   | )       
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |         
|                                                              | Total losses and expenses |   |                         | (3,133.6 | )    |   |                 | (2,807.2 | ) |   |          | (2,051.9 | )
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |         
|                                                              | Segment income (loss)     |   | $                       | 93.2     |      |   | $               | (449.2   | ) |   | $        | (34.7    | )
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |          |         
|Ratios:                                                       |                           |   |                         |          |      |   |                 |          |   |   |          |         
|Loss ratio                                                    |                           |   | 77.8                    | %        |      |   | 99.7            | %        |   |   | 86.6     | %       
|Underwriting expense ratio                                    |                           |   | 21.1                    | %        |      |   | 23.2            | %        |   |   | 23.9     | %       
|Administration expense ratio                                  |                           |   | 5.3                     | %        |      |   | 6.1             | %        |   |   | 6.0      | %       
|Combined ratio                                                |                           |   | 104.2                   | %        |      |   | 129.0           | %        |   |   | 116.5    | %       
|Adjusted combined ratio (1)                                   |                           |   | 99.3                    | %        |      |   | 108.8           | %        |   |   | 112.8    | %       



|(1) |  | The adjusted non-life combined ratio is calculated excluding prior years
reserve development and September 11th terrorist attacks. See Item 3. 
Key Information  A. Selected Financial and Other Data  Refer to
footnote 3 for the details of the adjustments relating to the adjusted
combined ratio.
|--- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Converium Zurich

The table below presents information regarding the results of operations
of our Converium Zurich segment for the years ended December 31, 2002, 2001 and
2000.

|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |        |  
|------------------------------------------------------------- | ------------------------- | - | ----------------------- | -------- | ---- | - | --------------- | -------- | - | - | ------- | ------ | -
|                                                              |                           |   | Year Ended December 31,
|                                                              |                           |   |                        
|                                                              |                           |   | 2002                    |          | 2001 |   | 2000           
|                                                              |                           |   |                         |          |      |   |                
|                                                              |                           |   |                         |          |      |   | ($ in millions) |          |   |   |        
|Revenues:                                                     |                           |   |                         |          |      |   |                 |          |   |   |         |       
|Gross premiums written                                        |                           | $ | 1,802.2                 |          |      | $ | 1,440.3         |          |   | $ | 1,020.0 |       
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |       
|Net premiums written                                          |                           | $ | 1,670.5                 |          |      | $ | 1,185.0         |          |   | $ | 818.3   |       
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |       
|Net premiums earned                                           |                           | $ | 1,571.3                 |          |      | $ | 1,012.4         |          |   | $ | 715.9   |       
|Net investment income and net realized capital (losses) gains |                           |   | 112.0                   |          |      |   | 89.3            |          |   |   | 47.0    |       
|Other income                                                  |                           |   | 3.5                     |          |      |   | 3.2             |          |   |   | 12.0    |       
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |       
|                                                              | Total revenues            |   |                         | 1,686.8  |      |   |                 | 1,104.9  |   |   |         | 774.9  |  
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |       
|Benefits, losses and expenses:                                |                           |   |                         |          |      |   |                 |          |   |   |         |       
|Losses and loss adjustment expenses                           |                           |   | (1,098.9                | )        |      |   | (1,026.9        | )        |   |   | (569.2  | )     
|Underwriting acquisition costs                                |                           |   | (282.0                  | )        |      |   | (202.1          | )        |   |   | (150.2  | )     
|Operating and administration expenses                         |                           |   | (80.0                   | )        |      |   | (54.6           | )        |   |   | (44.7   | )     
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |       
|                                                              | Total losses and expenses |   |                         | (1,460.9 | )    |   |                 | (1,283.6 | ) |   |         | (764.1 | )
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |       
|                                                              | Segment income (loss)     |   | $                       | 225.9    |      |   | $               | (178.7   | ) |   | $       | 10.8   |  
|                                                              |                           |   |                         |          |      |   |                 |          |   |   |         |       

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|                             |  |  |      |   |  |  |       |   |  |  |       |   | 
|---------------------------- |  |  | ---- | - |  |  | ----- | - |  |  | ----- | - | 
|Ratios:                      |  |  |      |   |  |  |       |   |  |  |       |  
|Loss ratio                   |  |  | 69.9 | % |  |  | 101.4 | % |  |  | 79.5  | %
|Underwriting expense ratio   |  |  | 17.9 | % |  |  | 20.0  | % |  |  | 21.0  | %
|Administration expense ratio |  |  | 4.8  | % |  |  | 4.6   | % |  |  | 5.5   | %
|Combined ratio               |  |  | 92.6 | % |  |  | 126.0 | % |  |  | 106.0 | %
|Adjusted combined ratio (1)  |  |  | 93.9 | % |  |  | 113.0 | % |  |  | 111.7 | %



|(1) |  | The adjusted non-life combined ratio is calculated excluding prior years
reserve development and September 11th terrorist attacks.
|--- |  | -----------------------------------------------------------------------------------------------------------------------------------

Year Ended December 31, 2002 Compared to Year Ended December 31, 2001

Converium Zurich Segment Income (Loss)

Converium Zurich reported a segment income of $225.9 million in 2002
compared to a segment loss of $178.7 million in 2001. The improvement of $404.6
million in 2002 was primarily attributable to a large increase in net premiums
earned, and a reduction of the loss ratio from 101.4% in 2001 to 69.9% in 2002.
The increase in losses in 2001 was primarily attributable to the September
11th terrorist attacks that contributed $210.0 million of losses as well as
$27.7 million related to the Enron reorganization, offset by positive reserve
development of $81.7 million.

Converium Zurich Premiums

In 2002, gross premiums written increased $361.9 million, or 25.1%, net
premiums written increased $485.5 million, or 41.0%, and net premiums earned
increased $558.9 million, or 55.2%. The growth was spread across most lines of
business and regions and primarily resulted from increased rates and increasing
our share of clients business upon renewing existing business or writing new
business. During 2002, Converium Zurichs largest growth regions included:



| |  | the United Kingdom (net premiums written in 2002 increased 50.7% to $901.2 million),          
|- |  | ----------------------------------------------------------------------------------------------
| 
| |  | North America (net premiums written in 2002 increased 61.9% to $197.4 million),               
| 
| |  | Latin America (net premiums written in 2002 increased 29.2% to $156.6 million),               
| 
| |  | the Far East/Pacific Rim (net premiums written in 2002 increased 26.3% to $147.8 million), and
| 
| |  | France (net premiums written in 2002 increased 87.2% to $78.4 million).                       
|  | 

The largest growth lines included such specialty lines as:



| |  | liability (net premiums written in 2002 increased 68.3% to $381.4 million),              
|- |  | -----------------------------------------------------------------------------------------
| 
| |  | aviation and space (net premiums written in 2002 increased 104.5% to $370.2 million), and
| 
| |  | credit and surety (net premiums written in 2002 increased 27.8% to $145.8 million).      

Converium Zurich Net Investment Income and Net Realized Capital (Losses) Gains

Converium Zurichs net investment income and net realized capital losses
of $112.0 million for the year ended December 31, 2002 were higher by $22.7
million, or 25.4%, compared to net investment income and net realized capital
gains of $89.3 million for the year ended December 31, 2001. This increase was
due to increased net investment income of $39.1 million partially offset by
increased realized capital losses of $16.4 million. Net investment
income increased due to a larger invested asset base, generated by the
investment of the capital contribution received in late 2001, plus strong
operating cash flows.

Converium Zurichs net investment result for the year ended December 31,
2002 included realized capital gains of $20.1 million and realized capital
losses of $11.8 million, resulting in net realized capital gains of $8.3
million. Based on our impairment policy, Converium Zurichs net investment
result for the year ended December 31, 2002 also included an impairment charge
of $22.2 million on our equity securities.

A significant portion of Converium Zurichs investment earnings is derived
from the Funds Withheld Asset. Under the Quota

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Share Retrocession Agreement with Zurich Financial Services, the interest
payable on the Funds Withheld Asset is based on fixed interest rates tied to
each of our major functional currencies. The weighted average interest rate for
2002 was 5.3%, which was calculated as if the assets had been invested in fixed
income securities denominated in the functional currencies payable on the Funds
Withheld Asset and reflects the estimated duration of the underlying
reinsurance liabilities.

Converium Zurich Other Income

Converium Zurichs other income of $3.5 million for the year ended
December 31, 2002 was higher by $0.3 million, or 9.4%, compared to other income
of $3.2 million for the year ended December 31, 2001. Converium Zurichs other
income consisted of:



| |  |  | Net technical and non-technical expenses of $2.7 million,                                           
| | - |  | ----------------------------------------------------------------------------------------------------
|
| |  |  | Realized foreign currency gains on our functional and non-functional currencies of $1.3 million, and
|
| |  |  | Unrealized foreign currency gains on our non-functional currencies of $4.9 million.                 

Converium Zurich Losses and Loss Adjustment Expenses

Converium Zurichs losses and loss adjustment expenses of $1,098.9 million
for the year ended December 31, 2002 were higher by $72.0 million, or 7.0%,
compared to losses and loss adjustment expenses of $1,026.9 million for the
year ended December 31, 2001. Converium Zurichs net losses and loss
adjustment expenses for the year ended December 31, 2001 included $210.0
million arising out of the September 11th terrorist attacks. In addition,
Converium Zurichs losses and loss adjustment expenses for the year ended
December 31, 2001 included $27.7 million arising out of the Enron
reorganization. These exposures resulted principally from the credit and surety
lines of business.

Net losses and loss adjustment expenses in 2002 included positive reserve
developments of $19.8 million, primarily comprised of $14.0 million from
liability business written in prior years and $5.8 million from property excess
of loss business from underwriting year 2001. In 2001, loss reserves at
Converium Zurich developed positively by $81.7 million, reflecting positive
development of $30.0 million in aviation and space, primarily on
non-proportional treaty business for underwriting years 1998 through 2000.
Additional positive development was experienced in casualty lines of business.

Excluding the positive reserve development in 2002 and 2001 and the
September 11th terrorist attacks in 2001, the losses and loss adjustment
expenses would have been $1,118.7 million and $898.6 million for the years
ended December 31, 2002 and 2001, respectively. Therefore, the adjusted losses
and loss adjustment expenses for the year ended December 31, 2002 would have
been higher by $220.1 million, or 24.5%. This increase in losses and loss
adjustment expenses is significantly lower than the increase in net premiums
earned of 55.2%, which is a reflection of the increased premiums, which were
written at more favorable terms during the major renewal cycles in 2002,
compared to the same periods in 2001.

Converium Zurichs loss ratio, as a percentage of net premiums earned, of
69.9% for the year ended December 31, 2002 was lower by 31.5 points compared to
the loss ratio of 101.4% for the year ended December 31, 2001.The loss ratio in
2002 included 1.3 points related to the positive reserve developments. The loss
ratio in 2001 included 20.7 points related to September 11th terrorist attacks
and 8.0 points related to the positive reserve development. Excluding the
positive reserve development in 2002 and 2001 and excluding the September 11th
terrorist attacks in 2001, the loss ratio would have been 71.2% and 88.4% for
the years ended December 31, 2002 and 2001, respectively.

Converium Zurich Underwriting Acquisition Costs

Converium Zurichs underwriting acquisition costs of $282.0 million for
the year ended December 31, 2002 were higher by $79.9 million, or 39.5%,
compared to underwriting acquisition costs of $202.1 million for the year ended
December 31, 2001. This increase in the underwriting acquisition costs
corresponds to the increase in earned premiums.

Converium Zurichs underwriting expense ratio, as a percentage of net
premiums earned, of 17.9% for the year ended December 31, 2002 was lower by 2.1
points compared to the underwriting expense ratio of 20.0% for the year ended
December 31, 2001.

Both the underwriting expense ratios for 2002 and 2001 were unusually low.
In 2001, this was principally driven by the release of cost reserves in the
first half of 2001 built up under a profit sharing agreement with a cedent in a
large structured/finite treaty as a result of an increase of the loss reserves.
In 2002, this was principally driven by a cumulative catch-up for common
accounts in the

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Lloyds capital provision and qualifying quota share business.

Converium Zurich Operating and Administration Expenses

Converium Zurichs operating and administration expenses of $80.0 million
for the year ended December 31, 2002 were higher by $25.4 million, or 46.5%,
compared to operating and administration expenses of $54.6 million for the year
ended December 31, 2001. This increase in operating and administration expenses
was primarily due to:



| |  |  | Additional headcount and related overhead costs for functions
needed as an independent company, such as Treasury, Investor
Relations, Marketing and Communications, as well as overhead costs
needed to support the growth of our business.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Additional costs for information technology needed to support
our systems and infrastructure as an independent company.                                                                                                                    

The administration expense ratio, as a percentage of net premiums written,
of 4.8% for the year ended December 31, 2002 was higher by 0.2 points compared
to the administration expense ratio of 4.6% for the year ended December 31,
2001.

Converium Zurich Combined Ratios

Converium Zurichs combined ratio was 92.6% in 2002 and 126.0% in 2001.
The 2001 ratio reflected significant loss events described above. The combined
ratio excluding reserve development and September 11th terrorist attacks was
93.9% in 2002 and 113.0% in 2001. The decrease in the combined ratio is due to
the re-underwriting and restructuring of the underwriting process that resulted
in a substantial improvement of the underlying performance and increased
premiums in the aviation and space and property catastrophe lines, which were
written at more favorable terms during the 2002 renewal cycle, and where no
major loss events were experienced in 2002.

Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium Zurich Segment (Loss) Income

Converium Zurich reported a segment loss of $178.7 million in 2001
compared to segment income of $10.8 million in 2000, representing a decrease of
$189.5 million. This decrease was primarily due to net losses of $210.0 million
arising out of the September 11th terrorist attacks and $27.7 million related
to the Enron reorganization. These losses were partially offset by increased
net investment income and net realized capital gains of $42.3 million. The
components of segment income are described below.

Converium Zurich Premiums

Converium Zurichs gross premiums written in 2001 were $1,440.3 million
compared to $1,020.0 million in 2000, representing an increase of $420.3
million, or 41.2%. Net premiums written in 2001 were $1,185.0 million compared
to $818.3 million in 2000, representing an increase of $366.7 million, or
44.8%. Converium Zurichs premium growth in 2001 resulted from both the
traditional treaty business and the structured/finite business. Growth was in
most lines of business and regions and primarily resulted from increasing our
share of clients business upon renewal and from new business.

Converium Zurichs non-proportional net premiums written in 2001 were
$257.4 million compared to $265.1 million in 2000, representing a decrease of
$7.7 million, or 2.9%. Converium Zurichs proportional net premiums written in
2001 were $824.7 million compared to $474.2 million in 2000, representing an
increase of $350.5 million, or 73.9%. For a discussion of non-proportional and
proportional reinsurance, see Item 4.  Information on the Company  B.
Business Overview  Our Business  Types of Reinsurance.

Although non-proportional business decreased overall, we experienced
growth in some lines including motor, where net premiums written increased
$20.0 million, or 65.6% and liability, where net premiums written increased
$7.2 million, or 15.8%.

Offsetting this growth in 2001 was a decrease of $12.3 million in
non-proportional multi-peril business, $13.3 million in non-proportional
aviation and space business and $3.6 million in non-proportional engineering
business.

For proportional business, the largest growth lines in 2001 were:

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| |  |  | motor, where net premiums written increased $83.8 million, or 161.1%             
| | - |  | ---------------------------------------------------------------------------------
|
| |  |  | aviation and space, where net premiums written increased $76.9 million, or 92.5% 
|
| |  |  | multi-peril, where net premiums written increased $58.1 million, or 100.0%       
|
| |  |  | property, where net premiums written increased $40.0 million, or 43.0%           
|
| |  |  | liability, where net premiums written increased $26.2 million, or 36.0%          
|
| |  |  | accident and health, where net premiums written increased $16.0 million, or 64.3%
|
| |  |  | credit and surety, where net premiums written increased $14.5 million, or 16.6%  
|
| |  |  | marine, where net premiums written increased $10.4 million, or 62.2%             

In our structured/finite business, net premiums written were $102.9
million in 2001 compared to $78.9 million in 2000, representing an increase of
$24.0 million, or 30.4%. This growth resulted primarily from the liability and
property lines of business.

Converium Zurichs largest growth regions in 2001 compared to 2000 were:



| |  |  | United Kingdom, where net premiums written increased $288.9 million,
or 94.9%, primarily due to opportunistic expansion in the motor line,
following our reallocation in 2000 of the market responsibility for the
United Kingdom from Converium Cologne to Converium Zurich
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | our markets in Latin America, where net premiums written increased $49.9 million, or 69.9%                                                                                                                                                                                  
|
| |  |  | our markets in the Far East/Pacific Rim, where net premiums written increased $32.3 million, or 38.1%                                                                                                                                                                       
|
| |  |  | business originating in North America, primarily sourced through the
London market, where net premiums written increased $24.7 million, or
29.8%                                                                                                                            
|
| |  |  | our markets in the Near/Middle East and Northern Africa, where net
premiums written increased $7.7 million, or 33.8%                                                                                                                                                        

Partially offsetting this growth was a decrease of $16.2 million in the
aggregate on business from Israel, Italy, Portugal, Switzerland and the
Netherlands, a decrease of $12.9 million in business from Germany and $7.6
million in business from France. The decrease in Germany was largely a result
of our transfer of underwriting responsibility for Germany to Converium
Cologne.

Converium Zurichs net premiums earned in 2001 were $1,012.4 million
compared to $715.9 million in 2000, representing an increase of $296.5 million,
or 41.4%. This increase primarily reflected our growth in net premiums written.

Converium Zurich Net Investment Income and Net Realized Capital Gains

Converium Zurich reported net investment income and net realized capital
gains of $89.3 million in 2001 compared to $47.0 million in 2000, representing
an increase of $42.3 million, or 90.0%.

Prior to the Formation Transactions, Converium Zurich did not have a
separate investment portfolio. Instead, its cash flows were managed by Zurich
Financial Services pursuant to the Zurich Financing Agreement. The Zurich
Financing Agreement provided for interest based on a formula designed to
reflect a total return on a diverse investment portfolio weighted approximately
75% to bond indices and 25% to equity indices. Accordingly, during most of
2000, Converium Zurichs investment income reflected the overall poor
performance of the stock markets for its equity component and generally
declining interest rates for its fixed income component.

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Effective January 1, 2001, the Zurich Financing Agreement was amended to
provide a fixed interest return. Effective July 1, 2001, the Zurich Financing
Agreement was cancelled and the Funds Withheld Asset was established. Under the
Quota Share Retrocession Agreement, the interest payable on the Funds Withheld
Asset is based on fixed interest rates tied to each of our major functional
currencies. These interest rates were calculated as if the assets had been
invested in fixed income securities denominated in the functional currencies
payable on the Funds Withheld Asset and reflected the estimated duration of the
underlying reinsurance liabilities as of that date. As a result, the volatility
of our investment earnings was reduced and our investment income in 2001
improved.

For 2001 the weighted average interest rate based on the currency mix on
the Funds Withheld Asset was 5.4%. If we had obtained the 5.4% weighted average
interest rate on the average of the beginning and ending balance under the
Zurich Financing Agreement in 2000, our investment income in 2000 on a pre-tax
basis would have been approximately $30.0 million higher.

For a description of the Funds Withheld Asset and the Quota Share
Retrocession Agreement, see Item 10.  Additional Information  C. Material
Contracts  Acquisition of the Converium Zurich Business  Quota Share
Retrocession Agreement.

Converium Zurich Other Income

Converium Zurich reported other income in 2001 of $3.2 million compared to
$12.0 million in 2000, representing a decrease of $8.8 million. This decrease
primarily reflects a decrease in other technical income.

Converium Zurich Losses and Loss Adjustment Expenses

Converium Zurichs losses and loss adjustment expenses in 2001 were
$1,026.9 million compared to $569.2 million for 2000, representing an increase
of $457.7 million, or 80.4%. Net losses and loss adjustment expenses primarily
increased by $210.0 million arising out of the September 11th terrorist attacks
and $27.7 million due to the Enron reorganization. Without these events, the
increase in loss and loss adjustment expenses would have been $220.0 million,
or 38.7%. This increase in losses and loss adjustment expenses is reflective of
the increase in net premiums earned of 41.4%. Losses and loss adjustment
expenses for 2001 were partially offset by net positive loss reserve
developments of $82.0 million for aviation and space, casualty and liability
business written in prior years. We had been experiencing more favorable claims
reporting data from most of our ceding companies than previously anticipated.
Over time, as the actual emergence of losses could be used as an indication of
future loss emergence, we revised these redundancies. During 2001, we
determined that we could credibly believe that the actual loss emergence would
ultimately be better than initial expectations and therefore adjusted our
reserves accordingly. Our loss and loss adjustment expense ratio increased to
101.4% for 2001 from 79.5% for 2000, including 23.5 points related to the
September 11th terrorist attacks and the Enron reorganization. Therefore,
excluding these events, our loss and loss adjustment expense ratio would have
been 77.9%, a 1.6 point decrease from our loss and loss adjustment expense
ratio in 2000.

Converium Zurich Underwriting Acquisition Costs

Converium Zurichs underwriting acquisition costs were $202.1 million in
2001 compared to $150.2 million in 2000, representing an increase of $51.9
million, or 34.6%. This increase in underwriting acquisition costs is
reflective of the increase in net premiums earned of 41.4%. Our underwriting
expense ratio decreased by 1.0 point to 20.0% in 2001 from 21.0% in 2000.

Converium Zurich Operating and Administration Expenses

Converium Zurichs operating and administration expenses were $54.6
million in 2001 compared to $44.7 million in 2000, representing an increase of
$9.9 million, or 22.2%. The increase in costs represents increased headcount
and related overhead costs due to the establishment of new corporate and
operational functions related to being a stand-alone company, such as treasury,
investor relations, marketing, communications and information technology.
However, our administration expense ratio, as a percentage of net premiums
written, decreased by 0.9 points to 4.6% in 2001 from 5.5% in 2000 due to
increased premium volume.

Converium Zurich Combined Ratios

Converium Zurichs combined ratio increased by 20.0 points to 126.0% in
2001 from 106.0% in 2000. This increase was driven by a 23.5 point increase in
the loss ratio due to the September 11th terrorist attacks and the Enron
reorganization. This increase

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was partially offset by the improvement of 1.6 points in our underlying
loss ratio, 1.0 point improvement in our underwriting expense ratio and 0.9
points improvement in our administration expense ratio.

Converium North America

The table below presents information regarding results of operations of
our Converium North America segment for the years ended December 31, 2002, 2001
and 2000.

|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |        |  
|------------------------------------------------------------- | ------------------------- | - | ----------------------- | --------------- | ---- | - | ------- | -------- | - | - | ------- | ------ | -
|                                                              |                           |   | Year Ended December 31,
|                                                              |                           |   |                        
|                                                              |                           |   | 2002                    |                 | 2001 |   | 2000   
|                                                              |                           |   |                         |                 |      |   |        
|                                                              |                           |   |                         | ($ in millions) |      |   |         |         
|Revenues:                                                     |                           |   |                         |                 |      |   |         |          |   |   |         |       
|Gross premiums written                                        |                           | $ | 1,243.5                 |                 |      | $ | 1,150.9 |          |   | $ | 1,295.5 |       
|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |       
|Net premiums written                                          |                           | $ | 1,193.9                 |                 |      | $ | 898.4   |          |   | $ | 844.7   |       
|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |       
|Net premiums earned                                           |                           | $ | 1,145.0                 |                 |      | $ | 882.4   |          |   | $ | 815.4   |       
|Net investment income and net realized capital gains
(losses) |                           |   | 121.0                   |                 |      |   | 104.4   |          |   |   | 159.1   |       
|Other loss                                                    |                           |   | (4.5                    | )               |      |   | (24.4   | )        |   |   | (7.2    | )     
|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |       
|                                                              | Total revenues            |   |                         | 1,261.5         |      |   |         | 962.4    |   |   |         | 967.3  |  
|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |       
|Benefits, losses and expenses:                                |                           |   |                         |                 |      |   |         |          |   |   |         |       
|Losses and loss adjustment expenses                           |                           |   | (962.3                  | )               |      |   | (837.2  | )        |   |   | (723.4  | )     
|Underwriting acquisition costs                                |                           |   | (285.9                  | )               |      |   | (251.3  | )        |   |   | (207.5  | )     
|Operating and administration expenses                         |                           |   | (70.3                   | )               |      |   | (71.8   | )        |   |   | (65.1   | )     
|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |       
|                                                              | Total losses and expenses |   |                         | (1,318.5        | )    |   |         | (1,160.3 | ) |   |         | (996.0 | )
|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |       
|                                                              | Segment loss              |   | $                       | (57.0           | )    |   | $       | (197.9   | ) |   | $       | (28.7  | )
|                                                              |                           |   |                         |                 |      |   |         |          |   |   |         |       
|Ratios:                                                       |                           |   |                         |                 |      |   |         |          |   |   |         |       
|Loss ratio                                                    |                           |   | 84.0                    | %               |      |   | 94.9    | %        |   |   | 88.7    | %     
|Underwriting expense ratio                                    |                           |   | 25.0                    | %               |      |   | 28.5    | %        |   |   | 25.5    | %     
|Administration expense ratio                                  |                           |   | 5.9                     | %               |      |   | 8.0     | %        |   |   | 7.7     | %     
|Combined ratio                                                |                           |   | 114.9                   | %               |      |   | 131.4   | %        |   |   | 121.9   | %     
|Adjusted combined ratio(1)                                    |                           |   | 102.9                   | %               |      |   | 102.7   | %        |   |   | 111.9   | %     



|(1) |  | The adjusted non-life combined ratio is calculated excluding prior years
reserve development and September 11th terrorist attacks.
|--- |  | -----------------------------------------------------------------------------------------------------------------------------------

Year Ended December 31, 2002 Compared to Year Ended December 31, 2001

Converium North America Segment Loss

Converium North America reported a segment loss of $57.0 million in 2002,
compared to a segment loss of $197.9 million in 2001, an improvement of $140.9
million. This improvement was due to several factors including:



| |  | prior period loss reserve development was $137.2 million in 2002 as compared to $164.0 million in 2001;                                                                                                                                                     
|- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| 
| |  | in 2001, net losses were incurred related to the September 11th terrorist attacks and the Enron reorganization of $58.2
million and $39.3 million, respectively;                                                                                            
| 
| |  | premiums of $24.3 million for September 11th and other coverages from Zurich Financial Services were incurred in 2001;                                                                                                                                      
| 
| |  | investment income and realized gains were higher by $16.6 million in 2002 as compared to 2001. This improvement was the
result of net realized gains, less equity impairments, being higher in 2002 than 2001 by $34.7 million. This was partially
offset by

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|  |  | reduced investment income reflecting the lower interest rate environment; and                                                                                                                                                                               
|- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| 
| |  | other income was higher by $19.9 million in 2002 as compared to 2001. This was
primarily driven by $12.2 million in reduced losses from certain private equity
investments and $7.2 million in interest income received as a result of a dispute
settlement.

Converium North America Premiums

In 2002, gross premiums written increased $92.6 million, or 8.0%, net
premiums written increased $295.5 million, or 32.9%, and net premiums earned
increased $262.6 million, or 29.8%. In 2002, Converium North Americas net
written premium growth was driven by specialty lines, including:



| |  | structured/finite (net premiums written in 2002 increased 20.1% to $373.9 million),         
|- |  | --------------------------------------------------------------------------------------------
| 
| |  | professional liability (net premiums written in 2002 increased 71.7% to $214.7 million), and
| 
| |  | accident & health business (net premiums written in 2002 increased 121.1% to $84.6 million).

This premium growth was partially offset by the non-renewal of a workers
compensation program, which reduced premiums by $39.6 million compared to 2001.
Net premiums written grew more substantially than gross premiums written due
to retrocessional premium charges of $123.0 million in 2001 for an aggregate
excess treaty and September 11th coverages that were not incurred in 2002.

Converium North America Net Investment Income and Net Realized Capital
Gains(Losses)

Converium North America reported net investment income and net realized
capital gains (losses) of $121.0 million for the twelve months ended December
31, 2002, as compared to $104.4 million for the twelve months ended December
31, 2001. Net investment income was $97.1 million for the twelve months ended
December 31, 2002 compared to $115.2 million for the twelve months ended
December 31, 2001, a decrease of $18.1 million. The decrease in net investment
income is primarily the result of an internal capital and investment income
allocation among Converium segments subsequent to the IPO, which was
implemented in 2002 and resulted in a reduction of net investment income in the
amount of $17.7 million. Additionally, the third and fourth quarter transition
to the passive fixed income and mortgage-backed managers resulted in a lower
fixed income yield for the fourth quarter. The lower yield as well as the
allocation was offset by improved performance on a high yield bond fund, which
yielded income of $4.0 million and a loss of $2.4 million for the twelve months
ended December 31, 2002 and December 31, 2001, respectively.

Net realized capital gains were $23.9 million in 2002 compared to net
realized capital losses of $10.8 million in 2001, an improvement of $34.7
million. This is primarily due to two factors:



| |  | During the third and fourth quarter of 2002, approximately $1.3
billion of fixed income securities were sold at a net realized gain of
$74.2 million as part of the transition to the passive fixed income
and mortgage-backed managers. These gains were offset by net realized
losses of approximately $32.7 million on the sale of substantially all
publicly traded equity securities, as well as the sale of WorldCom
fixed income securities at a loss of $15.8 million in the second
quarter of 2002.
|- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| 
| |  | During 2001, Converium North America recorded a $59.3 million
provision for publicly traded equity investments that were impaired,
while the provision for the twelve months ended December 31, 2002 was
$1.1 million. Net realized gains on fixed income sales of $43.3
million for the twelve months ended December 31, 2001 partially offset
the provision for impairments.                                                                                                                              

Converium North America Other (Loss)

Converium North America reported other loss for the twelve months ended
December 31, 2002 of $4.5 million as compared to $24.4 million for the twelve
months ended December 31, 2001, an improvement of $19.9 million. This was
driven by $7.2 million in interest on the settlement of litigation with the
Unicover Pool in 2002. The increase was also affected by the change in market
value of our investments in private equity funds, which declined $2.1 million
in 2002 versus a decline of $14.3 million in 2001. We account for our
investments in these funds based on our proportionate share of the
partnerships results and report these results in other income. These increases
were offset by a decrease in 2001 interest income of $2.6 million on a
Structured/finite deal, as well as a $4.0 million increase to the reserve for
uncollectible reinsurance in 2002.

Converium North America Losses and Loss Adjustment Expenses

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Converium North Americas losses and loss adjustment expenses incurred for
the twelve months ended December 31, 2002 were $962.3 million as compared to
$837.2 million for the twelve months ended December 31, 2001, representing an
increase of $125.1 million, or 14.9%. The loss ratio, however, decreased 10.9
points to 84.0% as of December 31, 2002 from 94.9% for the twelve months ended
December 31, 2001.

During 2002, Converium North America engaged in an in-depth actuarial
reserve analysis of certain lines lines of business, which resulted in the
recording of additional provisions for losses in the amount of $137.2 million.
These provisions primarily relate to underwriting years 1997 to 2000 on its
commercial umbrella, miscellaneous casualty, medical errors and omissions
liability, motor liability, and workers compensation lines of business. This
compares to $164.0 million of additional reserves recorded in 2001 relating to
underwriting years 2000 and prior.

The current year loss ratio component as of December 31, 2002, excluding
the reserve increase, was 72.0% while the loss ratio related to the increase in
prior years reserves was 12.0%. The 2002 current year loss ratio was impacted
by run-off premiums earned on business written in underwriting years 2000 and
prior. The loss ratio on the 2000 and prior business was 83.7%, resulting in a
loss ratio for the 2001 and 2002 underwriting years of 71.0%.

Approximately $164.0 million of increased loss and loss adjustment
reserves were recorded in 2001 relating to accident years 2000 and prior.
Also in 2001, Converium North America incurred net losses of $58.2 million and
$39.3 million, respectively, arising out of the September 11th terrorist
attacks and the Enron reorganization. These losses were partially offset by a
cession of $157.5 million pursuant to the 2001 Aggregate Excess of Loss Treaty.
The current year loss ratio as of December 31, 2001, excluding the reserve
increase, the September 11th terrorist attacks, the Enron reorganization, and
the premiums from September 11th coverage and the 2001 Aggregate Excess of Loss
Treaty, was 73.4%.

Converium North America Underwriting Acquisition Costs

Converium North Americas underwriting acquisition costs for the twelve
months ended December 31, 2002 were $285.9 million compared to $251.3 million
for the twelve months ended December 31, 2001, an increase of $34.6 million, or
13.8%. The increase in commissions generally corresponded with the increase in
earned premiums.

Converium North Americas underwriting expense ratios were 25.0% at
December 31, 2002 and 28.5% at December 31, 2001. The decrease in the
underwriting expense ratio is attributable to cessions under the 2001 Aggregate
Excess of Loss Treaty and September 11th premium charges in 2001, which had no
ceding commissions.

Converium North America Operating and Administration Expenses

Converium North Americas operating and administration expenses as of
December 31, 2002 were $70.3 million compared to $71.8 million as of December
31, 2001, representing a decrease of $1.5 million, or 2.1%. The administration
expense ratio decreased to 5.9% at December 31, 2002 from 8.0% at December 31,
2001. The decrease in Converium North Americas administration expense ratio
was primarily attributable to the increase in net premiums written mentioned
above.

Converium North America Combined Ratios

Converium North Americas combined ratio was 114.9% in 2002 and 131.4% in
2001. The combined ratio in 2002 included $137.2 million in adverse loss
development. The combined ratio in 2001 was primarily driven by reserve
development related to prior accident years, the September 11th terrorist
attacks and the Enron reorganization. The adjusted combined ratio, which
excludes prior years reserve development and September 11th, terrorist
attacks, was 102.9% in 2002 and 102.7% in 2001.

Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium North America Segment (Loss)

Converium North America reported a segment loss of $197.9 million in 2001
as compared to a segment loss of $28.7 million in 2000, a decrease of $169.2
million. This was primarily attributable to an increase in the estimate of net
loss and loss adjustment expense reserves of $164.0 million related to prior
accident years. We also incurred net loss and loss adjustment expense amounts
of

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$58.2 million related to the September 11th terrorist attacks and $39.3
million related to the Enron reorganization. Additionally, we experienced in
2001 a reduction of $54.7 million in net investment income and net realized
capital (losses) gains and a $17.2 million decrease in other (loss) income.
These items were partially offset by $52.1 million benefit under an aggregate
excess treaty covering the 2001 accident year pursuant to which we ceded the
casualty losses in excess of a set loss ratio (the 2001 Aggregate Excess
Treaty). The components of segment income are described below.

Converium North America Premiums

Converium North Americas gross premiums written for 2001 were $1,150.9
million compared to $1,295.5 million in 2000, representing a decrease of $144.6
million, or 11.2%. Reflecting our underwriting strategy in 2001, certain
treaties whereby Converium North America assumed the risk and then retroceded
material amounts to other reinsurers were not renewed and resulted in a decline
of $281.1 million in gross premiums. This decline was partially offset by
growth in our core portfolio business, predominantly in the specialty areas of
accident & health, agribusiness and the Risk Strategies division.

Converium North Americas net premiums written for 2001 were $898.4
million compared to $844.7 million in 2000, representing an increase of $53.7
million, or 6.4%. The increase in net premiums written reflects growth in the
specialty areas of accident and health, agribusiness and the Risk Strategies
division, partially offset by cessions of $98.7 million in premiums pursuant to
the 2001 Aggregate Excess Treaty. The treaties that were assumed and then
ceded, as mentioned above, did not have a significant effect on the net
premiums written as the vast majority of these premiums were retroceded.

Converium North Americas net premiums earned in 2001 were $882.4 million
compared to $815.4 million in 2000, representing an increase of $67.0 million,
or 8.2%. This growth reflects the increase in net premiums written in 2001.

Converium North America Net Investment Income and Net Realized Capital (Losses)
Gains

Converium North America reported net investment income and net realized
capital (losses) gains of $104.4 million in 2001 compared to $159.1 million in
2000, representing a decrease of $54.7 million, or 34.4%. Net realized capital
losses were $10.8 million in 2001 compared to net realized capital gains of
$48.5 million in 2000, a decrease of $59.3 million. This was due to the
declining equity markets in the United States and includes a provision of $59.3
million for publicly-traded equity investments that were impaired. Net
investment income was higher by $4.6 million in 2001, reflecting a higher
invested asset base and a higher return on a high yield bond fund.

Converium North America Other (Loss)

Converium North America reported other loss in 2001 of $24.4 million
compared to other loss of $7.2 million in 2000, representing an increased loss
of $17.2 million. This increased loss was partially due to the change in the
market value of our investments in private equity funds, which declined $13.8
million in 2001 as compared to $8.1 million in 2000, an increased loss of $5.7
million. We account for our investments in these funds based on our
proportionate share of the partnerships results and report these results in
other income. Also reflected in 2001 is $6.7 million of interest expense on
funds held related to the 2001 Aggregate Excess Treaty which did not exist in
2000. The third major component of the increased loss is a write-down of $3.5
million in 2001 related to miscellaneous assets.

Converium North America Losses and Loss Adjustment Expenses

Converium North Americas losses and loss adjustment expenses incurred in
2001 were $837.2 million compared to $723.4 million in 2000, representing an
increase of $113.8 million, or 15.7%. This is as compared to an increase in the
earned premiums of 8.2%. The loss ratio increased 6.2 points to 94.9% in 2001
from 88.7% in 2000.

During 2001, Converium North America increased loss and loss adjustment
reserves by approximately $164.0 million relating to accident years 2000 and
prior. The loss reserve increases mainly related to liability treaty business.
See Item 4.  Information on the Company  B. Business Overview  Loss and
Loss Adjustment Expense Reserves  Loss Reserve Development. During the second
half of 2001, Converium North America incurred net losses of $58.2 million
arising out of the September 11th terrorist attacks and $39.3 million related
to the Enron reorganization. The assumed losses were partially offset by
cessions of $157.5 million pursuant to the 2001 Aggregate Excess Treaty.

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Converium North America Underwriting Acquisition Costs

Converium North Americas underwriting acquisition costs in 2001 were
$251.3 million compared to $207.5 million for 2000, representing an increase of
$43.8 million, or 21.1%. This increase in commissions generally corresponded
with the increase in net premiums earned of 8.2% after reflecting that the
cessions pursuant to the 2001 Aggregate Excess Treaty had premiums of $98.7
million with no commission benefit. Converium North Americas underwriting
expense ratios were 28.5% in 2001 and 25.5% in 2000. The increase in the
commission ratio is driven by the premium cessions pursuant to the 2001
Aggregate Excess Treaty, which did not contain a ceding commission benefit to
Converium North America. Without the 2001 Aggregate Excess Treaty, the
commission ratio in 2001 would have been 25.6%, which is consistent with the
percentage in 2000.

Converium North America Operating and Administration Expenses

Converium North Americas operating and administration expenses in 2001
were $71.8 million compared to $65.1 million in 2000, representing an increase
of $6.7 million, or 10.3%. Approximately $3.0 million of this increase is due
to personnel costs related to the transition to new compensation plans in
connection with our becoming a stand-alone company, with the remainder
representing increases in ongoing operating expenses. The administration
expense ratio increased to 8.0% in 2001 from 7.7% in 2000.

Converium North America Combined Ratios

Converium North Americas combined ratio increased to 131.4% in 2001 from
121.9% in 2000, mainly due to an increase of 6.2 points in the loss ratio and
3.0 points in the underwriting expense ratio as described above.

Converium Cologne

The table below presents information regarding results of operations of
our Converium Cologne segment for the years ended December 31, 2002, 2001 and
2000.

|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |        |  
|------------------------------------------------------------- | ------------------------- | - | ----------------------- | ------ | ---- | - | --------------- | ------ | - | - | ------ | ------ | -
|                                                              |                           |   | Year Ended December 31,
|                                                              |                           |   |                        
|                                                              |                           |   | 2002                    |        | 2001 |   | 2000           
|                                                              |                           |   |                         |        |      |   |                
|                                                              |                           |   |                         |        |      |   | ($ in millions) |        |   |   |       
|Revenues:                                                     |                           |   |                         |        |      |   |                 |        |   |   |        |       
|Gross premiums written                                        |                           | $ | 303.4                   |        |      | $ | 299.9           |        |   | $ | 241.3  |       
|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |       
|Net premiums written                                          |                           | $ | 289.8                   |        |      | $ | 257.8           |        |   | $ | 218.6  |       
|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |       
|Net premiums earned                                           |                           | $ | 284.8                   |        |      | $ | 275.3           |        |   | $ | 224.2  |       
|Net investment income and net realized capital
(losses) gains |                           |   | 4.7                     |        |      |   | 14.5            |        |   |   | 56.9   |       
|Other (loss) income                                           |                           |   | (0.4                    | )      |      |   | 2.4             |        |   |   | 2.9    |       
|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |       
|                                                              | Total revenues            |   |                         | 289.1  |      |   |                 | 292.2  |   |   |        | 284.0  |  
|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |       
|Benefits, losses and expenses:                                |                           |   |                         |        |      |   |                 |        |   |   |        |       
|Losses and loss adjustment expenses                           |                           |   | (274.1                  | )      |      |   | (299.5          | )      |   |   | (227.4 | )     
|Underwriting acquisition costs                                |                           |   | (64.1                   | )      |      |   | (49.0           | )      |   |   | (62.2  | )     
|Operating and administration expenses                         |                           |   | (15.3                   | )      |      |   | (15.3           | )      |   |   | (11.2  | )     
|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |       
|                                                              | Total losses and expenses |   |                         | (353.5 | )    |   |                 | (363.8 | ) |   |        | (300.8 | )
|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |       
|                                                              | Segment loss              |   | $                       | (64.4  | )    |   | $               | (71.6  | ) |   | $      | (16.8  | )
|                                                              |                           |   |                         |        |      |   |                 |        |   |   |        |       
|Ratios:                                                       |                           |   |                         |        |      |   |                 |        |   |   |        |       
|Loss ratio                                                    |                           |   | 96.2                    | %      |      |   | 108.8           | %      |   |   | 101.4  | %     
|Underwriting expense ratio                                    |                           |   | 22.5                    | %      |      |   | 17.8            | %      |   |   | 27.8   | %     
|Administration expense ratio                                  |                           |   | 5.3                     | %      |      |   | 5.9             | %      |   |   | 5.1    | %     
|Combined ratio                                                |                           |   | 124.0                   | %      |      |   | 132.5           | %      |   |   | 134.3  | %     
|Adjusted combined ratio (1)                                   |                           |   | 113.1                   | %      |      |   | 114.2           | %      |   |   | 122.9  | %     



|(1) |  | The adjusted non-life combined ratio is calculated excluding prior years
reserve development and September 11th terrorist attacks.
|--- |  | -----------------------------------------------------------------------------------------------------------------------------------

Year Ended December 31, 2002 Compared to Year Ended December 31, 2001

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Converium Cologne Segment Loss

Converium Cologne reported a segment loss of $64.4 million in 2002
compared to a segment loss of $71.6 million in 2001. In 2002, Converium
Cologne had losses of $49.5 million related to the European floods and
approximately $31.1 million in net adverse loss reserve development. In
addition, investment results declined $9.8 million. In 2001, Converium Cologne
recognized $9.0 million in net losses arising from the September 11th terrorist
attacks, $32.6 million from other large losses and $41.3 million in net adverse
loss reserve development. In addition, Converium Cologne had a significant
decrease in 2001 of $42.4 million in investment results, primarily due to lower
realized capital gains and impairment losses on its equity portfolio.

Converium Cologne Premiums

In 2002, gross premiums written increased $3.5 million, or 1.2%, net
premiums written increased $32.0 million, or 12.4%, and net premiums earned
increased $9.5 million, or 3.6%. During 2002, Converium Colognes largest
growth regions in terms of premium volume were:



| |  | Europe, excluding Germany (net premiums written in 2002 increased 9.5% to $118.4 million),      
|- |  | ------------------------------------------------------------------------------------------------
| 
| |  | Germany (net premiums written in 2002 increased 9.5% to $101.2 million), and                    
| 
| |  | the Middle East and North Africa (net premiums written in 2002 increased 15.8% to $70.5 million)

Net premiums earned in 2002 increased at a lower rate than net premiums
written due to a high amount of earned premium in 2001 from underwriting year
2000 contracts which were not renewed.

Converium Cologne Net Investment Income and Net Realized Capital Losses

Converium Colognes net investment income and net realized capital losses
for the year ended December 31, 2002 were $4.7 million compared to $14.5
million for the year ended December 31, 2001, representing a decrease of $9.8
million, or 67.6%.

Net investment income was $28.2 million for the year ended December 31,
2002 compared to net investment income of $24.6 million for the year ended
December 31, 2001. The negative cash flow from our operating activities
combined with the further decreased interest yields on bonds in the Euro- and
U.S. Dollar-environment led generally to a reduction of investment income.
Offsetting this was the internal capital allocation of $147.0 million that
Converium Cologne received in January 2002, which contributed $7.8 million to
investment income.

Net realized capital losses were $23.5 million for the year ended December
31, 2002, compared with net realized capital losses of $10.1 million for the
year ended December 31, 2001. Net realized capital losses for the year ended
December 31, 2002 are comprised of:



| |  |  | Realized capital losses on our equity and bond portfolios of $22.9
million compared to $13.1 million for the year ended December 31, 2001.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Realized capital gains on our equity and bond portfolios of $22.3
million compared to $26.1 million for the year ended December 31, 2001. 
|
| |  |  | Realized capital gains on our real estate portfolio of $2.1 million.                                                                      
|
| |  |  | Impairments on our equity portfolio of $25.0 million compared to $23.1 million for the year ended December 31, 2001.                      

Realized capital gains and losses generated in the third and fourth
quarters of 2002 are primarily due to the restructuring of our bond and equity
portfolios in order to comply with the new group investment policy of passively
managed investments.

Converium Cologne Other (Loss) Income

Converium Cologne had other loss of $0.4 million for the year ended
December 31, 2002, compared to other income of $2.4 million for the year ended
December 31, 2001.

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Other loss was significantly impacted by non-technical expenses in the
amount of $6.6 million in 2002. This was partially offset by interest income on
reinsurance deposits in the amount of $2.0 million and $4.1 million
attributable to a new relationship with a large primary insurance group in
2002.

Converium Cologne Losses and Loss Adjustment Expenses

Converium Cologne had losses and loss adjustment expenses of $274.1
million for the year ended December 31, 2002 compared to $299.5 million for the
year ended December 31, 2001, representing a decrease of $25.4 million, or
8.5%.

In 2002, Converium Cologne booked $49.5 million in losses related to the
European floods and approximately $31.1 million in net adverse loss reserve
development on prior years business, primarily in the run-off markets. In
addition, Converium Cologne had several large claims in the marine lines of
business in the amount of $11.3 million in 2002. Excluding the impact of these
events, current year loss development improved significantly. The 2001 results
include losses of $9.0 million from the September 11th terrorist attacks as
well as a few other large losses, including BAYER Lipobay of $26.8 million.
Additionally, adverse loss development contributed $41.3 million to the overall
losses in 2001.

The loss ratio, as a percentage of net premiums earned, was 96.2% for the
year ended December 31, 2002 compared to 108.8% for the year ended December 31,
2001, representing an improvement in the loss ratio of 12.6 points. The current
loss ratio excluding adverse development from prior years was 85.3%.

Converium Cologne Underwriting Acquisition Costs

Converium Colognes underwriting acquisition costs were $64.1 million for
the year ended December 31, 2002 compared to $49.0 million for the year ended
December 31, 2001, representing an increase of $15.1 million, or 30.8%.

The increase of the underwriting acquisition costs corresponds with the
growth in net premiums, and reflects the increase of proportional business
written in the Middle East, where commission rates are generally higher than in
European markets.

Converium Colognes underwriting expense ratio, as a percentage of net
premiums earned, was 22.5% for the year ended December 31, 2002, compared to
17.8% for the year ended December 31, 2001.

Converium Cologne Operating and Administration Expenses

Converium Colognes other operating and administration expenses for each
of the years ended December 31, 2002 and 2001 were $15.3 million, respectively.
Due to a new cost allocation methodology between the life and non-life
segments of Converium Germany, a larger portion of the overall administration
expenses are now being allocated to the life segment.

The administration expense ratio, as a percentage of net premiums written,
was 5.3% for the year ended December 31, 2002, compared to 5.9% for the year
ended December 31, 2001.

Converium Cologne Combined Ratios

Converium Colognes combined ratio was 124.0% in 2002 and 132.5% in 2001.
In 2002, Converium Cologne booked $49.5 million in losses for the European
floods and $31.1 million in loss development on prior years business. In
2001, the increase in the loss ratio was due to the recognition of $9.0 million
in net losses arising from the September 11th terrorist attacks, $32.6 million
from other large losses and $41.3 million in net adverse loss reserve
development. The decrease in the underwriting expense ratio in 2001 was due to
both the non-renewal of proportional contracts with high ceding commissions as
well as generally lower commission rates due to the hardening reinsurance
market conditions. The adjusted combined ratio was 113.1% in 2002 and 114.2%
in 2001. The significant enhancement of the underlying profitability was
disturbed by the impact of the European floods, that added 17.4 percentage
points to both the combined ratio and the adjusted combined ratio.

Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium Cologne Segment Loss

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Converium Cologne reported a segment loss of $71.6 million in 2001
compared to a segment loss of $16.8 million in 2000, representing an increase
of $54.8 million. In 2001, Converium Cologne recognized $9.0 million in net
losses arising from the September 11th terrorist attacks, $32.6 million from
other large losses and $41.3 million in net adverse loss reserve development.
In addition, Converium Cologne had a significant decrease of $42.4 million in
net investment income and net realized capital losses. The components of
Converium Colognes segment income are described below.

Converium Cologne Premiums

Converium Colognes gross premiums written in 2001 were $299.9 million
compared to $241.3 million in 2000, representing an increase of $58.6 million,
or 24.3%. Net premiums written in 2001 were $257.8 million compared to $218.6
million in 2000, representing an increase of $39.2 million, or 17.9%.

The largest growth regions based on net premiums written were:



| |  |  | Germany, where net premiums written increased $46.3 million, or
88.5%, to $98.6 million in 2001 from $52.3 million in 2000. This growth
was primarily generated by two new proportional contracts that
contributed an additional $19.8 million in premiums and an increase in
our business with our industrial clients of $19.1 million.           
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Near/Middle East & North Africa, where net premiums written increased
$11.4 million, or 21.8%, to $63.6 million in 2001 from $52.2 million in
2000. The increase is due to the acquisition of two new accident and
health contracts in 2001 with $13.6 million in premiums partially offset
by the non-renewal of some poorly performing contracts.
|
| |  |  | Rest of Europe, where net premiums written increased $6.8 million, or
7.7%, to $94.8 million in 2001 from $88.0 million in 2000. This increase
is mainly a result of our growing facultative business and intensified
profitable client relationships in Central and Eastern Europe.                                                               
|
| |  |  | The above increases were offset by a decrease of $25.4 million,
generated by the cancellation of non-performing contracts in U.S.
accident and health business.                                                                                                                                                                                    

Net premiums earned in 2001 were $275.3 million compared to $224.2 million
in 2000, representing an increase of $51.1 million, or 22.8%.

Converium Cologne Net Investment Income and Net Realized Capital (Losses) Gains

Converium Colognes net investment income and net realized capital
(losses) gains in 2001 were $14.5 million compared to $56.9 million in 2000,
representing a decrease of $42.4 million, or 74.5%. The decrease was due to a
$0.9 million decrease in net investment income and a $41.5 million decrease in
net realized capital (losses) gains. The decrease in net investment income
reflects lower yields for Converium Colognes predominantly euro-denominated
investments. Net realized capital losses at Converium Cologne were $10.1
million in 2001 compared to net realized capital gains of $31.4 million in
2000, representing a decrease of $41.5 million. The decrease is primarily due
to $23.0 million in impairment losses on our equity portfolio as a result of
the continuing deterioration in global stock markets.

Converium Cologne Other Income

Converium Cologne reported other income of $2.4 million in 2001 compared
to $2.9 million in 2000. This primarily reflects interest on third-party
reinsurance deposits.

Converium Cologne Losses and Loss Adjustment Expenses

Converium Colognes losses and loss adjustment expenses in 2001 were
$299.5 million compared to $227.4 million in 2000, representing an increase of
$72.1 million, or 31.7%. This increase reflects the growth in net premiums
earned in addition to the following:



| |  |  | $9.0 million in losses from the September 11th terrorist attacks
| | - |  | ----------------------------------------------------------------

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| |  |  | $32.6 million in certain large loss events, including BAYER Lipobay
in the amount of $26.8 million, a chemical factory explosion in Toulouse
in the amount of $3.1 million, and the explosion and sinking of the oil
platform Petrobas resulting in $2.7 million in losses.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | $41.3 million in adverse loss development and reserve strengthening.
Cedants reported significantly worse than originally expected losses in
the European and Middle East motor lines in the fourth quarter of 2001
relating to prior years, which resulted in our increasing the related
reserves by $20.0 million. Additional reserves were set up in the Middle
East for energy and property business of $9.8 million. We also had
adverse loss development related to asbestos and environmental exposure
in the United States of $11.5 million. Based on the reserve
strengthening in this business our survival ratio, calculated by paid
losses of the last 3 years divided by reserves, increased to 13.8 years
in 2001 compared to a ratio of 13.1 years in 2000.

These losses were partially offset by the 2001 non-renewal of certain
under-performing treaties in the Middle East and Eastern Europe. The loss ratio
increased 7.4 points to 108.8% in 2001 from 101.4% in 2000, reflecting the
factors noted above.

Converium Cologne Underwriting Acquisition Costs

Converium Colognes underwriting acquisition costs in 2001 were $49.0
million compared to $62.2 million in 2000, representing a decrease of $13.2
million, or 21.2%. The decrease was primarily due to:



| |  |  | the decision not to renew several proportional contracts with high
ceding commissions in the Middle East and Eastern Europe       
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the decision not to renew U.S. accident and health business which had
a higher commission ratio compared to the remaining business
|
| |  |  | a profit participation for a single large contract in 2000 of $2.7 million                                                        
|
| |  |  | generally lower commission rates due to conditions hardening in the reinsurance market                                            

Converium Colognes underwriting expense ratio was 17.8% in 2001 compared
to 27.8% in 2000, representing an improvement of 10.0 points.

Converium Cologne Operating and Administration Expenses

Converium Colognes other operating and administration expenses in 2001
were $15.3 million compared to $11.2 million in 2000, representing an increase
of $4.1 million, or 36.6%. The administration expense ratio increased to 5.9%
in 2001 from 5.1% in 2000. This increase was due to increased headcount,
increased information technology costs to support our growth and higher legal
and consulting fees.

Converium Cologne Combined Ratios

Converium Colognes combined ratio decreased 1.8 points to 132.5% in 2001
from 134.3% in 2000, reflecting the increase of 7.4 points in our loss ratio, a
decrease of 10.0 points in our underwriting expense ratio and an increase of
0.8 points in our administration expense ratio, all as described above.

Converium Life

The table below presents information regarding results of operations of
our Converium Life segment for the years ended December 31, 2002, 2001 and
2000.

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|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |        |  
|---------------------------------------------------- | ----------------------------------- | - | ----------------------- | ------ | ---- | - | --------------- | ------ | - | - | ----- | ------ | -
|                                                     |                                     |   | Year Ended December 31,
|                                                     |                                     |   |                        
|                                                     |                                     |   | 2002                    |        | 2001 |   | 2000           
|                                                     |                                     |   |                         |        |      |   |                
|                                                     |                                     |   |                         |        |      |   | ($ in millions) |        |   |   |      
|Revenues:                                            |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|Gross premiums written                               |                                     | $ | 199.0                   |        |      | $ | 164.8           |        |   | $ | 120.5 |       
|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|Net premiums written                                 |                                     |   | 168.0                   |        |      |   | 141.4           |        |   |   | 114.4 |       
|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|Net premiums earned                                  |                                     |   | 164.4                   |        |      |   | 125.1           |        |   |   | 106.0 |       
|Net investment income and net realized capital gains |                                     |   | 7.8                     |        |      |   | 2.4             |        |   |   | 5.7   |       
|Other income                                         |                                     |   | 6.8                     |        |      |   | 13.7            |        |   |   | 21.6  |       
|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|                                                     | Total revenues                      |   |                         | 179.0  |      |   |                 | 141.2  |   |   |       | 133.3  |  
|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|Benefits, losses and expenses:                       |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|Benefits and losses                                  |                                     |   | (156.7                  | )      |      |   | (137.4          | )      |   |   | (84.5 | )     
|Underwriting acquisition costs                       |                                     |   | (34.6                   | )      |      |   | (5.7            | )      |   |   | (34.5 | )     
|Operating and administration expenses                |                                     |   | (7.1                    | )      |      |   | (5.2            | )      |   |   | (4.0  | )     
|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|                                                     | Total benefits, losses and expenses |   |                         | (198.4 | )    |   |                 | (148.3 | ) |   |       | (123.0 | )
|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|                                                     | Segment loss                        |   | $                       | (19.4  | )    |   | $               | (7.1   | ) |   | $     | 10.3   |  
|                                                     |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|Ratios:                                              |                                     |   |                         |        |      |   |                 |        |   |   |       |       
|Underwriting expense ratio                           |                                     |   | 21.0                    | %      |      |   | 4.5             | %      |   |   | 32.5  | %     
|Administration expense ratio                         |                                     |   | 4.2                     | %      |      |   | 3.7             | %      |   |   | 3.5   | %     

Year Ended December 31, 2002 Compared to Year Ended December 31, 2001

Converium Life Segment Loss

Converium Life reported a segment loss of $19.4 million in 2002, compared
to a segment loss of $7.1 million in 2001. The segment losses in 2002 and 2001
are primarily driven by losses of $20.1 million in 2002 and $12.4 million in
2001 on a closed block of long-term variable annuity business. The variable
annuity losses arise from guaranteed minimum death benefit contracts, whereby
the minimum benefit is determined by the development of investment results from
the capital markets. Following the ongoing downturn of the international equity
markets, reserve strengthening of $15.6 million was required in 2002 in order
to align the reserves to the expected future benefits. In addition to that,
claims in the amount of $12.5 million were paid in 2002 against net premiums
earned of $8.1 million regarding this closed block of long-term variable
annuity business.

Converium Life Premiums

In 2002, gross premiums written increased $34.2 million, or 20.8%, net
premiums written increased $26.6 million, or 18.8%, and net premiums earned
increased $39.3 million, or 31.4%. The increase in premiums written in 2002 is
mainly driven by growth in:



| |  | Far East/Pacific Rim and North America (net premiums written in 2002 increased 25.1% to $67.3 million),         
|- |  | ----------------------------------------------------------------------------------------------------------------
| 
| |  | Europe, excluding Italy and France (net premiums written in 2002 increased more than 50.0% up to $45.6 million),
| 
| |  | Italy (net premiums written in 2002 increased 33.5% to $24.7 million), and                                      
| 
| |  | France (net premiums written in 2002 more than doubled to $16.9 million).                                       

This was partially offset by the decline of business written in Latin
America (net premiums written in 2002 declined 64.5% to $5.9 million), due to
the weak economic situation in South America and to a change in governmental
regulation concerning the pension system in Argentina.

The increase in net premiums earned in 2002 relative to net premiums
written was the result of the strong premium growth experienced in late 2001,
now being earned in 2002.

Converium Life Net Investment Income and Net Realized Capital Gains

Converium Lifes net investment income and net realized capital gains for
the year ended December 31, 2002 were $7.8 million compared to $2.4 million for
the year ended December 31, 2001, an increase of $5.4 million, or 225.0%.

Net investment income was $4.6 million for the year ended December 31,
2002 compared to net investment income of $2.4 million for the year ended
December 31, 2001. An internal capital allocation of $50.0 million, which
Converium Life received in January 2002, contributed $2.6 million to investment
income in 2002.

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Net realized capital gains were $3.2 million for the year ended December
31, 2002, compared to no realized capital gains or losses in 2001. Net
realized capital gains for the year ended December 31, 2002 were comprised of
the following:



| |  |  | Realized capital losses on our equity and bond portfolio in the amount of $0.1 million
| | - |  | --------------------------------------------------------------------------------------
|
| |  |  | Realized capital gains on our equity and bond portfolio in the amount of $3.3 million 

Realized capital gains and losses generated in the third and fourth
quarters of 2002 are primarily due to the restructuring of our bond and equity
portfolios in order to comply with the new group investment policy of passively
managed investments.

Converium Life Other Income

Converium Life had other income of $6.8 million for the year ended
December 31, 2002, compared to other income of $13.7 million for the year ended
December 31, 2001.

Other income mainly resulted from interest on third-party reinsurance
deposits, which amounted to $6.8 million for the year ended December 31, 2002,
compared to $13.4 million for the year ended December 31, 2001. The decrease
was partially offset by an increase in other income of $2.1 million, which is
in line with the growth of the underlying business.

In 2001, the final settlement of a single contract with a Scottish primary
insurance company led to $8.7 million in non-recurring other income.

Converium Life Benefits and Losses

Converium Lifes benefits were $156.7 million for the year ended December
31, 2002 compared to $137.4 million for the year ended December 31, 2001,
representing an increase of $19.3 million, or 14.0%.

Converium Lifes benefits in 2002 and 2001 are primarily driven by losses
on a closed block of long-term variable annuity business. The variable annuity
losses arise from guaranteed minimum death benefit contracts, whereby the
minimum benefit is determined by the development of investment results from the
capital markets. Following the ongoing downturn of the international equity
markets, reserve strengthening of $15.6 million was required in 2002 in order
to align the reserves to the expected future life benefits. In addition to
that, claims in the amount of $12.5 million were paid in 2002 against net
premiums earned of $8.1 million regarding this closed block of long-term
variable annuity business.

Converium Life Underwriting Acquisition Costs

Converium Lifes underwriting acquisition costs were $34.6 million for the
year ended December 31, 2002, compared to $5.7 million for the year ended
December 31, 2001, representing an increase of $28.9 million, or 507.0%.

The increase in underwriting acquisition costs is primarily due to an
increase in the underlying business and amortization of deferred acquisition
costs in the Italian run-off business. In 2001, Converium Life had some
extraordinary items with the commutation of a large contract in the amount of
$3.3 million and a refunding of commissions from our strategic retrocessions in
the amount of $7.3 million.

Converium Lifes underwriting expense ratio, as a percentage of net
premiums earned, was 21.0% for the year ended December 31, 2002 and 4.5% for
the year ended December 31, 2001.

Converium Life Operating and Administration Expenses

Converium Lifes other operating and administration expenses for the year
ended December 31, 2002 were $7.1 million compared to $5.2 million for the year
ended December 31, 2001, representing an increase of $1.9 million, or 36.5%.
The increase in 2002 was mainly driven by the increase in staff to support the
growing business.

As a consequence, the administration expense ratio, as a percentage of net
premiums written, increased from 3.7% for the year ended December 31, 2001 to
4.2% for the year ended December 31, 2002.

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Year Ended December 31, 2001 Compared to Year Ended December 31, 2000

Converium Life Segment (Loss) Income

Our Converium Life operations reported a loss of $7.1 million in 2001
compared to income of $10.3 million in 2000, representing a decrease of $17.4
million primarily due to increased benefits and losses, decreased other income
and decreased net investment income and net realized capital gains. These items
were partially offset by increased net premiums earned and decreased
underwriting acquisition costs. The components of segment income are described
below.

Converium Life Premiums

Gross premiums written by our Converium Life operations in 2001 were
$164.8 million compared to $120.5 million in 2000, representing an increase of
$44.3 million, or 36.8%. Net premiums written in 2001 were $141.4 million
compared to $114.4 million in 2000, representing an increase of $27.0 million,
or 23.6%.

This growth was consistent with our strategy to expand our Converium Life
operations, and principally related to broadened marketing activities and
extended customer relationships in most of our significant life reinsurance
markets. These markets include Germany, Italy, France, South America and the
United States. In addition, the opening of branches and representative offices
in Paris, Milan and Buenos Aires supported this growth. Also, growth in our
Converium Life risk premium business and modified co-insurance business from
the Italian and German markets contributed to the growth of the life portfolio.

Net premiums earned by our Converium Life operations in 2001 were $125.1
million compared to $106.0 million in 2000, representing an increase of $19.1
million, or 18.0%.

Converium Life Net Investment Income and Net Realized Capital Gains

Net investment income and net realized capital gains in 2001 were $2.4
million compared to $5.7 million in 2000, representing a decrease of $3.3
million, or 57.9%. This decrease reflects reduced invested assets primarily
resulting from a number of modified co-insurance contracts which we wrote in
2001 and which required the payment of substantial commissions at the time
these contracts were written. Additionally, our net investment income was
influenced by lower investment yields in 2001.

Due to a heavy emphasis on bonds in our life segment in 2001, we did not
generate a capital gain or loss for 2001. Our net realized capital gains in
2000 were $3.6 million.

Converium Life Other Income

Our Converium Life operations reported other income in 2001 of $13.7
million compared to $21.6 million in 2000, representing a decrease of $7.9
million, or 36.6%. Other income mainly results from interest on third-party
reinsurance deposits. In 2000, we received interest on deposits withheld of
approximately $9.0 million as part of the final settlement of a major contract
with World Wide Winsor, United Kingdom.

Converium Life Benefits and Losses

Converium Life benefits and losses in 2001 were $137.4 million compared to
$84.5 million in 2000, representing an increase of $52.9 million, or 62.6%.
This development is primarily related to the premium growth. Additionally,
$12.1 million of reserves for variable annuities business were recorded in
2001. This business is closely linked to the performance of the global stock
markets which performed poorly during 2001. Another $12.0 million of losses
were incurred arising out of the September 11th terrorist attacks.

Converium Life Underwriting Acquisition Costs

Underwriting acquisition costs of our Converium Life operations in 2001
were $5.7 million compared to $34.5 million in 2000. The decrease in
underwriting acquisition costs of $28.8 million was partly due to the
refinement of our estimation process, which allowed us to calculate commissions
more exactly. Additionally, a securitization contract was placed to fund the
payment of

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substantial commissions of modified co-insurance contracts which
contributed an income of $7.3 million in 2001. Finally, a reinsurance contract
was commuted, generating reduced commission expense of $3.3 million in 2001.

Converium Life Operating and Administration Expenses

Our Converium Life operating and administration expenses in 2001 were $5.2
million compared to $4.0 million in 2000, representing an increase of $1.2
million. The administration expense ratio reported by Converium Life was 3.7%
in 2001, compared to 3.5% in 2000. This increase was a result of increased
headcount, increased information technology costs to support our growth and
higher legal and consulting fees.

B. LIQUIDITY AND CAPITAL RESOURCES

We operate a treasury function responsible for managing our banking
relationships, capital raising activities, including equity and debt issues,
our overall cash, cash pooling and liquidity positions and the payment of
internal and external dividends. Individual subsidiaries are responsible for
managing local cash and liquidity positions, including the repayment of debt.

Liquidity Requirements

Our principal cash requirements are for the payment of dividends to
shareholders, servicing debt, investment in businesses, capital expenditures,
servicing retrocessional arrangements and for paying reinsurance and insurance
claims, which could periodically include significant cash requirements related
to catastrophic events.

Interest on debt and short-term borrowings was $16.4 million in 2002,
$24.2 million in 2001 and $17.1 million in 2000. We had no scheduled debt
repayments in 2002, 2001 or 2000. The carrying value of our outstanding debt
was at $390.4 million at December 31, 2002, $197.0 million at December 31, 2001
and $196.9 million at December 31, 2000.

Liquidity Sources

Our principal liquidity sources consist of premiums, fees, investment
income, proceeds from the sale and maturity of investment securities and
borrowings. Our business units pay reinsurance and insurance claims and
benefits and operating expenses predominantly from their own cash resources.
Most of our debt is funded by our businesses from their own cash resources. We
have generated combined net cash inflows from operating activities over the
last three years. As a reinsurer, our future cash flows are inherently
difficult to predict. For more detail on cash flows see Item 5.  Operating
and Financial Review and Prospects  Liquidity and Capital Resources  Capital
Requirements.

Our financial statements reflect investment income recorded pursuant to
the Zurich Financing Agreement, which was used to manage the cash flows of
Converium Zurich before we formed an independent legal entity to hold this
business. The Zurich Financing Agreement was cancelled effective July 1, 2001,
in conjunction with the establishment of the Funds Withheld Asset.

We do not expect the Funds Withheld Asset to have a material impact on our
liquidity, as we will not be required to access our own liquidity sources for
claims under the Quota Share Retrocession Agreement. We are, however, entitled
to receive cash advances with respect to the Funds Withheld Asset under certain
circumstances, which we expect will help meet significant cash requirements,
such as those after a catastrophic event.

Converium AG is entitled to borrow cash from ZIC if eligible losses from a
single event or series of related events not relating to the business covered
by the Quota Share Retrocession Agreement exceed $25.0 million. The amount that
may be borrowed as a result of any one event or series of related events is
limited to the lesser of $90.0 million, or actual losses from the event.
Converium AG is entitled to request multiple advances. However, it may never
borrow more than the Funds Withheld Asset balance, and the aggregate amount
that may be borrowed at any one time ranges from $105.0 million to $135.0
million for the period January 1, 2003 to September 30, 2003. Converium AG may
not request advances beyond September 30, 2003, unless agreed otherwise with
ZIC. No advances were outstanding at December 31, 2002 or 2001.

Under the Quota Share Retrocession Agreement, ZIC and ZIB have the right
to prepay to us, in whole or in part, the balance of the Funds Withheld Asset.

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Dividends from Subsidiaries

As a holding company, Converium relies in large part on cash dividends and
other permitted payments from its subsidiaries to make principal and interest
payments on debt, to pay other outstanding obligations and to pay dividends to
shareholders. Converium is subject to legal restrictions on the amount of
dividends it may pay to its shareholders. Similarly, the company laws of
countries in which our entities operate may restrict the amount of dividends
payable by such entities to their parent companies. In addition, the ability of
our entities to pay dividends may be restricted or influenced by minimum
capital and solvency requirements imposed by regulators in the countries in
which the entities operate.

In Switzerland, insurance supervisory regulations applicable to our Swiss
operating company require entities to fund their statutory reserves at a
minimum level of 20% of net profits until the statutory reserve fund reaches an
amount equal to 50% of the initial guarantee fund. For regulations applicable
to Converium Holding AG, see Item 8.  Financial Information  Dividends and
Dividend Policy.

In the United States, restrictions on payment of dividends are imposed by
the insurance laws and regulations of the state of domicile. For Converium
Reinsurance (North America) Inc., unless the Connecticut Insurance Commissioner
has granted prior approval, dividends are payable only from earned surplus and
are limited annually to the greater of 10% of the previous years policyholders
surplus or 100% of the previous years statutory net income. In addition,
Converium Reinsurance (North America) Inc. may not, for a period of two years
from the date of any change in control, make any dividend to its shareholders
without the prior approval of the Connecticut Insurance Commissioner.

In Germany, the minimum amount of statutory capital required is 10% of the
par value of the common stock. If the 10% criterion is met, dividends in an
amount equal to 100% of current year surplus can be paid. If the 10% criterion
is not met, dividends are limited to a maximum of 95% of current year surplus
less the prior year loss carryover.

The maximum dividend payable by Converium AG to Converium Holding AG
without regulatory approval amounted to approximately $192.1 million, net of
withholding tax, as of December 31, 2002. The maximum dividend that Converium
Holding AG is able to pay in 2003, before withholding tax, is approximately
$192.9 million as of December 31, 2002. We do not consider current legal and
regulatory dividend constraints to be a material limitation on the ability of
Converium AG to pay dividends to Converium Holding AG.

Debt Outstanding

As of December 31, 2002, we had total debt outstanding with a principal
amount of $400.0 million and a carrying amount of $390.4 million. We had no
scheduled debt repayments in 2002, 2001 or 2000.

In December 2002, Converium Finance S.A. issued $200.0 million
principal amount of non-convertible, unsecured, guaranteed subordinated
notes, which are irrevocably and unconditionally guaranteed on a
subordinated basis by each of Converium Holding AG and Converium AG. These
notes mature in full on December 23, 2032 and bear interest at the rate of
8.25%.

Converium North America assumed $200.0 million principal amount of
non-convertible, unsecured, unsubordinated senior notes originally issued
during October 1993. These notes mature on October 15, 2023 and bear interest
at the rate of 7.125%.

In addition, irrevocable letters of credit in the face amount of $372.4
million were outstanding as of December 31, 2002. We employ these letters of
credit principally to secure certain assumed reinsurance contracts. Invested
assets of $266.4 million, or 6.0% of our invested assets, excluding the Funds
Withheld Asset, secure these letters of credit. We have provided guarantees or
commitments of $50.0 million to external parties, which require us to, under
certain circumstances, make capital contributions or provide equity financing.
We know of no event that would require us to satisfy these guarantees.

Capital Requirements

As of December 31, 2002, we had total shareholders equity of $1,738.0
million ($43.55 per share) compared to $1,570.8 million ($39.27 per share) as
of December 31, 2001, an increase of $167.2 million ($4.28 per share). This
increase is mainly comprised of a gain of $135.8 million in our currency
translation account, due to the weakening of the U.S. dollar against the

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European currencies, and net income of $106.8 million. This was offset by
net unrealized losses on investments of $83.6 million, which reflects
unrealized losses on equity securities due to weaker capital market conditions
in 2002, offset by unrealized gains on fixed income securities due to lower
interest rates in 2002.

|                |                                                              |                         |      |          |      |  |      |        |   |  |   |        |  
|--------------- | ------------------------------------------------------------ | ----------------------- | ---- | -------- | ---- |  | ---- | ------ | - |  | - | ------ | -
|Cash Flows      |                                                              | Year Ended December 31,
|                |                                                              |                         |     
|                |                                                              |                         | 2002 |          | 2001 |  | 2000
|                |                                                              |                         |      |          |      |  |     
|Cash flow data: |                                                              |                         |      |          |      |  |      |        |   |  |   |       
|                | Cash provided by (used in) operating
activities              |                         | $    | 870.4    |      |  | $    | 311.5  |   |  | $ | (33.2  | )
|                | Net cash used in investing activities                        |                         |      | (1,093.3 | )    |  |      | (627.3 | ) |  |   | (130.7 | )
|                | Net cash provided by financing
activities                    |                         |      | 179.0    |      |  |      | 627.8  |   |  |   | 233.4  |  
|                | Effect of exchange rate changes on cash and
cash equivalents |                         |      | (15.1    | )    |  |      | (13.4  | ) |  |   | (15.7  | )
|                |                                                              |                         |      |          |      |  |      |        |   |  |   |       
|                | Change in cash and cash equivalents                          |                         |      | (59.0    | )    |  |      | 298.6  |   |  |   | 53.8   |  
|                | Cash and cash equivalents, beginning of
period               |                         |      | 420.5    |      |  |      | 121.9  |   |  |   | 68.1   |  
|                |                                                              |                         |      |          |      |  |      |        |   |  |   |       
|                | Cash and cash equivalents, end of period                     |                         | $    | 361.5    |      |  | $    | 420.5  |   |  | $ | 121.9  |  
|                |                                                              |                         |      |          |      |  |      |        |   |  |   |       

We held cash and cash equivalents of $361.5 million at December 31, 2002
compared to $420.5 million as of December 31, 2001, representing a decrease of
$59.0 million. In 2002, our investment managers were holding a higher level of
cash for duration matching purposes. In 2001, a large amount of cash and cash
equivalents was held at Converium Zurich, resulting from the Transactions.
This cash was subsequently deployed in 2002.

Our cash flows from operating activities result principally from premiums,
collections on losses recoverable and investment income, net of paid losses,
acquisition costs and underwriting expenses. Our cash provided by operating
activities was $870.4 million for the year ended December 31, 2002 compared to
$311.5 million for the year ended December 31, 2001, an increase of $ 558.9
million, or 179.4%. This increase was driven by improved operating performance
over 2001. In 2000, cash used in operating activities was driven by lower
recovery of ceded losses. Cash provided by financing activities in 2002 was
due to the issuance of the subordinated notes. Cash used in financing
activities in 2001 mainly resulted from decreases in the amount payable to
Zurich Financial Services.

As a reinsurer, our future cash flows are inherently difficult to predict.
This uncertainty is particularly pronounced with respect to some coverage we
provide, such as long-tail lines, where claims information emerges over a
relatively long period of time, and property catastrophe coverage, which
generally produces losses of low frequency but high severity. Accordingly, it
is not possible to predict our future cash flows from operating activities with
precision. As a consequence, our cash flows from operating activities may
fluctuate, perhaps significantly, from quarter to quarter and from year to
year. For example, our cash flows were adversely affected by the events of
September 11th. We expect that a significant portion of the cash outflows
relating to these events will occur over a period of two to five years, mainly
because of the time involved to determine with accuracy the losses of the
primary insurance companies and reporting these losses to reinsurers.
Accordingly, our cash flow and investment income will be impacted gradually
over the next five years.

We believe that our capital, liquidity, and borrowing ability is
sufficient to support our business and meet our present liquidity requirements.

New Accounting Standards

The Financial Accounting Standards Board (FASB) has issued the following new
standards, which we will be required to be adopted by Converium Group in the
future:

SFAS 146, Accounting for Costs Associated with Exit or Disposal Activities"

In June 2002, the FASB issued SFAS No. 146, Accounting for Costs
Associated with Exit or Disposal Activities, which addresses financial
accounting and reporting for costs associated with exit or disposal activities
and nullifies Emerging Issues Task Force Issue No. 94-3, Liability Recognition
for Certain Employee Termination Benefits and Other Costs to Exit an Activity
(including Certain Costs Incurred in a Restructuring). This standard is
effective for exit or disposal activities that are initiated after December 31,
2002 and will not have a material impact on the financial condition or results
of operations of Converium Group.

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SFAS 148, Accounting for Stock-Based CompensationTransition and Disclosurean
amendment of FASB Statement No. 123"

In December 2002, the FASB issued SFAS No. 148, Accounting for
Stock-Based CompensationTransition and Disclosurean amendment of FASB
Statement No. 123. This Statement amends SFAS No. 123, Accounting for
Stock-Based Compensation, to provide alternative methods of transition for a
voluntary change to the fair value based method of accounting for stock-based
employee compensation. In addition, this Statement amends the disclosure
requirements of SFAS No. 123 to require prominent disclosures in both annual
and interim financial statements about the method of accounting for stock-based
employee compensation and the effect of the method used on reported results.
This standard will not have a material impact on Converium Group.

C.     RESEARCH AND DEVELOPMENT, PATENTS, LICENSES

Not Applicable

D.     TREND INFORMATION

See  A. Operating Results




ITEM 6. DIRECTORS, SENIOR MANAGEMENT AND EMPLOYEES

A.     DIRECTORS AND SENIOR MANAGEMENT

Board of Directors

The board of directors of a Swiss corporation is ultimately responsible
for the policies and management of the corporation. The board approves the
strategic, accounting, organizational and financing policies to be followed by
the corporation. The board further appoints the executive officers and the
authorized signatories of the corporation, and supervises the management of the
corporation. Moreover, the board is entrusted with preparing shareholders
meetings and carrying out shareholders resolutions. The board may, pursuant to
its regulations, delegate the conduct of day-to-day business operations to
management under its control.

Our Articles of Incorporation require our Board of Directors to consist of
not less than four and not more than nine members. The ordinary term of office
is three years. On the expiration of their terms of office, directors may be
re-elected immediately. Directors complete their term of office at any one
general shareholders meeting. Directors are elected by a majority of the votes
cast by our shareholders at any one general shareholders meeting.

Our Board of Directors, which we expect will meet at least four times per
year, is responsible for determining our overall strategy and for the
supervision of management. It has a formal schedule of matters specifically
reserved for its decision. Except for matters specifically reserved for the
Board of Directors, the Chief Executive Officer of Converium, referred to as
the Group Chief Executive Officer, and, under his supervision, the members of
the Group Executive Committee have been given responsibility for the executive
management of Converium.

The members of our Board of Directors, their dates of birth, nationality
and terms of office are as follows:

|                                        |  |                   |  |             |  |                 |      | 
|--------------------------------------- |  | ----------------- |  | ----------- |  | --------------- | ---- | 
|Name                                    |  | Date of Birth     |  | Nationality |  | Term Expires in
|                                        |  |                   |  |             |  |                
|Terry G. Clarke (1)(2)                  |  | October 31, 1941  |  | British     |  |                 | 2004 | 
|Peter C. Colombo (Chairman)(1)(2)(3)(4) |  | June 15, 1934     |  | Swiss       |  |                 | 2004 | 
|Jürgen Förterer (3)                     |  | January 29, 1942  |  | German      |  |                 | 2004 | 
|Derrell J. Hendrix (3)                  |  | August 9, 1953    |  | American    |  |                 | 2004 | 
|Georg Mehl (Vice-Chairman)(1)(2)(4)     |  | August 11, 1939   |  | German      |  |                 | 2003 | 
|George G. C. Parker (3)(4)              |  | March 29, 1939    |  | American    |  |                 | 2003 | 
|Anton K. Schnyder (1)(2)(4)             |  | November 29, 1952 |  | Swiss       |  |                 | 2003 | 



---

|(1) |  | Member of the Nominations Committee 
|--- |  | ------------------------------------
|   
|(2) |  | Member of the Remuneration Committee
|   
|(3) |  | Member of the Finance Committee     
|   
|(4) |  | Member of the Audit Committee       

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Terry G. Clarkewas a consulting actuary with TillinghastTowers Perrin
and a Principal of Towers Perrin until his retirement at the end of 2001. He
joined their London office in 1986 and most recently was Managing Principal of
Tillinghasts North America practice. From 1978 until 1986, Mr. Clarke was a
member of the Norwich Winterthur Group senior management team. Prior to 1978,
he held various positions in the Norwich Union Group. Mr. Clarke is a fellow of
the Institute of Actuaries and is co-author of a number of papers on non-life
insurance subjects as well as a tutor and examiner. He is a member of a number
of professional committees both in the UK and continental Europe.

Peter C. Colombostarted his professional career with Gerling Group in
Cologne in 1959 and was Principal Officer of Gerling Globals Reinsurance
Company in London from 1963 to 1965. From 1965 through 1998 he worked for Union
Reinsurance Company in Zurich with various responsibilities. Mr. Colombo served
as President and CEO of Union Reinsurance Company from 1989, with appointments
as Managing Director in 1996 and as Deputy Chairman of the Board of Directors
in 1997. He also serves as Deputy Chairman of the Board of Directors of
Generali (Schweiz) Holding AG and a member of the advisory board of the
Barmenia Group in Wuppertal, Germany. Peter C. Colombo holds a Bachelor of
Social Sciences degree (Economics and Politics) from the University of
Birmingham, England.

Jürgen Förtererhas served, since 1997, as Chairman of the Executive
Management board of R+V Versicherung AG, the holding company of R+V
Versicherungsgruppe. Previously, Mr. Förterer served as Deputy Chairman of the
Executive Management Board of R+V Versicherungsgruppe in Wiesbaden, Germany
beginning in 1996. He started his professional career in 1977 with Norddeutsche
Landesbank in Hannover and joined Allianz AG in Munich, Germany in 1980 and was
appointed as a member of the Executive Management Board of Allianz
Lebensversicherungs-AG, Stuttgart, Germany in 1993. Additionally, Mr. Förterer
serves as a member of the supervisory boards of Hermes Kreditversicherungs AG,
Raiffeisen Druckerei GmbH, and R&V Pensionfonds AG. He graduated from the
Ruhr-University in Bochum, Germany in 1972 and received a doctorate degree from
the Technical University of Hannover in 1978.

Derrell J. Hendrixis the Manager and Chief Executive Officer of The
RISConsulting Group LLC, a Boston-based risk management consulting company
which he founded in 1996 together with Hannover Rückversicherungs AG through
its U.S. subsidiary, Insurance Corporation of Hannover. Previously, Mr. Hendrix
served from 1995 to 1996 as Managing Director and Head of Derivatives at Bank
of Boston. He began his career at Citibank in 1977 and from 1980 through 1995
he held various department head positions in Citicorps banking and investment
banking operations in Toronto, Hong Kong and London. Mr. Hendrix holds a Master
of Arts from the Fletcher School of Law and Diplomacy, Medford, Massachusetts
and a Bachelor of Arts from Amherst College, Amherst, Massachusetts.

Georg Mehlhas served as a consultant for the Wüstenrot & Württembergische
Group, Stuttgart, Germany, since 2001 and in addition as a member of the
Executive Management Board of Hanse-MarineVersicherung AG, Hamburg, Germany,
both until the end of 2002. Previously, he served in a series of positions with
the Württembergische Group, most recently as CEO of Wüstenrot &
Württembergische AG. Previously, Georg Mehl worked for almost 30 years with the
Allianz Group, Hamburg and Munich, Germany. He is Chairman of the Board of
Sektkellerei Schloss Wachenheim AG, Trier, Germany. Mr. Mehl also serves as a
member of the supervisory or advisory boards of several German financial
services and commercial companies. He graduated from the German Insurance
Academy in Cologne, Germany, in 1961.

George G. C. Parkeris a Dean Witter Distinguished Professor of Finance
and Management, Graduate School of Business, Stanford University, U.S. From
1993 to 2001, Professor Parker was senior associate dean for academic affairs
and director of the MBA Program at Stanford. Prior to this, Professor Parker
served as director for Executive Education, Stanford Business School between
1979 and 1988 and from 1973 to 1979 he was director of the Stanford Sloan
Program for Executives. He is currently a board member of California Casualty
Group of Insurance Companies, San Mateo, California; Continental Airlines Inc.,
Houston, Texas; and various other U.S. based companies. He graduated from
Haverford College, Pennsylvania with a degree in economics in 1960, and
received a Master of Arts in finance in 1962 and a Doctor of Philosophy in
finance in 1967, each from Stanford.

Anton K. Schnyderhas served as a full professor for private law at the
University of Basel, Switzerland, since 1993. As of summer term 2003 he has
been appointed at Zurich University as a full professor for private and
international as well as comparative law. In 1994 he was appointed
Vice-President of the Federal Appeal Commission supervising private insurance.
From 1987 to 1993, Professor Schnyder served as a corporate legal adviser to
the Zurich Insurance Group and from 1992 as a member of the executive staff. He
graduated from Zurich University, Switzerland in 1978 and received his
doctorate degree in 1981, being awarded a

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Professor-Walther-Hug-Prize for his doctoral thesis. Additionally he holds
a Master of Laws from the University of California, Berkeley. For many years he
has been a special advisor to the governments of Switzerland and Liechtenstein
for insurance legislation.

The business address for each member of our Board of Directors is
Converium Holding AG, Baarerstrasse 8, CH-6300 Zug, Switzerland.

Senior Management

Converiums lead executives comprise an executive management team, the
Group Executive Committee. It has five members: The Group Chief Executive
Officer, the Chief Executive Officers of each of the business segments Coverium
Zurich, Converium North America, Converium Cologne/Converium Life, and the
Group Chief Financial Officer. The Group Executive Committee is responsible for
implementing the Groups overall strategy, ensuring effective collaboration
between each of Converiums subsidiaries and business segments, and reviewing
progress against financial and operating plans as approved by the Board of
Directors.

The members of our Group Executive Committee, their dates of birth,
nationality and current areas of responsibility are as follows:

|                 |  |                  |  |             |  |                                                          
|---------------- |  | ---------------- |  | ----------- |  | ---------------------------------------------------------
|Name             |  | Date of Birth    |  | Nationality |  | Area of Responsibility                                   
|                 |  |                  |  |             |  |                                                          
|Dirk Lohmann     |  | November 8, 1958 |  | German      |  | Group Chief Executive Officer, Converium                 
|Richard E. Smith |  | January 12, 1946 |  | American    |  | Chief Executive Officer, Converium North America         
|Frank Schaar     |  | April 16, 1960   |  | German      |  | Chief Executive Officer, Converium
Cologne/Converium Life
|Benjamin Gentsch |  | April 21, 1960   |  | Swiss       |  | Chief Executive Officer, Converium Zurich                
|Martin A. Kauer  |  | January 20, 1959 |  | Swiss       |  | Group Chief Financial Officer, Converium                 

Dirk Lohmannis Group Chief Executive Officer of Converium. He joined
Zurich Financial Services in September 1997 as Chief Executive Officer of its
reinsurance operation in Zurich and of its German operating subsidiary,
Converium Rückversicherung (Deutschland) AG. In July 1998, Mr. Lohmann was
appointed as a member of the Group Executive Board of Zurich Financial
Services, serving as the Chief Executive Officer of its global reinsurance
operations. Before joining Zurich Financial Services, Mr. Lohmann held various
management positions at Hannover Re between 1980 and 1997, most recently as a
member of the Executive Board of Management. Mr. Lohmann received a Bachelor of
Arts degree in economics and political science from the University of Michigan,
Ann Arbor.

Richard E. Smithis the Chief Executive Officer of Converium North
America. He has served as the Chief Executive Officer of Zurich Reinsurance
(North America), Inc. since 1996 and has been President since June 1995. Mr.
Smith was Chief Operating Officer of Zurich Reinsurance Centre, Inc. from March
1993 to May 1996. Previously, Mr. Smith was Senior Vice President, Business
Development of Centre Reinsurance Limited from 1992 until March 1993. From 1982
until 1992, Mr. Smith was employed by Guy Carpenter & Company, Inc. where he
served as a Senior Vice President and a member of the Board of Directors. From
1975 to 1982, Mr. Smith was employed by A.M. Best Company, most recently as
Vice President in charge of the property/casualty ratings division. Mr. Smith
holds a Bachelor of Arts Degree from United States International University in
San Diego. He also is a member of the Board of Directors of International
Financial Group, Inc.

Frank Schaaris Chief Executive Officer of Converium Germany and in charge
of the business segments Converium Cologne and Converium Life. He joined
Converium Rückversicherung (Deutschland) AG in 2000 and has served in his
current capacity since January 2000. He was previously employed by Hannover Re
for 17 years through 1999, most recently serving as a Managing Director and a
member of the extended board in charge of Asia, Australia and Africa. From 1982
until 1997, Mr. Schaar served as Senior Vice President with responsibilities
for Germany. Mr. Schaar holds a degree in insurance economics and worked as a
lecturer in reinsurance at the Institute for Professional Development of the
Insurance Association in Hannover for ten years.

Benjamin Gentschis the Chief Executive Officer of Converium Zurich. In
1998, he joined Zurich Re as the Chief Underwriting Officer Overseas where he
was given the mission to strengthen the companys position in the assigned
markets in the Asian, Australian, African and Latin American markets. In
addition, he took charge of the global aviation reinsurance department and
built up departments for professional risks and global marine reinsurance. In
September 2002, Benjamin Gentsch was appointed Chief

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Executive Officer of Converium Zurich. Previously, between 1986 and 1998,
Benjamin Gentsch held various positions at Union Re, Zurich. Since 1990 he was
responsible for treaty reinsurance business from the Asian and Australian
markets. He studied business administration at the University of St. Gallen in
Switzerland, with special focus on risk management and insurance.

Martin A. Kaueris Group Chief Financial Officer of Converium. He has
served as Chief Financial Officer of Zurich Financial Services global
reinsurance operations since July 1998. From 1996 to 1998, Mr. Kauer managed
the demutualization of Rentenanstalt/Swiss Life, where he was also responsible
for Strategic Planning and Controlling. Previously, Mr. Kauer worked for Union
Bank of Switzerland as an investment banker. Mr. Kauer holds a degree in
economics from the University of Zurich, Switzerland.

The standard notice period for termination of members of the Group
Executive Committee is six months, with the exception of the Group Chief
Executive Officer who has a notice period of twelve months, reflecting the
traditional practice of Swiss-based companies. However, there are certain
exceptions to this standard, reflecting prevailing local practices in the
jurisdictions where the executives are currently employed.

The business address for each member of our Group Executive Committee is
Baarerstrasse 8, CH-6300 Zug, Switzerland.

B.     COMPENSATION

Compensation of Directors

Directors fees have been determined to ensure that we can attract and
retain high caliber individuals appropriate to serve a global reinsurance
organization. We have adopted a Directors Stock Option Plan to provide for
grants of equity-based compensation to our directors.

In compensation for their services, the members of the Board receive a
fixed cash sum and share options for each annual term, the time period from one
Annual General Meeting to the next.

|              |  |                   |  |                    
|------------- |  | ----------------- |  | -------------------
|Position      |  | Cash Compensation |  | Equity Compensation
|              |  |                   |  |                    
|Chairman      |  | $60,000 in cash   |  | $75,000 in options 
|Vice-Chairman |  | $50,000 in cash   |  | $60,000 in options 
|Directors     |  | $40,000 in cash   |  | $50,000 in options 

We do not compensate our directors for attendance at Board of Directors or
committee meetings.

We have granted the option component of directors compensation at the end
of the period for which they were due, and have provided our directors with an
initial grant of options at our first annual general shareholders meeting,
which was held April 30, 2002. This grant was pro rata to reflect a partial
year of service. We plan to make grants to our directors for future periods on
the dates of subsequent annual general shareholders meetings.

In determining the number of options to be granted, options will be valued
based on the Black-Scholes option pricing model, and will be based on the fair
market value of our shares at the date of the first date of the annual period
for which they have been granted. Options granted to our directors will vest
immediately, have a term of 10.5 years, and have an exercise price equal to
fair market value at the beginning of the period for which they were granted.

Compensation of Senior Management

The total aggregate compensation of the officers of the Group Executive
Committee in 2002 was $5.0 million including base salary and cash awards under
short and long term incentive plans paid during 2002 (Group Annual Incentive
Plan), IPO related incentive payments and the estimated value of other
compensation-related items. In addition, Group Executive Committee members
held shares and options at the end of December 2002. Some were awarded under
Converiums new share plan, some converted to Converium shares and options from
Converiums former parent, Zurich Financial Services, and others bought in
conjunction with the IPO or otherwise.

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Employee Incentive and Benefit Plans

An important component of our compensation program is the provision of
additional employee benefits designed to encourage our employees to pursue our
annual and longer-term objectives. These incentive plans are designed to
attract, retain and motivate executives and staff committed to achieving
performance-related targets and align the interests of our employees with those
of our shareholders.

Accordingly, we have established incentive programs where benefits are
linked to both corporate, financial and business as well as individual
performance targets. Additionally, our long-term incentive plans include equity
participation and stock option plans or their equivalent. These plans took
effect at the time of the Formation Transactions. Their terms are summarized
below.

Moreover, following completion of the Formation Transactions, our officers
and employees were granted Converium shares and options to reflect the
conversion of awards previously granted to them under Zurich Financial Services
plans and relating to Zurich Financial Services equity securities. These
awards were granted by us, but reflect awards held by these employees from
prior years of service with Zurich Financial Services, as well as awards
granted as part of the retention plan created in connection with our separation
from Zurich Financial Services. We also provide new grants for current service
years under our new plans.

Transition to Converium Plans

Zurich Financial Services Share Based Plans

Prior to the Formation Transactions, employees of Converium Group
participated in various share compensation and incentive plans of Zurich
Financial Services. After the Formation Transactions, Converium Group
established a number of independent share-based plans for its employees and
certain Zurich Financial Services share based plans were converted into
Converium Group shares and options.

Share Plans

Certain Converium Group employees participated in long-term incentive
plans operated by Zurich Financial Services. The outstanding share awards to
Converium Group employees under the Zurich Financial Services long-term
performance share plans were converted into 209,790 shares of Converium Holding
AG, of which 83,531 shares vested in 2002, 24,636 shares were forfeited during
2002, and 101,623 shares vest in 2003.

Share Option Plans

Under the Global Share Option Plan, certain executives were awarded
options annually to purchase shares of Zurich Financial Services. The
outstanding options to purchase shares of Zurich Financial Services were
converted into 14,769 options to purchase shares in Converium Holding AG. The
expiration and term of the Converium Holding AG options is the same as the
options from which they were converted.

New Compensation Plans

Share Plan

Converium has adopted a standard stock option plan for our non-U.S.
employees, a standard stock purchase plan for our non-U.S. employees, and an
omnibus share plan for our U.S. employees. These arrangements, which we refer
to collectively as the Share Plan, establish the framework by which we grant
awards to selected executives, employees and consultants of Converium and its
subsidiaries. In addition, our subsidiaries are able to establish so-called
sub-plans under the Share Plan in order to address local law and competitive
practice concerns. However, we intend that the terms of these sub-plans will be
substantially the same as the Share Plan.

Pursuant to Article 3a of our Articles of Incorporation, our share capital
can be increased by the issuance of up to 4,000,000 of our shares, 3,200,000 of
which is reserved under the Share Plan for the grant of options, restricted
shares, restricted share units, and other share-based awards. A total of 6,217
shares have been issued from the contingent capital, while the remainder of the
shares required under the plans thus far have been purchased in the open market
to effect the conversion of our employees rights under Zurich Financial
Services plans or our retention plan, as well as satisfying new awards for
current service years under our new plans.

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Awards are granted at the discretion of our Remuneration Committee.
Generally, the size of a participants award is based on the level of
responsibility and position, market conditions and the extent of the executive
or employees prior participation in the Converium plans described above.

Following consummation of the global offering, 732,329 options, with an
exercise price equal to the offering price, and 706,691 restricted shares were
granted to our employees. During 2002, an additional 420,785 Options and 29,732
restricted shares were granted. New options granted have an exercise price
equal to the market value of the shares or ADSs on date of grant, vest 25%
immediately on the grant date and 25% will vest each year thereafter and will
have a 10.5 year term. New restricted shares granted will vest in their
entirety in six years, subject to acceleration after year three based on the
achievement of certain performance objectives. As described above, some of
these shares were issued to effect the conversion of our employees rights
under Zurich Financial Services plans, that will vest according to the terms of
the original grants.

In connection with these plans, we incurred approximately $24.4 million of
incentive compensation in 2002. In addition, we set aside approximately $0.3
million in 2002 to provide pension, retirement and similar benefits to our
directors and Group Executive Committee members under these plans.

Grants to Group Executive Committee

Group Executive Committee members held shares and options at the end of
December 2002. Some were awarded under Converiums new Share Plan, some
converted to Converium shares and options from Converiums former parent,
Zurich Financial Services, and others bought in conjunction with IPO or
otherwise.

|                 |  |                  |        |                   |  |                   |        |                   |  |  |        |  |  |  |         | 
|---------------- |  | ---------------- | ------ | ----------------- |  | ----------------- | ------ | ----------------- |  |  | ------ |  |  |  | ------- | 
|                 |  | Shares allocated |        | Shares held at    |  | Options allocated |        | Options held at  
|Name             |  | in 2002(1)       |        | December 31, 2002 |  | in 2002(2)        |        | December 31, 2002
|                 |  |                  |        |                   |  |                   |        |                  
|Dirk Lohmann     |  |                  | 7,122  |                   |  |                   | 24,808 |                   |  |  | 37,067 |  |  |  | 199,919 | 
|Richard E. Smith |  |                  | 10,357 |                   |  |                   | 41,854 |                   |  |  | 33,857 |  |  |  | 112,835 | 
|Frank Schaar     |  |                  | 1,418  |                   |  |                   | 4,488  |                   |  |  | 9,578  |  |  |  | 61,276  | 
|Benjamin Gentsch |  |                  | 1,639  |                   |  |                   | 6,681  |                   |  |  | 7,286  |  |  |  | 30,251  | 
|Martin A. Kauer  |  |                  | 2,171  |                   |  |                   | 8,358  |                   |  |  | 10,770 |  |  |  | 63,889  | 

As of the date of this annual report, none of the members of Group
Executive Committee beneficially owns more than 1% of our shares.

(1)  Shares allocated in 2002 include shares awarded under the Share Plan, which
vest on the sixth anniversary of date of grant subject to acceleration after
the third anniversary of the date of grant, and shares purchased through the
Employee Stock Purchase and Annual Incentive Plans.

(2)  Converium Options allocated in 2002 have an exercise price equal to the
market value of the shares or ADSs on date of grant, vest 25% immediately on
the grant date and 25% each year thereafter, and have a 10.5 year term. Also
included are converted options granted under a former Zurich Financial Services
plan, a portion of which vested January 31, 2002 and expire on January 31, 2006
and the remainder of which vest on January 31, 2003 and expire on January 31,
2007.

Annual Incentive Plan

We have also established annual incentive plans, whose primary purpose is
to provide direct annual financial incentive to employees who achieve corporate
performance goals established under our annual operating plan. Our subsidiaries
are able to establish separate plans to address local law and competitive
practice concerns, but we intend that the terms will be substantially the same
and refer to these plans collectively as the Annual Incentive Plan. Employees
are eligible for target awards under the Annual Incentive Plan ranging from 5%
to 100% of base salary. The size of the target award is determined by the
employees position and competitive data for similar positions at peer
companies. We set performance goals for participating employees and, in keeping
with our performance-based philosophy, the resulting awards decrease or
increase substantially if our actual corporate performance fails to meet or
exceeds target levels. The awards may range from below or above the target
amounts. The performance goals include both financial and non-financial
measures.

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Participants in our Annual Incentive Plan are permitted to defer a portion
of their bonus into restricted shares or units under our Annual Incentive
Deferral Plan. Unless otherwise determined by Converium, employees who
determine to do so will receive a 25% premium, paid in restricted shares or
bookkeeping units representing shares, on the amount deferred that will vest in
their entirety in three years. We have reserved 400,000 shares for issuance of
restricted shares under this plan.

Employee Stock Purchase Plan

We adopted, effective January 1, 2002, employee stock purchase plans for
the purpose of providing employees with an opportunity to participate in equity
ownership of Converium by purchasing our shares at a discount. As with the
Share Plan and the Annual Incentive Plan, our subsidiaries adopt disparate
plans on substantially the same terms, which we refer to collectively as the
Employee Stock Purchase Plan. One plan adopted for employees of U.S.
subsidiaries, is designed to meet the requirements of Section 423 of the U.S.
Internal Revenue Code which affords favorable tax treatment to U.S. employees.
We reserved 400,000 shares for issuance under the U.S. plan and 200,000 shares
for issuance under other employee share purchase plans. The price of our shares
under this plan, for each plan offering period, will be the lower of 85% of the
fair market value of the shares on the offering commencement date or 85% of the
fair market value of the shares on the offering termination date. One or more
other stock purchase plans have been adopted to cover selected Converium
employees outside the United States subject to and in accordance with
applicable local law. Our Board of Directors will authorize from time to time
the number of shares that are available under these other stock purchase plans.

Retention Awards

In conjunction with the Formation Transactions, we granted retention
awards to certain employees of Converium in the form of Converium restricted
shares that vest pro rata on the first and second anniversary of the completion
of the global offering. The number of our shares granted was calculated based
upon the offering price of the global offering.

IPO Share Grant

Employees other than those who were granted retention awards received, in
conjunction with the Formation Transactions, Converium restricted shares that
vest pro rata on the first and second anniversary of the completion of the
global offering. The number of shares granted was calculated based upon the
initial offering price of the global offering.

Stock Option Plan

Under the Stock Option Plan (the Stock Option Plan), certain employees
were awarded 420,785 options to purchase shares in Converium Holding AG in
2002. The exercise prices were equal to the market value of the shares or ADSs
on the grant date. Of the options awarded under the Stock Option Plan, 25%
vested immediately on the grant dates of April 1, 2002 and October 1, 2002 and
25% will vest each year thereafter. The options expire 10.5 years after the
date of grant.

During 2001, 312,329 options to purchase shares in Converium Holding AG
were awarded. The exercise prices were equal to the market value of the shares
or ADSs on the grant date. Of the options awarded under the Stock Option Plan,
25% vested immediately on the grant date of December 11, 2001, and 25% will
vest each year thereafter. The options expire 10.5 years after the date of
grant.

Executive IPO Option Plan

In connection with the Transactions, Converium Group granted certain
executives options to purchase shares in Converium Holding AG (the Executive
IPO Option Plan). Under the Executive IPO Option Plan, 420,000 options to
purchase shares in Converium Holding AG were awarded in 2001. The exercise
prices were equal to the market value of the shares or ADSs on the grant date.
Of the options awarded under the Executive IPO Option Plan, 25% vested
immediately on the grant date of December 11, 2001, and 25% will vest each year
thereafter. The options expire 10.5 years after the date of grant.

C. BOARD PRACTICES

Board Committees

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The Nominations Committee

Our nominations committee assesses and submits to the Board of Directors
for approval its proposals for the boards composition as well as that of its
committees. The nominations committee also reviews proposals by the Group Chief
Executive Officer regarding the composition of the Group Executive Committee
and the selection of our outside auditors. The nominations committee meets at
least twice a year.

The Remuneration Committee

The remuneration committee assesses and decides upon the overall
compensation of the members of the Group Executive Committee, other than the
Group Chief Executive Officer. Additionally, as a result of the amendments of
Converiums by-laws, adopted by the Board of Directors in its meeting of
October 25, 2002, the Remuneration Committee also determines the overall
compensation of the Head of Group Internal Audit. In addition, the
remuneration committee submits to the Board of Directors for approval its
proposals for the overall compensation received by the members of the Board of
Directors and the Group Chief Executive Officer. The remuneration committee
meets at least twice a year.

The Finance Committee

Our finance committee assesses our accounting standards and procedures and
decides on any capital increases in subsidiaries between $5.0 million and
$20.0 million. Furthermore, it submits to our Board of Directors for approval
its proposals for material changes, if any. In addition, our finance committee
reviews and submits resolutions for approval of the full board relating to
material financial matters including our annual combined budget, dividend
policy, investment policy and solvency planning, tax planning, capital
expenditures plans, reported year-end results and reserve policy. The finance
committee meets at least twice a year.

The Audit Committee

Our audit committee is responsible for reviewing our risk management
functions and for supervising the framework for our auditing process. We have
adopted an audit charter whose implementation is reviewed by the audit
committee. As part of this process, the audit committee reviews quarterly and
annual financial statements, internal control systems and our risk management
and auditing process. The audit committee also reviews material audit-related
matters including the scope and general extent of the internal and external
audit, including cost effectiveness, the independence and objectivity of our
external auditors and the nature and extent of non-audit services provided by
our external auditors. The audit committee meets at least twice a year. A
majority of the Audit Committee Members has to be financially literate.
Furthermore, only independent Board Members are eligible to sit on the Audit
Committee. As a result of the amendments of Converiums by-laws, adopted by
the Board of Directors in its meeting of October 25, 2002 the responsibility
for risk management matters has been transferred from the Finance Committee to
the Audit Committee, which is now responsible for Converiums risk management
policy.

As part of its responsibility to recommend an external auditor, the audit
committee submits a proposal to the Board of Directors for the appointment of
the external auditors for a term of one year, which is subsequently presented
to the Shareholders at the Annual General Meeting where it is voted and decided
upon. The current external audit mandate with PricewaterhouseCoopers AG
commenced on April 30, 2002, the date of the Annual General Meeting. At this
time the head auditor also took up office for the audit mandate.

The audit committee is supported in its supervisory task by Group Internal
Audit (GIA), which reports directly to the Audit Committee. The strategic
goals of GIA, which were approved by the Audit Committee in its meeting of
October 25, 2002, are as follows:



| |  |  | To evaluate the reliability and controls of the financial and risk
reporting systems and to provide reasonable assurance that material
errors and irregularities will be detected on a timely basis.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | To evaluate the integrity of financial information.                                                                                                                                                 
|
| |  |  | To evaluate compliance with policies, plans, procedures, regulations, laws and contracts.                                                                                                           
|
| |  |  | To safeguard company assets.                                                                                                                                                                        
|
| |  |  | To evaluate and promote efficient use of resources.                                                                                                                                                 
|
| |  |  | To coordinate and manage, on behalf of the Audit Committee, the
relationship with the public accounting firms for the Converium Group
companies.                                                    

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Indemnification of Officers and Directors

We maintain customary directors and officers insurance for our directors
and officers. Otherwise, neither our Articles of Incorporation nor any contract
or other arrangement contains any provision under which any of our directors is
indemnified in any manner against any liability that he or she may incur in his
or her capacity as such.

D. EMPLOYEES

As of December 31, 2002, Converium employed 813 people globally, including
332 at our offices in Zurich, 231 at our offices in the United States, 160 at
our offices in Cologne, 20 in other European countries, 31 in the Asia-Pacific
region and 39 in other regions. Of our total 813 employees, 756 are full-time
employees.

A relatively small number of our employees are represented by unions. We
have not experienced any material work stoppages in recent years and we believe
that our relations with our employees are excellent.

The following is the distribution of the persons employed.

|                                       |                     |  |                    |     |      |  |      |     |  |  |     |     | 
|-------------------------------------- | ------------------- |  | ------------------ | --- | ---- |  | ---- | --- |  |  | --- | --- | 
|                                       |                     |  | As of December 31,
|                                       |                     |  |                   
|                                       |                     |  | 2002               |     | 2001 |  | 2000
|                                       |                     |  |                    |     |      |  |     
|Number of employees                    |                     |  | 813                |     |      |  | 740  |     |  |  | 752 |    
|Breakdown by geographic location       |                     |  |                    |     |      |  |      |     |  |  |     |    
|                                       | Zurich              |  |                    | 332 |      |  |      | 274 |  |  |     | 292 | 
|                                       | United States       |  |                    | 231 |      |  |      | 237 |  |  |     | 262 | 
|                                       | Cologne             |  |                    | 160 |      |  |      | 148 |  |  |     | 135 | 
|                                       | Asia-Pacific region |  |                    | 31  |      |  |      | 29  |  |  |     | 32  | 
|                                       | Other regions       |  |                    | 59  |      |  |      | 52  |  |  |     | 36  | 
|Breakdown by main category of activity |                     |  |                    |     |      |  |      |     |  |  |     |    
|                                       | Underwriting        |  |                    | 290 |      |  |      | 274 |  |  |     | 240 | 
|                                       | Finance             |  |                    | 200 |      |  |      | 176 |  |  |     | 168 | 
|                                       | Actuarial           |  |                    | 77  |      |  |      | 69  |  |  |     | 56  | 
|                                       | Other               |  |                    | 246 |      |  |      | 221 |  |  |     | 274 | 

E. SHARE OWNERSHIP

As of the date of this annual report, none of the members of our Board of
Directors or Group Executive Committee beneficially owns more than 1% of our
shares. In addition, none of the members of our Board of Directors or Group
Executive Committee have an ownership interest in a company that is a major
client or broker of Converium.




ITEM 7. MAJOR SHAREHOLDERS AND RELATED PARTY TRANSACTIONS

A. MAJOR SHAREHOLDERS

As of
March 31, 2003, 26,554,213 shares were registered in our share register.
These shares were owned by 1,635 shareholders, of which 1,243 were private
individuals holding 1.28% of total outstanding shares, 148 were foundations and
pension funds holding 2.86% of total outstanding shares and 244 were other legal
entities holding 62.23% of total outstanding shares.

As of March 31, 2003, 16 holders with registered addresses in the United
States, including nominees with registered addresses in the United States, held
6,167,381 of our registered shares and 3,100 holders with registered addresses
in the United States, including nominees with registered addresses in the
United States, held 7,367,794 ADSs. These holdings represented 24.62% of the
total number of shares outstanding as of March 31, 2003. Brokers and other
nominees hold certain of our registered shares and ADSs. In addition,
some holders of our registered shares have not or may not register their holdings.
Consequently, the above figures may not state the actual number of U.S. beneficial holders or the number of registered shares or ADSs beneficially held
by persons in the United States.

As of the date of this annual report, and in accordance with the
notification requirements as set by the SWX Swiss Stock Exchange the following
are direct or indirect owners of 5% or more of our outstanding shares:

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Wellington Management Company, LLP, 75 State Street, Boston, MA 02109,
USA, holds 7.68% of the share capital of Converium Holding AG, Zug. Wellington
is an investment advisor and portfolio manager having voting authority for 47
investment advisory clients, none of which individually has an individual
shareholding in excess of 5%.

As per the respective notices to the company and to the Disclosure Office
of the SWX Swiss Exchange on November 7, 2002, various funds managed by
Fidelity International Limited, Pembroke Hall, 42 Crow Lane, Hamilton Bermuda
or its subsidiaries have acquired 10.06% of the share capital entered in the
Commercial Register. Fidelity is an investment advisor, which provides
investment advisory and management services to a number of non-U.S. investment
companies or instrument trusts and certain institutional investors.

Only one shareholder, a fund managed by Fidelity (Fidelity Fund SICAV,
Luxembourg  6.61%) is registered in our share register with an individual
shareholding which exceeds the 5% threshold as specified in article 663c of the
Swiss Code of Obligations.

In February 2003, Putnam Investment Management, LLC, and The Putnam
Advisory Company, LLD (together Putnam), One Post Office Square, Boston, MA
02109, reported that various funds managed by it have acquired 2,029,788
registered shares in Converium Holding AG. This corresponds to 5.074% of
Converiums registered shares. These shares are held in various funds managed
by Putnam. None of these funds is holding shares in an amount which exceeds 5%
of Converiums registered share capital, and the shares are held for investment
purposes. Each Putnam entity is an investment advisor registered in the United
States pursuant to the Investment Advisors Act 1940.

As of April 1, 2003, we have granted the members of our Group Executive
Committee an aggregate of 105,399 of our shares and options to purchase 560,434
shares representing approximately 2% of our shares. As of the date of this
annual report, the members of our Board of Directors were granted options to
purchase 6,960 shares. See Item 6.  Directors, Senior Management and
Employees  B. Compensation.

B.     RELATED PARTY TRANSACTIONS

In 2002, Converium has not provided any loans, advance payments or credit
lines to its directors and officers. As of the end of December 2002 there are
no such loans, advance payments or credit lines outstanding.

In May 2000, Converium Group entered into a strategic alliance with the
Medical Defence Union that resulted in a 49.9% participation in MDU Services
Ltd. MDU Services Ltd. distributes medical malpractice insurance policies to
the members of the Medical Defence Union. These insurance policies are issued
by Zurich Financial Services (UKISA), London, and are 100% reinsured by
Converium Group. Gross assumed premiums under this transaction were $140.0
million, $57.0 million and $30.2 million for 2002, 2001 and 2000, respectively.

In 2001, Converium acquired a 40% participation in SATEC, a leading global
space underwriting agency based in Venice, Italy. This participation was
increased to 48% in 2002. Gross assumed premiums through SATEC were $5.0
million and $3.2 million for 2002 and 2001, respectively.

In November 2002, Converium Zurich signed an agreement to take a 25%
shareholding in Global Aerospace Underwriting Managers Limited (GAUM), a
leading international aviation-underwriting agency. We received various
regulatory approvals and concluded the transaction in March 2003. We also
increased our participation in GAUMs aviation pool from 9% to 25%. Gross
assumed premium through GAUM were $60.6 million and $43.4 million for 2002 and
2001, respectively.

C.     INTERESTS OF EXPERTS AND COUNSEL

Not applicable.




ITEM 8. FINANCIAL INFORMATION

A.     CONSOLIDATED STATEMENTS AND OTHER FINANCIAL INFORMATION

Financial Statements

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See the consolidated financial statements beginning on page F-1.

Legal Proceedings

Converium Holding AG and its subsidiaries are continuously involved in
other legal proceedings, claims and litigation arising, for the most part, in
the ordinary course of its business operations as a reinsurer. The outcome of
such current legal proceedings, claims and litigation could have a material
effect on operating results or cash flows when resolved in a future period.
However, in the opinion of management these matters are not material to
Converium Groups financial position, with the exception of the matters
described below:

Unicover Litigation

The Seattle, Washington litigation and the New York Supreme Court
litigation among Converium Reinsurance (North America) Inc., (CRNA), the
members of the Unicover Occupational Accident Reinsurance Pool (the Pool),
Guy Carpenter & Company Inc. (Guy Carpenter) and Cragwood Managers, LLC have
been settled. On the basis of this settlement and the aggregate excess of loss
protection from Zurich Insurance Company, CRNA believes that it is fully
protected through reinsurance agreements for all potential liability in respect
of cessions assumed by CRNA from Amerisafe.

The March 2001 litigation initiated by Amerisafe against CRNA, Guy
Carpenter and Zurich Financial Services Group (ZFS) in the United States
District Court for the Western District of Louisiana is scheduled for trial in
August 2003. ZFS has been dismissed from the suit, and documentary and
deposition discovery is proceeding. Amerisafe contends that CRNA acted in bad
faith in making certain loss payments pursuant to a reservation of rights and
in initiating an arbitration and naming Amerisafe as a party in the Seattle,
Washington litigation referred to above. Amerisafe seeks damages in an unstated
amount. CRNA has moved for dismissal/summary judgment on the merits, which
motion was denied. CRNA has counterclaimed against Amerisafe seeking damages
and/or avoidance of future losses on the basis that Amerisafe failed to adhere
to underwriting guidelines. Based on the limited amount of information
available to date, we are unable to predict CRNAs chances of prevailing in
this action. On the basis of the aggregate excess of loss protection from
Zurich Insurance Company, CRNA believes that it is fully protected through such
agreement for all potential liability in respect of any judgment or settlement
of this action. In addition, as part of the settlement of the Seattle,
Washington action, the members of the Pool agreed to indemnify CRNA for 62% of
up to $5 million in legal expenses incurred in connection with this litigation;
this indemnity does not apply to any amounts which may be paid to Amerisafe
pursuant to a judgment or settlement.

Since late fall of 2000, CRNA has received a series of inquires from the
Louisiana Department of Insurance (LDI) investigating CRNAs disputes with
Amerisafe in response to a complaint filed by Amerisafe. We believe we have
fully and completely responded to all such inquires and the LDI has taken no
action against CRNA. The last inquiry to which CRNA responded was received in
August 2002, and since then CRNA has heard nothing further from the LDI.

Superior National Matters

After the purchase by Centre Solutions Holdings (Delaware) Limited, a
subsidiary of Zurich Financial Services, of Centre Insurance Company, or CIC,
from the Superior National Insurance Group, Inc., or SNIG, in December 1998,
CIC was a ceding insurance carrier for certain SNIG subsidiaries with respect
to workers compensation insurance in California and other U.S. states. Under
certain contracts, various SNIG-related entities provided CIC with policy
administration, claims administration and reinsurance with respect to the ceded
business. Pursuant to a Partial Commutation and Settlement Agreement dated
December 31, 1999, which we refer to as the CIC Agreement, CIC received
approximately $163 million of securities from a statutory deposit account
maintained by California Compensation Insurance Company, or CalComp, and
approximately $22 million of cash from insurance company subsidiaries. Under
the CIC Agreement, among other things, CIC provided a release to CalComp and
Superior National Insurance Company from any liability of up to $180 million
under the SNIG subsidiaries reinsurance of ceded business placed with CIC.

On or about March 6, 2000, the California Insurance Commissioner placed
SNIGs insurance subsidiaries in conservation. On September 26, 2000, the court
placed these companies in liquidation and named the California Insurance
Commissioner, referred to herein as the Commissioner, as liquidator of those
entities, referred to as the Superior National Insurance Companies in
Liquidation, or SNICIL. The remaining SNIG entities filed voluntary petitions
for relief under Chapter 11 of the United States Bankruptcy Code in April 2000.

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On January 16, 2002, the Commissioner filed a complaint against CIC and
affiliates, as well as CRNA and Converium Insurance (North America) Inc.
(CINA), on behalf of SNICIL, in a proceeding in the Superior Court of the
State of California, County of Los Angeles. The complaint alleges several
counts, including voidable preferences and fraudulent transfers, seeking the
recovery of transfers totaling $202.9 million, damages for breach of contract
in the amount of $59.8 million, additional damages in an amount to be proved at
trial, and punitive damages. The overwhelming bulk of the damages sought appear
to arise out of CIC transactions, not CRNA or CINA transactions. As part of the
Formation Transactions, Zurich Financial Services has agreed to indemnify
Converium for liabilities arising out of or related to the assets not assumed
by or transferred to Converium in the separation from Zurich Financial
Services. The principal claim brought against CRNA appears to arise from CRNAs
commutation of certain reinsurance obligations. In that connection, however,
while the complaint does in fact reference the commutation, the payment
involved was a commutation payment made by CRNA, not to CRNA. The liquidator,
however, is apparently claiming that the amount paid by CRNA was inadequate
consideration for the reinsurance obligations commuted and thus, this
commutation constituted a fraudulent transfer. The liquidators pending
complaint in the SNICIL action does not assign a value to the reinsurance
obligations that were commuted, repeatedly stating that their value is
undetermined, however, he has indicated that he may seek to recover some
portion of the difference between the amount paid by CRNA ($17.8 million) and
the amount purportedly owed under the commuted reinsurance contracts
(informally asserted by certain counsel for the liquidator to be approximately
$41 million with no further clarification as to the basis for this amount).
CRNA has demurred to the complaint, however, that demurrer has not yet been
heard. CRNA and CINA intend to defend this litigation vigorously and to assert
various setoffs. While Converium believes that it has a strong case, at this
stage of the proceedings it is not possible to make any determination regarding
the potential outcome of the arbitration. For a description of the cross
indemnities we and Zurich Financial Services have provided to each other in
connection with our separation, see Item 10.  Additional Information  C.
Material Contracts  Other Indemnity Matters.

U.S. Life Insurance Co. Arbitration

On November 29, 1999, US Life Insurance Company (US Life) initiated an
arbitration proceeding against SNICIL, ZC Insurance Company, now known as
Converium Insurance (North America) Inc., and CIC. US Life seeks to rescind a
multi-year quota share reinsurance contract effective May 1, 1998 on the basis
that material misrepresentations and omissions were made in procuring that
contract. Inception-to-date amounts ceded to the contract through December 31,
2002 are $54.0 million premiums earned, $18.1 million commissions earned and
$110.8 million losses incurred. All discovery in this matter closed on November
15, 2002, and arbitration hearings commenced on December 9, 2002 for a two-week
period. Hearings resumed for another two-week period starting January 13,
2003. The arbitration has not concluded at this time and the arbitrators have
advised that additional dates necessary to conclude the matter likely will not
be available until 2004. While Converium believes that it has a strong case
against US Life for full reinsurance coverage in accordance with the contract,
at this stage of the proceedings it is not possible to make any determination
regarding the potential outcome of the arbitration.

All American Life Insurance Company Arbitration

On December 23, 2002, CRNA and CINA initiated an arbitration against All
American Life Insurance Company (All American). The dispute arises from a
quota share reinsurance contract provided by All American. Because All
American has failed and refused to make payments under the quota share
contract, CRNA and CINA demanded arbitration to collect all outstanding
balances due under the contract. All American has not indicated a definitive
reason for their non-payment of losses. Inception-to-date amounts ceded to the
contract through December 31, 2002 are $41.1 million premiums earned, $14.2
million commissions earned and $62.5 million losses incurred. As of this date,
the parties have appointed arbitrators in this matter and the
arbitrators are in the process of selecting an umpire. While Converium believes
that it has a strong case against All American for full reinsurance coverage in
accordance with the contract, at this stage of the proceedings it is not
possible to make any determination regarding the potential outcome of the
arbitration.

Continental Casualty Company Arbitration

On December 16, 2002, Continental Casualty Company (Continental) and
CRNA served cross demands for arbitration on each other. The dispute arises
from a retrocessional contract pursuant to which Continental reinsured CRNA for
50% of the accident and health exposures CRNA assumed from a third-party
insurer pursuant to a reinsurance agreement. In October 2002, Continental
advised CRNA that it had identified issues concerning the third-party insurer
business that Continental believes might give rise to defenses under the
reinsurance agreement. CRNA offered to permit Continental to assert those
defenses directly against the third-party insurer and, in addition, advised
Continental that, if Continental did not agree to do so, CRNA would conduct its
own investigation with respect to the putative defenses identified by
Continental. However, Continental instead asserted that CRNA has somehow
breached a duty of utmost good faith to Continental, which justifies rescission
of the retrocessional contract. At arbitration,

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CRNA is seeking enforcement of the retrocessional contract and Continental
is seeking rescission of the same contract. Inception-to-date amounts ceded to
the contract through December 31, 2002 are $20.8 million premiums earned, no
commissions earned and $53.4 million losses incurred. The parties have each
selected their party-appointed arbitrators and the arbitrators are in the
process of selecting an umpire. While Converium believes that it has a strong
case against Continental for full reinsurance coverage in accordance with the
contract, at this stage of the proceedings it is not possible to make any
determination regarding the potential outcome of the arbitration.

Canada Life

On December 21, 2001, The Canada Life Assurance Company, Toronto (Canada
Life), brought action against Converium Rückversicherung (Deutschland) AG in
the U.S. District Court of the Southern District of New York. Canada Life
alleged that Converium breached certain quota share retrocession agreements
with Canada Life by failing to indemnify its full percentage of Canada Lifes
September 11th losses and by failing to post an $82.4 million letter of credit
for its liability pursuant to the ISA facilities underlying agreements.
Converium is disputing this claim on the grounds that its liability under the
pertinent contracts is limited and is also raising other contracts defenses. In
its decision of April 11, 2002, the U.S. District Court of the Southern
District of New York dismissed Canada Lifes action, ruling that The Air
Transportation Safety and System Stabilization Act, which Canada Life claimed
to give the court jurisdiction over the subject matter, is not applicable. The
court ruled that the act applies broadly to the actions filed by individual
victims of the September 11th attacks but does not apply to disputes among
reinsurers. As a result of this decision, Converium sent Canada Life a request
to arbitrate. Canada Life has appealed this decision. The appeal is still
pending.

Converium has fully reserved this matter. However, arrangements entered
into with Zurich Financial Services provide for this matter to be covered by
the agreed-to cap for September 11th related losses provided to Converium by
Zurich Financial Services in conjunction with Converiums global offering.

Dividends and Dividend Policy

Our Board of Directors did not propose a dividend with respect to the 2001
fiscal year. The Board of Directors will propose at the Annual General Meeting
an appropriation of the available earnings for the 2002 fiscal year. If this
proposal meets the approval of the General Meeting of shareholders in Zug,
Switzerland on May 27, 2003, dividends of 1 CHF per share, or CHF 40,006,217,
will be paid on Monday, June 2, 2003 by Credit Suisse.

We intend to distribute dividends to our shareholders on an annual basis,
but cannot assure you that we will do so. Our dividend policy in future periods
will depend on a number of factors including our results of operations, our
financial condition, our capital and cash requirements, general business
conditions, legal, contractual and regulatory restrictions regarding the
payment of dividends by us and other factors. Holders of shares and ADSs, with
respect to the underlying shares, are entitled to receive payment in full of
any dividends declared in respect of the 2002 fiscal year and following years.

As a holding company, we are dependent on dividends and interests from our
subsidiaries to pay cash dividends. The payment of dividends by our
subsidiaries to their parent companies is restricted by applicable laws and
regulations. To the extent our subsidiaries are restricted from paying
dividends to Converium Holding AG, we may be unable to pay dividends to our
shareholders. For further information on the restrictions on our ability to pay
dividends, see Note 14 to our consolidated financial statements.

Under Swiss law, we may only pay dividends if we have either sufficient
profits available for distribution or if we have sufficient free reserves
pursuant to our statutory (non-consolidated) balance sheet and the provisions
of Swiss law to allow for distributions from that reserve.

As long as the general reserves amount to less than 20% of our nominal
share capital, Swiss law requires at least 5% of our annual net profits to be
retained as general reserves. Any net profits remaining after this retention
are eligible to be distributed as dividends, subject to approval by our
shareholders at a shareholders meeting, and our auditors must confirm that a
dividend proposal by our Board of Directors complies with our Articles of
Incorporation and Swiss law.

Our dividends will be due and payable after the shareholders resolution
authorizing the payment of such dividends has been passed or at a later date as
determined by the shareholders dividend resolution. Under Swiss law, the
statute of limitations in respect of dividend payments is five years. All of
our shares rank pari passu in relation to the right to dividends.

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Dividends paid in respect of our ADSs and shares are subject to a
deduction of Swiss withholding tax, which currently is at a rate of 35%. In the
event of any dividend being paid, the withholding tax will be deducted from any
dividend payments. A Swiss resident may be entitled to a full refund of such
withholding if such resident is the beneficial owner of the payment and duly
reports the dividend received on his personal tax return. Non-Swiss-resident
holders of our ADSs and shares may be entitled to a full or partial refund of
such withholding tax under the terms and conditions of an applicable double
taxation treaty. See Item 10. Additional Information  E. Taxation  Swiss
Taxation  Obtaining a Refund of Swiss Withholding Tax for U.S. Residents.

We will pay our dividends in Swiss francs. Owners of our ADSs will be
entitled to receive dividends, if any, payable in respect of the underlying
shares. Our ADS depositary agreement provides that the ADS depositary will
promptly convert the dividends that it receives into U.S. dollars on behalf of
the ADS holders according to the prevailing market rate on the date that the
ADS depositary actually receives the dividends. Fluctuations in the exchange
rate between the Swiss franc and the U.S. dollar will affect the U.S. dollar
amounts received by the holders of ADSs from the date a dividend is paid to the
date U.S. dollars are received by ADS holders.

B.     SIGNIFICANT CHANGES

Except as otherwise disclosed in this annual report, there has been no
significant change in our financial position since December 31, 2002.




ITEM 9. THE OFFER AND LISTING

A.     OFFER AND LISTING DETAILS

Market Price Information

Trading on the SWX Swiss Exchange

The table below presents the highest and lowest reported sale price for
our registered shares on the SWX Swiss Exchange for the periods indicated,
expressed in Swiss francs. On April 8, 2003 the latest practicable day before
the printing of this annual report, the last reported sale price of our
registered shares on the SWX Swiss Exchange was CHF 62.00 per registered share.

|                                            |                                         |  |       |       |     |  |       |       | 
|------------------------------------------- | --------------------------------------- |  | ----- | ----- | --- |  | ----- | ----- | 
|                                            |                                         |  | High  |       | Low
|                                            |                                         |  |       |       |    
|                                            |                                         |  | CHF   |       | CHF
|                                            |                                         |  |       |       |    
|Calendar Year 2001 (from December 11, 2001) |                                         |  | 82.10 |       |     |  | 79.00 |      
|                                            | Fourth
Quarter (from December 11, 2001) |  |       | 82.10 |     |  |       | 79.00 | 
|                                           
|Calendar Year 2002                          |                                         |  | 89.75 |       |     |  | 54.85 |      
|                                            | First Quarter                           |  |       | 88.45 |     |  |       | 75.00 | 
|                                            | Second Quarter                          |  |       | 89.75 |     |  |       | 72.40 | 
|                                            | Third Quarter                           |  |       | 79.00 |     |  |       | 56.15 | 
|                                            | Fourth Quarter                          |  |       | 69.60 |     |  |       | 54.85 | 
|                                           
|Calendar Year 2003 (until March 31, 2003)   |                                         |  |       |       |     |  |       |      
|                                            | First Quarter                           |  |       | 69.25 |     |  |       | 52.00 | 
|                                           
|Last 6 Months                               |                                         |  |       |       |     |  |       |      
|                                            | October 2002                            |  |       | 69.60 |     |  |       | 54.85 | 
|                                            | November 2002                           |  |       | 64.60 |     |  |       | 59.20 | 
|                                            | December 2002                           |  |       | 67.90 |     |  |       | 56.20 | 
|                                            | January 2003                            |  |       | 69.25 |     |  |       | 59.50 | 
|                                            | February 2003                           |  |       | 65.15 |     |  |       | 57.75 | 
|                                            | March 2003                              |  |       | 61.00 |     |  |       | 52.00 | 

Trading on the New York Stock Exchange

The table below presents the highest and lowest reported sale price for
our ADSs on the New York Stock Exchange. On April 8, 2003, the latest
practicable day before the printing of this annual report, the last reported
sale price of our ADSs on the New York Stock Exchange was $22.25 per ADS.

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|                                            |                                         |  |       |       |     |  |       |       | 
|------------------------------------------- | --------------------------------------- |  | ----- | ----- | --- |  | ----- | ----- | 
|                                            |                                         |  | High  |       | Low
|                                            |                                         |  |       |       |    
|                                            |                                         |  | $     |       | $  
|Calendar Year 2001 (from December 11, 2001) |                                         |  | 27.40 |       |     |  | 23.02 |      
|                                            | Fourth Quarter (from December 11, 2001) |  |       | 27.40 |     |  |       | 23.02 | 
|                                           
|Calendar Year 2002                          |                                         |  | 28.52 |       |     |  | 18.30 |      
|                                            | First Quarter                           |  |       | 26.50 |     |  |       | 21.77 | 
|                                            | Second Quarter                          |  |       | 28.52 |     |  |       | 24.25 | 
|                                            | Third Quarter                           |  |       | 26.05 |     |  |       | 18.96 | 
|                                            | Fourth Quarter                          |  |       | 24.10 |     |  |       | 18.30 | 
|                                           
|Calendar Year 2003 (until March 31, 2003)   |                                         |  |       |       |     |  |       |      
|                                            | First Quarter                           |  |       | 24.84 |     |  |       | 19.25 | 
|                                           
|Last 6 Months                               |                                         |  |       |       |     |  |       |      
|                                            | October 2002                            |  |       | 23.06 |     |  |       | 18.30 | 
|                                            | November 2002                           |  |       | 22.11 |     |  |       | 20.08 | 
|                                            | December 2002                           |  |       | 24.10 |     |  |       | 19.60 | 
|                                            | January 2003                            |  |       | 24.84 |     |  |       | 21.99 | 
|                                            | February 2003                           |  |       | 23.96 |     |  |       | 20.99 | 
|                                            | March 2003                              |  |       | 21.75 |     |  |       | 19.25 | 

B.     PLAN OF DISTRIBUTION

Not applicable.

C.     MARKETS

Converium registered shares have a listing on the SWX Swiss Exchange under
the symbol CHRN. Converium ADSs are listed in the United States under the
symbol CHR on the New York Stock Exchange, or NYSE. The NYSE is the only
trading market for our ADSs in the United States. Each of our ADSs represents
one-half of one of our registered shares. We expect that the SWX Swiss Exchange
will remain the principal trading market for our registered shares.

The 8.25% Guaranteed Subordinated Notes due 2032 are securities of
Converium Finance S.A., a société anonymeincorporated under the laws of
Luxembourg, and a wholly-owned subsidiary of Converium AG, and have a listing
under the symbol CHF on the New York Stock Exchange.

D.     SELLING SHAREHOLDER

Not applicable.

E.     DILUTION

Not applicable.

F.     EXPENSES OF THE ISSUE

Not applicable.




ITEM 10. ADDITIONAL INFORMATION

A.     SHARE CAPITAL

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Not applicable.

B.     MEMORANDUM AND ARTICLES OF INCORPORATION

See Description of Shares and Share Capital in the Registration
Statement on Form F-1, file number 333-14106, filed with the SEC under the
Securities Act of 1933 on December 10, 2001. There was no modification in the
Articles of Incorporation with the exception of the amount of issued share
capital which has been adjusted in order to reflect the shares actually issued
in 2002 in conjunction with Converiums employee compensation plans from
contingent share capital. Following this increase the actual issued share
capital amounts to CHF 400,062,170 and is divided into 40,006,217 shares with a
par value of CHF 10 each. The respective contingent share capital for the
participation of employees (article 3a of our Articles of Incorporation) has
consequently been reduced by an equal amount.

Information Policy

In conjunction with the invitation for the Annual General Meeting, all
registered shareholders are provided with an invitation and a summary report on
Converiums financial results for the current financial year. Upon request a
full annual report with the financial statements can be ordered. Additionally,
all ADS holders receive a copy of the current annual report including financial
statements through their brokers. Furthermore, all financial and other
information released by Converium is accessible on Converiums web page as well
as through the SEC.

Statutory Quorums

According to Article 13 of Converiums Articles of Incorporation
resolutions at the General Meetings of Shareholders are taken with the majority
of votes cast.

In accordance with the provisions of Swiss law (Article 704 Swiss Code of
Obligations) Converiums Articles of Incorporation require two thirds of votes
to be represented and the absolute majority of the nominal values of the shares
represented is required for resolution on the following:



| |  |  | an alteration of the purpose of the Company;                                                                                                                          
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the creation of super-voting shares                                                                                                                                   
|
| |  |  | restrictions on the transfer of registered shares and the removal of
such restrictions as well as restrictions to vote and the removal of
such restrictions           
|
| |  |  | an authorized or contingent increase of share capital                                                                                                                 
|
| |  |  | an increase of share capital by conversion of capital surplus, by
contribution in kind or for the purpose of an acquisition of assets and
the grant of special rights;
|
| |  |  | a restriction or exclusion of the subscription right or advance subscription right;                                                                                   
|
| |  |  | a change of the Companys registered office;                                                                                                                          
|
| |  |  | the dissolution of the Company without liquidation                                                                                                                    

Convocation of the General Meeting of the Shareholders

According to Article 9 of Converiums Articles of Incorporation, the
General Meetings are convened at least twenty days prior to the meetings. This
is in accordance with the provision of Swiss company law (Article 700 Code of
Obligations).

Article 10 of the Articles of Incorporation provides for shareholders
whose combined share holdings represent an aggregate nominal amount of at least
CHF one million to be able to demand an item to be included on the agenda of a
General Meeting. Such demand must be made at least 45 days prior to the
meeting. This is in accordance with the provision of Swiss company law
(Article 699 paragraph 2 Code of Obligations).

Registration in the Share Register

The date by which holders of registered shares can be registered in
Converiums share register in connection with attending the General Meeting of
shareholders is set by the Board of Directors in its preparatory Board Meeting
prior to the General Meeting.

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For 2003, the date by which a shareholder has to be registered in the
share register is May 23, 2003, in order to be invited for the Annual General
Meeting of May 27, 2003, at the Casino in Zug.

Shareholder Votes on Equity-Based Compensation plans

The proposed NYSE rules require that shareholders must vote on all equity
based compensation plans and any material revisions to the terms of such plans.
Converium does not comply with this requirement, as under Swiss Company Law,
the approval of compensation plans is not an authority of the General Meeting,
but of the Board of Directors. The reason for not providing for approval of
equity based compensation plans is the fact that the capital of a Swiss company
is determined in the Articles of Incorporation and, therefore, each increase of
capital has to be submitted for shareholders approval. If equity based
compensation plans result in a need for a capital increase, the shareholders
approval is mandatory. If, however, shares for such plans are purchased in the
market, shareholders do not have the authority to vote.

C.     MATERIAL CONTRACTS

The Master Agreement

The Master Agreement sets out the overall principles and the rights and
obligations of the parties in connection with the Formation Transactions. It
also addresses the relationship between Zurich Financial Services and Converium
following the Formation Transactions. In particular, the Master Agreement
provides for:



| |  |  | the separation of substantially all of the third-party reinsurance
business from the businesses of Zurich Financial Services, and
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | the consolidation of this business under Converium Holding.                                                                      

The third-party reinsurance business that has been retained by Zurich
Financial Services includes the Zurich Centre Group business as described below
and the reinsurance business written by ZIC with inception or renewal dates
prior to January 1, 1987.

In the Master Agreement, Zurich Financial Services and Converium made
certain representations and warranties with respect to matters including the
assets of and titles to the assumed business. In addition, each of Zurich
Financial Services and Converium made certain covenants, principally intended
to effect our separation from the other businesses of Zurich Financial
Services.

Further, each of Zurich Financial Services and Converium has agreed,
following the completion of the Formation Transactions:



| |  |  | to execute the agreements, and to cooperate and act in accordance
with the arrangements described below                                                                                                                                                                                                                                                                     
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | not to, and to cause its subsidiaries not to, until March 31, 2004,
interfere with any contractual relationship existing on or at any time
during the period of two years prior to the first trading day on the SWX
Swiss Exchange between the other party and its customers or other
commercial counterparties                                                             
|
| |  |  | not to, and to cause its subsidiaries not to, within a period of two
years after the first trading day on the SWX Swiss Exchange, actively
solicit for employment or hire any person employed by the other party or
its subsidiaries and                                                                                                                                    
|
| |  |  | not to, except for certain specified exceptions, disclose
confidential information of the other party or an entity of such partys
group which is not known to third parties but which is known by the
parties due to the fact that the parties were previously part of the
same group of companies or as a result of the transactions contemplated
by the Master Agreement.

In addition, the Master Agreement provided that we bear up to a maximum of
$50 million of the costs and expenses related to the consummation of the
Formation Transactions, including advisors fees, retention costs and stamp
duty taxes. Zurich Financial Services reimbursed us for costs and expenses in
excess of this amount. For a discussion of the impact of the Formation
Transactions-related costs and expenses on our results of operations, cash
flows and financial position see Item 5.  A. Operating Results 
Restructuring Charge.

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The Master Agreement is governed by, and will be construed in accordance
with, the laws of Switzerland.

September 11th Coverage

Zurich Financial Services, through its subsidiaries, has agreed to
arrangements that cap our net exposure for losses and loss adjustment expenses
arising out of the September 11th terrorist attacks at $289.2 million, the
amount of net loss and loss adjustment expenses we recorded as of September 30,
2001. As part of these arrangements, these subsidiaries of Zurich Financial
Services have agreed to take responsibility for non-payment by the
retrocessionaires of Converium Zurich and Converium Cologne with regard to
losses arising out of the September 11th attacks in excess of the $289.2
million cap. While the cap does not cover non-payment by the retrocessionaires
of Converium North America, our only retrocessionaire for this business is a
unit of Zurich Financial Services. Therefore, we are not exposed to potential
non-payments by retrocessionaires for these events in excess of the $289.2
million cap, although we will be exposed to the risk of non-payment of Zurich
Financial Services units and we will be exposed to credit risk from these
subsidiaries of Zurich Financial Services. See  Note 8 to our financial
statements, and Item 4.  Information on the Company  B. Business Overview 
Retrocessional Reinsurance.

Acquisition of the Converium Zurich Business

The Converium Zurich reinsurance business was acquired from ZIC and ZIB
via the Quota Share Retrocession Agreement, described in more detail below and
the Asset Purchase and Assumption of Liability Agreement between ZIC and
Converium AG, dated September 28, 2001. Under this Agreement, ZIC transferred
to Converium AG tangible assets, marketable securities and liabilities relating
to the Converium Zurich business.

Quota Share Retrocession Agreement

In connection with the Formation Transactions, the transfer of Converium
Zurichs business to Converium AG by ZIC and ZIB was effected by means of the
Quota Share Retrocession Agreement effective July 1, 2001. The covered business
consists of the business historically managed by Converium Zurich which has an
inception or renewal date on or after January 1, 1987, and consists of
substantially all of the third-party reinsurance assumed business written by
ZIC and ZIB, under the Zurich Re brand name. The liabilities Converium
assumed include all net unearned premiums, net losses and loss adjustment
expenses and experience account balances relating to this business.

The Quota Share Retrocession Agreement provides for the payment of
premiums to Converium by ZIC as consideration for assuming the covered
liabilities. The Quota Share Retrocession Agreement provides that these
premiums are on a funds withheld basis, whereby the premium is not
immediately paid, but is rather retained by ZIC and credited to a funds
withheld account, which is referred to as the Funds Withheld Asset.

Because the business subject to the Quota Share Retrocession Agreement
consists of business that was historically managed by Converium Zurich, this
business is already reflected in our financial statements. Any reinsurance
business written by ZIC or ZIB that is not part of the historically managed and
operated third-party reinsurance business of Converium Zurich is not covered by
the Quota Share Retrocession Agreement, and all related legal rights and
obligations of this business have been retained by ZIC and ZIB. Accordingly,
this business is excluded from our financial statements. Therefore, execution
of this Quota Share Retrocession Agreement has no impact on results of
operations as reported for 2002, 2001 or 2000.

Converium will receive the surplus remaining with respect to the Funds
Withheld Asset, if any, after all liabilities have been discharged.
Additionally, Zurich Financial Services has the right to prepay to Converium
the full amount or a portion thereof of the Funds Withheld Asset prior to
termination of the agreement. Finally, Converium is entitled to request cash
advances under certain circumstances to help meet significant cash
requirements. Any surplus or any additional cash flows will be recorded in the
financial statements in the period when they occur.

Converium is entitled to borrow cash from ZIC if eligible losses from a
single event or series of related events not relating to the business covered
by the Quota Share Retrocession Agreement exceed $25.0 million. The amount that
may be borrowed as a result of any one event or series of related events is
limited to the lesser of $90.0 million, or actual losses from the event.
Converium is entitled to request multiple advances. However, it may never
borrow more than the Funds Withheld Asset balance, and the aggregate amount
that may be borrowed at any one time ranges from $105.0 to $135.0 million for
the period January 1, 2003 to September 30, 2003. Converium may not request
advances beyond September 30, 2003, unless agreed otherwise with ZIC. Interest
on these advances

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will accrue at a variable annual rate equal to prevailing LIBOR plus
0.50%, and is payable monthly. Converium would be required to repay any advance
within one year of receipt. No advances were outstanding at December 31, 2002.

Converium will continue to administer the transferred business on behalf
of ZIC and ZIB, which remain liable to the original cedents of the business.
Additionally, Converium will manage third-party retrocessions related to the
business transferred. Converium will bear the credit risk for uncollectible
reinsurance balances excluding those related to the September 11th terrorist
attacks. Converium will have a broad right of offset under the Quota Share
Retrocession Agreement so that reinsurance balances owed to ZIC and ZIB may be
offset against the Funds Withheld Asset account directly.

The Quota Share Retrocession Agreement provides for commutation and
termination for special reasons, such as insolvency of a party or loss of its
authorization to do business or a change of control of Converium. Each of the
parties agrees to indemnify the other against liability or expense incurred by
reason of its conduct or failure to act in appropriate circumstances. The Quota
Share Retrocession Agreement contains other provisions that are customary for
an agreement of this nature.

Acquisition of the Converium North America Business

The Converium North America reinsurance business was acquired through the
transfer by a subsidiary of Zurich Financial Services of all of the voting
securities of Converium Reinsurance (North America) Inc. to Converium Holdings
(North America) Inc., pursuant to a Stock Purchase Agreement between Zurich
Reinsurance Centre Holdings, Inc. and Converium, dated November 20, 2001.

Assumption of $200 Million Public Notes

On October 20, 1993, Zurich Reinsurance Centre Holdings, Inc., or ZRCH,
issued $200 million principal amount of 7.125% Senior Notes due October 15,
2023, referred to below as the Notes. In connection with the issuance of the
Notes, ZRCH executed an Indenture. As partial consideration for the transfer to
Converium Holdings (North America) Inc. of Converium Reinsurance (North
America) Inc., Converium Holdings (North America) Inc. has executed a First
Supplemental Indenture, dated November 20, 2001, assuming all of the rights and
obligations of ZRCH under the Indenture. The Bank of New York acts as Trustee
under the Supplemental Indenture. Accordingly, this indebtedness is reflected
in our financial statements for all periods presented. The Notes are general
unsecured obligations of Converium Holdings (North America) Inc. and rank on a
parity with all other unsecured and unsubordinated indebtedness of Converium
Holdings (North America) Inc.

CENY Arrangements

Prior to the Formation Transactions, the Converium Reinsurance (North
America) Inc. balance sheet reflected business originally written by Centre
Reinsurance Company of New York, or CENY. Prior to the establishment of
separate Zurich Centre Group legal entities, CENY wrote new or renewal business
on the Converium Reinsurance (North America) Inc. balance sheet. CENY was
originally part of the Zurich Centre Group of companies, a business unit of
Zurich Financial Services. Zurich Financial Services has historically operated
and managed CENY separately from Converium. In 1997, the CENY legal entity was
merged into Zurich Reinsurance Centre, Inc., or ZRC, a predecessor of Converium
Reinsurance (North America) Inc. in connection with a going private transaction
involving ZRCs parent. As a result of this merger, certain liabilities of
CENY, referred to below as CENY Business, became direct obligations of
Converium Reinsurance (North America) Inc., but continued to be managed by
Zurich Centre management and were not part of the independently managed and
operated third-party reinsurance business of Converium. Nevertheless, prior to
our separation from Zurich Financial Services, we had primary legal
responsibility for the CENY Business.

In connection with the Formation Transactions, we have extinguished our
legal responsibility for substantially all of the CENY Business pursuant to the
Master Novation and Indemnity Reinsurance Agreement with certain insurance
subsidiaries of Zurich Financial Services, including Converium Reinsurance
(North America) Inc., Centre Insurance Company, or CIC, Centre Solutions (U.S.)
Limited, a Bermuda domiciled insurance company, and Zurich Insurance Company,
Bermuda branch, a Bermuda branch of a company organized under the laws of
Switzerland, dated as of October 21, 2001. Under this agreement, Converium
Reinsurance (North America) Inc. has assigned and transferred to insurance
subsidiaries of Zurich Financial Services, and these insurance subsidiaries
have assumed, pursuant to a novation, substantially all of the insurance
contracts related to the CENY Business. Accordingly, the novated contracts are
excluded from our financial statements. However, a portion of the CENY Business
was not novated because necessary consents could not be obtained from the
reinsureds by the effective date of the agreement. This portion of the CENY
Business has been 100% retroceded to CIC and CSUS on an indemnity reinsurance
basis and is reflected in our financial statements as 100% retroceded business
for all periods presented.

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Converium Reinsurance (North America) Inc. historically obtained stop-loss
reinsurance coverage on the CENY Business from members of the Zurich Centre
Group. In connection with the Formation Transactions, Converium Reinsurance
(North America) Inc. has commuted these policies pursuant to the Commutation
Agreement (covering the Aggregate Excess of Loss Reinsurance Agreement
effective January 1, 1991 through December 31, 1993) between Converium
Reinsurance (North America) Inc. and Centre Reinsurance Limited, dated as of
October 1, 2001, the Commutation Agreement (covering the Aggregate Excess of
Loss Reinsurance Agreement effective January 1, 1994 through December 31, 1994)
between Converium Reinsurance (North America) Inc. and Centre Reinsurance
International Company, dated as of October 1, 2001, the Commutation Agreement
(covering the Aggregate Excess of Loss Reinsurance Agreement effective January
1, 1995) between Converium Reinsurance (North America) Inc. and Centre
Reinsurance Limited, dated as of October 1, 2001, the Commutation Agreement
(covering the Obligatory Surplus Share Reinsurance Agreement effective October
1, 1995) between Converium Reinsurance (North America) Inc. and Centre
Reinsurance Limited, dated as of October 1, 2001 and the Commutation Agreement
(covering the Obligatory Surplus Share Reinsurance Agreement effective November
6, 1992) between Converium Reinsurance (North America) Inc. and Centre
Reinsurance International Company, dated as of October 1, 2001. Because we no
longer have any legal rights of coverage under these policies, they have been
excluded from our financial statements for all periods presented.

Supplementary Agreements and Arrangements

Converium Reinsurance (North America) Inc. and its wholly owned
subsidiary, Converium Insurance (North America) Inc., terminated certain
existing affiliate arrangements and settled balances due under certain existing
arrangements in preparation for the transfer of Converium Reinsurance (North
America) Inc. to Converium pursuant to the Agreement Amending and Terminating
Centre Reinsurance Dublin Affiliated Group Tax Allocation Agreement, between
Orange Stone Delaware Holdings Limited, Orange Stone Reinsurance, Centre
Reinsurance Holdings (Delaware) Limited, Centre Reinsurance (US) Limited, ZRCH,
Converium Reinsurance (North America) Inc., ZCIC, ZC Specialty Insurance
Company, Centre Risk Advisors, Inc., Constellation Reinsurance Company, Centre
Re Services, Inc., Zurich Global Assets LLC, formerly known as BDA/US Services
Limited, ZC Management Corporation, ZC Resource LLC, ZC Property Management,
Inc. and Claims Solutions Group, dated October 1, 2001.

Centre Reinsurance Holdings (Delaware) Limited, an indirect subsidiary of
Zurich Financial Services, repaid a loan from Converium Reinsurance (North
America) Inc. in the principal amount of $33.0 million plus accrued interest of
$0.9 million. These amounts were settled in cash. The transaction was effected
on July 10, 2001.

Additionally, the former direct parent of Converium Reinsurance (North
America) Inc. repaid a loan from Converium Reinsurance (North America) Inc. in
the principal amount of $33.0 million plus accrued interest of $1.9 million.
These amounts were settled in cash and the transaction was effected on July 10,
2001.

Moreover, Converium Reinsurance (North America) Inc. was removed as a
party to an Expense Sharing Agreement with an affiliate of Zurich Financial
Services. Converium Reinsurance (North America) Inc. settled all costs and
received all payments arising under this Expense Sharing Agreement according to
its terms as of the settlement date. The termination became effective October
1, 2001, with a settlement as of September 30, 2001.

Prior to the Formation Transactions, Converium Reinsurance (North America)
Inc. owned approximately 34% of the common stock of Lancer Insurance Company,
or Lancer, an Illinois-domiciled property and casualty insurer. Converium
Reinsurance (North America) Inc. transferred its interest in Lancer to a
subsidiary of Zurich Financial Services pursuant to the Stock Purchase
Agreement between Converium Reinsurance (North America) Inc. and Centre
Strategic Holdings Limited, dated August 23, 2001. The Lancer stock was sold on
August 23, 2001 at the book value on the effective date of the sale, which was
approximately $11.9 million. The sale was effective as of August 1, 2001.

Converium Reinsurance (North America) Inc. entered into a sublease with ZC
Resource LLC (ZC Resource), a subsidiary of Zurich Financial Services in July
2001. As part of the Transactions, Converium Reinsurance (North America) Inc.
entered into an agreement to indemnify Global Asset Holdings Limited (GAHL)
(an indirect parent of ZC Resource and a co-guarantor of the prime lease) for
losses under the prime lease or the guaranty caused by Converium Reinsurance
(North America) Inc.s default under the sublease that results in a default
under the prime lease; GAHL, in turn, will indemnify Converium Reinsurance
(North America) Inc. for any losses under the guaranty caused by a default by
ZC Resource under the prime lease. Centre Insurance Company, a subsidiary of
Zurich Financial Services, will guaranty the punctual payment of all amounts
due by GAHL under the guaranty and all expenses incurred by Converium
Reinsurance (North America) Inc. enforcing the guaranty.

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All of the above supplementary transactions were recorded in our financial
statements on the date they occurred.

Acquisition of the Converium Cologne and Converium Life Businesses

The Converium Cologne and Converium Life reinsurance businesses were
acquired through the transfer by Zurich Financial Services to Converium AG of
its 98.63% interest in ZRK pursuant to the Agreement for the Sale and Transfer
of Shares in Zürich Rückversicherung (Köln) Aktiengesellschaft, dated September
28, 2001.

GRI Retained Business

GRI is an internal operating unit of Zurich Financial Services whose
principal role is to accumulate risks underwritten by primary and direct
providers of insurance in a manner which allows GRI to access the third-party
reinsurance markets more effectively and efficiently than Zurich Financial
Services direct writing companies could do on their own. GRIs internal
operations were wholly autonomous from the third-party reinsurance business
conducted by Converium. Moreover, Converium never used GRI to access external
reinsurance markets.

Prior to the Formation Transactions, the GRI operation was partially
conducted through policies issued by Converium Reinsurance (North America) Inc.
and ZRK. However, the GRI operation was managed exclusively by GRIs management
team. Additionally, Zurich Financial Services did not alter the capital
ascribed to support Converiums business as a result of the GRI business
formerly written on our balance sheets. As a consequence of the Formation
Transactions, all GRI business previously written on our balance sheets has
been assigned and assumed pursuant to a Group Reinsurance Business Master
Novation and Indemnity Reinsurance Agreement, among Converium Reinsurance
(North America) Inc., ZIC and ZIB, dated as of October 1, 2001. Any related
rights and obligations of ours have been extinguished. Accordingly, all of this
business is excluded from our financial statements.

Other Indemnity Matters

Pursuant to the Master Agreement, we and Zurich Financial Services will
indemnify each other for certain matters, such as liabilities arising out of
our respective businesses, and for breaches of our respective representations
and warranties and other customary matters.

In particular, we have agreed to indemnify Zurich Financial Services and
its affiliates for:



| |  |  | liabilities assumed by or transferred to us in the separation;                                                                                                                                                                                                                                                                               
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | liabilities incurred by Zurich Financial Services or its affiliates
(other than Converium) while carrying on business on our behalf pursuant
to the terms of agreements entered into in connection with the Formation
Transactions before and after the dates of the separation of U.S. and
non-U.S. business from Zurich Financial Services;
|
| |  |  | liabilities incurred by us on our own behalf at any time, which are
deemed to be or become a liability of Zurich Financial Services or any
of its affiliates (other than Converium); and                                                                                                                                                     
|
| |  |  | losses suffered by Zurich Financial Services or any of its affiliates
(other than Converium) that relate to any reasonable action to avoid,
resist or defend against liabilities assumed by or indemnified against
by us; and                                                                                                                

Zurich Financial Services has correspondingly agreed to indemnify us for:



| |  |  | liabilities retained by Zurich Financial Services and its affiliates and not assumed by or transferred to us in the separation;                                        
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | liabilities arising out of or relating to the assets not assumed by or transferred to us in the separation;                                                            
|
| |  |  | liabilities arising out of specified contracts we have not assumed
pursuant to the terms of the Quota Share Retrocession Agreement; and                                
|
| |  |  | losses suffered by Converium or any of our affiliates that relate to
any reasonable action to avoid, resist or defend against liabilities not
relating to our business.

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Moreover, we have agreed with Zurich Financial Services to allocate
amongst ourselves liabilities that may arise under relevant securities laws as
a result of any misstatements or omissions contained in the various annual
report documentation to be distributed to Converium shareholders or as a result
of the transactions themselves.

In addition, pursuant to the tax sharing and indemnity agreements
described below, we and Zurich Financial Services will indemnify each other for
certain tax liabilities arising out of the Formation Transactions and certain
other potential liabilities that arose while we were affiliated with Zurich
Financial Services.

We have further agreed with Zurich Financial Services to indemnify Zurich
Financial Services or ZIC against liabilities to counterparties or third
parties arising in connection with ZICs participation in establishing the
TRINOM transaction, including, but not limited to, the offering circular and
any ancillary documentation related thereto, ZICs exercise or performance of
any of its rights and obligations under the TRINOM agreements and ZICs acting
based on our information and/or instructions.

Also, we have agreed to indemnify Zurich Financial Services and its
subsidiaries for losses arising from Zurich Financial Services involvement in
the MDU joint venture to the extent such indemnifiable losses had been caused
by the misconduct or negligence of our employees or arising out of our
business.

As described above, subsidiaries of Converium and Zurich Financial
Services will indemnify each other with respect to losses arising out of our
lease arrangements at Converium North Americas New York City office. See 
Acquisition of the Converium North America Business.

Tax Sharing Agreements

We entered into Tax Sharing and Indemnification Agreements with:



| |  |  | ZRCH, in respect of the U.S. Converium entities, which we refer to as
the U.S. Tax Sharing Agreement, and                        
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Zurich Financial Services in respect of the non-U.S. Converium
entities, which we refer to as the Non-U.S. Tax Sharing Agreement.

The tax allocation agreement in effect involving Converium Reinsurance
(North America) Inc. and Converium Insurance (North America) Inc. was
terminated as to those parties. Converium Reinsurance (North America) Inc. and
Converium Insurance (North America) Inc. paid $54.9 million due under the tax
allocation agreement through the date of sale of Converium Reinsurance (North
America) Inc., to Converium Holdings (North America) Inc. Under the U.S. Tax
Sharing Agreement, these settlements will be adjusted to the extent necessary
based on tax returns filed for years 2000 and 2001. The U.S. Tax Sharing
Agreement provides we will generally be liable for taxes imposed on our U.S.
entities in respect of periods prior to and after the transfer. However, ZRCH
will be liable to us for specified taxes which will include any taxes arising
out of the transfer of the U.S. entities to us, any taxes imposed in respect of
the stop loss reinsurance policy from ZIC from 1997 to 2001 and certain other
matters.

The Non-U.S. Tax Sharing Agreement provides, in general, that we will be
liable for all taxes arising from the business previously conducted by ZIC and
Converium Germany, whether arising prior to or subsequent to the transfer to
Converium. We are also liable for branch taxes arising from the Converium
branches located in Malaysia, Singapore and Australia and representative
offices in Buenos Aires, London, Mexico City, Sao Paolo and Tokyo. As described
above, under the Master Agreement we will be liable for all taxes related to
the consummation of the Formation Transactions together with all other costs
and expenses of the global offering, up to an aggregate of $50 million. In
addition, all taxes relating to the Formation Transactions but incurred after
the Formation Transactions will be borne by Converium. See  The Master
Agreement.

The tax sharing agreements also set forth the responsibilities for filing
tax returns affecting the Converium entities, and the conduct of audits and
similar proceedings. The obligations of ZRCH under the U.S. Tax Sharing
Agreement are guaranteed by ZIC.

Swiss Tax Consequences to Converium of the Formation Transactions

Under the terms of the Swiss tax rulings obtained by Zurich Financial
Services and granted by the Swiss Federal and Zurich Cantonal Tax
Administrations, the Swiss tax treatment of the transactions relating to the
formation of Converium will be as described

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below, provided the transactions were effected in the manner described to
the Swiss Tax Administrations and the conditions described further below are
satisfied:



| |  |  | The offering of Converium shares to the public in the global offering
will retroactively trigger Swiss stamp duty at the rate of 1% of the
fair market value of Converium at the level of Converium Holding.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

As part of the Master Agreement, Zurich Financial Services has agreed to
reimburse us for certain costs and expenses related to the Formation
Transactions, including the stamp duty taxes described above. See  The Master
Agreement.

The Swiss tax treatment of the transactions set forth above is subject to
the following condition:



| |  |  | If a shareholder or a group of shareholders acting in concert were to
acquire directly or indirectly more than one-third of the voting rights
of Converium AG within five years from the completion of the Formation
Transactions, then Converium AG would have to pay Swiss stamp duty in
the amount of 1% of the fair market value of all of the issued Converium
AG shares as of the date of the completion of the Formation
Transactions. If, however, more than one-third of the voting rights of
such company were transferred in the course of another tax-privileged
transaction, such as a merger, taking place within the described
five-year period, such retroactive taxation would not be triggered upon
the fulfillment of certain conditions. This stamp duty will be borne by
us.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Continuing Relationships with Zurich Financial Services

In addition to the agreements described above, we have certain continuing
relationships with Zurich Financial Services, including those described below.

Continuing Aggregate Excess of Loss Agreements

1993 Aggregate Excess of Loss Agreement

In 1993, ZIC and Zurich Reinsurance Centre entered into an Excess of Loss
Reinsurance Agreement under which ZIC agreed to reinsure adverse loss
development on ZRCs revenues as of December 31, 1992. As we described above
under CENY Arrangements, ZRC was a predecessor of Converium Reinsurance
(North America) Inc., and we remain liable for its continuing obligations.
Also, ZIC and ZRC entered into a Stop Loss Reinsurance Agreement as of March 5,
1993 for losses occurring between January 1, 1993 and May 31, 1993. In
addition, under this second agreement, we are reimbursed for incurred losses
and allocated loss adjustment expenses in excess of 75% of earned premiums for
losses occurring after May 31, 1993 on business written by ZRC prior to June
1993. Recoveries under each of these agreements, which we refer to collectively
as the 1993 Aggregate Excess of Loss Agreement, are on an incurred basis
(rather than as any such losses are paid). As of December 31, 2002, there were
no recoverables under the 1993 Aggregate Excess of Loss Agreement.

1997 Aggregate Excess of Loss Agreement

Converium Reinsurance (North America) Inc. had an intra-Converium
aggregate excess of loss reinsurance agreement in place since July 1, 1997
(1997 Aggregate Excess of Loss Agreement). This agreement provided protection
to Converium Reinsurance (North America) Inc. for losses that exceeded a net
retention after amounts recoverable from its outside retrocessionaires. Because
the 1997 Aggregate Excess of Loss Agreement pre-dated the Formation
Transactions, ZIC was the formal counterparty to Converium Reinsurance (North
America) Inc. In October 2001, the 1997 Aggregate Excess of Loss Agreement was
amended as follows:



| |  |  | Converium Reinsurance (North America) Inc.s coverage for net losses
of $320.4 million with respect to all Amerisafe business retroceded to
the Unicover Occupational Accident Reinsurance Pool remains in effect,
with ZIC as counterparty,
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
| |  |  | Converium Reinsurance (North America) Inc.s coverage for net losses
of $307.5 million from the September 11th terrorist attacks that exceed
$58.2 million remains in effect, with ZIC as counterparty,                                     
|
| |  |  | The remainder of the coverage under the agreement was commuted.                                                                                                                                                                             

As part of the Formation Transactions, ZIC has also provided Converium
Reinsurance (North America) Inc. with coverage for all its net losses with
respect to the Amerisafe business ceded to the Unicover Occupational Accident
Reinsurance Pool and the

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September 11th terrorist attacks that exceed the coverage limits described
above under each of two Indemnity Agreements, each dated as of October 1, 2001.
See Note 15 to our financial statements. In addition, under the Master
Agreement Converium has agreed to indemnify ZIC for up to $58.6 million of
losses in connection with the Amerisafe business ceded to the Unicover Pool for
non-performance of the retrocessionaire.

Other Agreements and Arrangements

As described in more detail above, the separation of our business from
that of Zurich Financial Services, in part pursuant to reinsurance agreements,
including the Quota Share Retrocession Agreement and the Master Novation and
Indemnity Agreement, will entail us and Zurich Financial Services and its
affiliates having continuing obligations to reinsure each other and to provide
services in connection with the administration of the run-off of the business
we transferred to each other.

Converium utilizes Zurich Financial Services affiliates as fronting
vehicles. For example, Zurich American Insurance Company fronts Converium for
the USAIG aviation pool. Eagle Star Insurance Company Limited fronts Converium
for the Global Aerospace Underwriting Managers Pool. Additionally, beginning in
2001, Zurich Specialties London Ltd, fronts Converium for the SATEC space pool.
Gross assumed premiums under all of these transactions were $120.4 million,
$44.0 million and $35.8 million for 2002, 2001 and 2000, respectively.

During 2000, Converium entered into a significant modified life
coinsurance agreement to assume certain assets and liabilities of Zurich
International, Bermuda Branch. The quota share on these deposits and deposit
liabilities totaled $430.3 million as of December 31, 2002 and 2001 and are
presented net on the balance sheet. The contract can be cancelled and withdrawn
after five years.

In June 2001, ZIC entered into the TRINOM transaction that provides ZIC
with specific high limit catastrophe protection. As part of the Formation
Transactions, ZIC and Converium AG have entered into a CAT Retrocession
Reinsurance Agreement, dated December 1, 2001, which we refer to as the
Catastrophe Agreement. This agreement provides for Converium to receive
payments from ZIC for certain catastrophic events on terms similar to ZICs
protection under the TRINOM transaction. We will pay ZIC amounts at least equal
to the payments made by ZIC to TRINOM. The catastrophe agreement was effective
as of June 18, 2001, and will remain in effect for the same period as ZICs
agreement with TRINOM, together with any extension thereto. See Item 4. -
Information on the Company  B. Business Overview  Catastrophe Protection.

In conjunction with the issue by Converium Finance S.A. in December 2002
of the Guaranteed Subordinated Notes, Converium Holding AG and Converium AG, as
guarantors, have issued an unconditional irrevocable subordinated guarantee
which will constitute the direct, unsecured and subordinated joint and several
obligations of each of the guarantors subordinate to all Senior Creditors (as
defined in the Indenture), and will rank equally without preference among
themselves and at least equally with any existing or future unsecured,
subordinated obligations of either guarantor that are expressed to rank equally
with the subordinated guarantee and prior to all holders of the guarantors
share capital and to all holders of the guarantors existing or future
securities or obligations that are expressed to rank junior to the subordinated
guarantee. See Item 3.  Key Information  B. Capitalization and
Indebtedness.

In September 2002 Converium AG granted to MDU Investments Ltd. a put
option enabling MDU Investments Ltd. to require Converium (or a person
nominated by Converium AG) to subscribe up to an aggregate of 20.0 million
preferred shares on the terms of the pertinent agreement, with such option to
be exercised in tranches of one million shares with a value of £1 each. On
the same date Converium AG granted to the Medical Defence Union Ltd. a call
option enabling the Medical Defence Union Ltd. to purchase some or all of the
preferred shares which Converium AG or a subsidiary thereof may from time to
time hold in MDU Investments Ltd.

In November 2002, Converium AG entered in to a Share Purchase Agreement
with Northern States Agency Inc., Munich Re, Aviva and Royal and Sun Alliance
under which Converium AG agreed to purchase a 25% shareholding in GAUM.
Completion of the purchase took place in March 2003 according to a
Shareholders Agreement, dated March 12, 2003, between Northern States Agency
Inc., Converium, Munich Re, RSA and GAUM. In addition Converium AG, as a
shareholder, has provided a loan to GAUM in the amount of 12.6 million British
pounds. See Item 7.  Major Shareholders and Related Party Transactions  B.
Related Party Transactions.

On December 27, 2002, Converium Finance S.A. purchased from Converium AG
the $150.0 million loan previously granted by Converium AG to Converium Holding
AG on December 19, 2001, for a total purchase price of $150.8 million.

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Lease Arrangements

Converium AG leases office space from Zurich Financial Services. The lease
term is fixed until 2006, with two renewal options for three-year terms each.
The lease payments are fixed with annual rent escalations based on a cost of
living index.

Converium Rückversicherung (Deutschland) AG leases office space from
Zurich Financial Services. The lease term is for a period of ten years, with an
option to renew for up to two additional ten-year terms. The lease payments are
fixed through 2003 with bi-annual rent escalations based on changes in local
real estate price indices.

Converium Reinsurance (North America) Inc. entered into a sublease with ZC
Resource LLC (ZC Resource), a subsidiary of Zurich Financial Services in July
2001. The sublease has a term of approximately eleven years, ending in 2012. As
part of the Transactions, Converium Reinsurance (North America) Inc. entered
into an agreement to indemnify Global Asset Holdings Limited (GAHL) (an
indirect parent of ZC Resource and a co-guarantor of the prime lease) for
losses under the prime lease or the guaranty caused by Converium Reinsurance
(North America) Inc.s default under the sublease that results in a default
under the prime lease; GAHL, in turn, will indemnify Converium Reinsurance
(North America) Inc. for any losses under the guaranty caused by a default by
ZC Resource under the prime lease. Centre Insurance Company, a subsidiary of
Zurich Financial Services, will guaranty the punctual payment of all amounts
due by GAHL under the guaranty and all expenses incurred by Converium
Reinsurance (North America) Inc. enforcing the guaranty.

D.     EXCHANGE CONTROLS AND OTHER LIMITATIONS

Other than in connection with government sanctions imposed on Iraq,
Yugoslavia, UNITA (Angola), Myanmar, parts of Afghanistan and Libya (currently
suspended), there are currently no governmental laws, decrees, or regulations
in Switzerland that restrict the export or import of capital, including, but
not limited to, Swiss foreign exchange controls on the payment of principal,
interest or liquidation proceeds, if any, to non-resident holders of shares or
notes.

There are currently no laws, decrees or regulations in Luxembourg that
restrict the export or import of capital, including, but not limited to,
Luxembourg foreign exchange controls on the payment of principal, interest or
liquidation proceeds, if any, to non-resident holders of notes.

E.     TAXATION

The following is a summary of the principal U.S. Federal income tax and
Swiss tax consequences to a holder of shares or ADSs. This discussion does not
purport to address all tax consequences of the acquisition, ownership and
disposition of shares or ADSs and does not take into account the specific
circumstances of any particular holders (such as tax-exempt entities, certain
insurance companies, broker-dealers, traders in securities that elect to mark
to market, holders liable for alternative minimum tax, holders that actually or
constructively own 10% or more of the voting shares of Converium, holders that
hold shares or ADSs as part of a straddle or a hedging or conversion
transaction or holders whose functional currency is not the U.S. dollar, etc.),
some of which may be subject to special rules. This summary is based on the tax
laws of Switzerland and the United States (including the Internal Revenue Code
of 1986, as amended (the Code), its legislative history, existing and
proposed regulations thereunder, published rulings and court decisions as in
effect on the date hereof), as well as the Convention Between the United States
of America and the Swiss Confederation, which we call the U.S./Switzerland
Treaty, all of which are subject to change (or change in interpretation),
possibly with retroactive effect. We have not, and will not, request a ruling
from the U.S. Internal Revenue Service concerning the tax consequences of any
aspect of the transactions described herein.

Swiss Taxation

Generally, holders of ADSs will be treated as owners of the registered
shares underlying the ADSs for Swiss tax purposes. Accordingly, except as
noted, the Swiss tax consequences discussed below apply equally to holders of
the registered shares and ADSs.

This discussion does not generally address any aspects of Swiss taxation
other than income and capital taxation and Swiss stamp duties. Holders are
urged to consult their tax advisors regarding the Swiss and other tax
consequences of owning and disposing of shares or ADSs.

Withholding Tax on Dividends and Distributions

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Dividends paid and similar in-kind distributions (including dividends of
liquidation proceeds and share dividends) made by Converium to a holder of
shares or ADSs are subject to a federal withholding tax at a rate of 35%. The
withholding tax must be withheld by Converium from the gross distribution, and
paid over to the Swiss Federal Tax Administration. The withholding tax is
refundable in full to a Swiss resident who receives a distribution if such
resident is the beneficial owner of the payment and duly reports the gross
distribution received on his personal tax return.

Dividends paid or similar in-kind distributions (including dividends of
liquidation proceeds and share dividends) made by Converium to a holder of
shares or ADSs are not subject to Swiss cantonal or municipal withholding tax.

Obtaining a Refund of Swiss Withholding Tax for U.S. Residents

Article 10 of the U.S./Switzerland Treaty provides for a reduced 15%
withholding tax rate for U.S. individual and corporate shareholders who are
entitled to claim treaty benefits, which may be further reduced to 5% in the
case of a corporate shareholder owning at least 10% of the voting rights.
Relief under the U.S./Switzerland Treaty is granted by way of a refund. Under
the ADS program in effect through The Bank of New York, a U.S. holder of ADSs
that qualifies for U.S./Switzerland Treaty benefits will not be required to
undertake any action with respect to the partial or full refund of the Swiss
withholding tax. On the payment date of the dividend, Converium will pay 65% of
the gross dividend to The Bank of New York on behalf of the ADS holders. The
Bank of New York will file a Form 82 accompanied by a shareholder list and a
DTC participant list for each program. Based on this refund application, the
refundable withholding tax will be refunded by the Swiss Federal Tax
Administration to The Bank of New York on behalf of the eligible U.S. holders
of ADSs. The Bank of New York will pay 85% or 95% of the dividend to the
eligible U.S. holders of ADSs, depending on the applicable U.S./Switzerland
Treaty rate. Such holders should receive the ADS dividend within approximately
one month of the payment of the dividend by Converium. Relief under the
U.S./Switzerland Treaty is granted for holders of shares by way of a refund of
the withholding tax. A U.S. holder of shares may obtain the applicable refund
of Swiss withholding tax by filing a Swiss Federal Tax Administration Form 82
with the Swiss Federal Tax Administration.

Income Tax on Dividends

A Swiss resident or a foreign resident subject to Swiss taxation who
receives a dividend or similar distribution (including a share dividend and
liquidation proceeds in excess of the nominal value of the shares) from us is
required to include such amounts in his personal income tax return. Under some
cantonal tax legislation, no tax is levied at the cantonal or municipal level
on stock dividends, except upon liquidation of the company. A Swiss shareholder
which itself is a company or a cooperative may, under certain circumstances,
benefit from an exemption of the dividend from income taxation (participation
exemption/Beteiligungsabzug).

For purposes of the above paragraph and the discussion under Capital
Gains Tax upon Disposal of Shares, a foreign resident subject to Swiss
taxation refers to a non-Swiss resident person that maintains in Switzerland a
permanent establishment or fixed place of business to which the shares are
attributable.

Capital Gains Tax upon Disposal of Shares

A Swiss resident who holds shares as part of such residents private,
non-business assets will not be subject to any Swiss federal, cantonal or
municipal income taxation on gains realized upon the sale or other disposal of
shares. However, under certain conditions, shares can be deemed to be part of
the business assets of an individual, i.e.an individual may be treated as a
professional trader in securities, with the consequence of taxation of any
capital gains as business income. Furthermore, private gains realized upon a
repurchase of shares by us may be re-characterized as taxable dividend income
if some conditions are met. In the case of such re-characterization of capital
gains into dividend income, income tax will be levied on the difference between
the repurchase price and the underlying nominal value of the shares. Capital
gains realized on shares held as part of the business assets of a Swiss
resident or a foreign resident subject to Swiss taxation are included in the
taxable income of such persons.

Persons who are not resident in Switzerland for tax purposes are not
subject to any Swiss taxes with respect to gains realized upon a sale of shares
or ADSs, unless the shares or ADSs are attributable to a permanent
establishment or fixed place of business maintained by such non-resident person
in Switzerland. However, under some conditions, dividend withholding tax will
become due if shares are repurchased by Converium.

A Swiss resident or a foreign resident subject to Swiss taxation which is
a shareholder and which itself is a company or a cooperative may, under certain
circumstances, be eligible for relief from taxation with respect to capital
gains (participation

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exemption/Beteiligungsabzug). However, the participation exemption on
capital gains applies only in the case of a shareholding quota sold of at least
20%.

Stamp Duties upon Transfer of Shares

The sale or purchase of shares or ADSs, whether by Swiss resident or
non-resident holders, may be subject to a Swiss securities transfer stamp duty
of 0.075% or 0.15%, calculated on the sale proceeds, if it occurs through or
with a Swiss bank or other Swiss securities dealer as defined in the Swiss
Federal Stamp Tax Act. Any Swiss securities transfer stamp duty due on the sale
of the shares or ADSs to initial investors in the global offering shall be
borne by Zurich Financial Services.

As of January 1, 2001 the federal law of December 15, 2000 on new urgent
measures relating to the transfer stamp duty took effect. This law exempts some
categories of institutional investors from the transfer stamp duty. These
include foreign states, domestic and foreign investment funds, foreign social
insurance institutions, foreign institutions for occupational disability
insurance, and foreign life insurance providers. In addition, as of January 1,
2001 the following are classified as securities dealers under the Swiss Federal
Stamp Duty Act: domestic institutions for occupational disability insurance and
the associated insurance, domestic social security institutions (AHV/IV/EO,
ALV), the Swiss federal government, the cantons and political municipalities.
However, these securities dealers have the option to delegate the payment
obligation to commercial dealers (banks).

United States Federal Income Taxation

For purposes of this discussion, a U.S. holder is either (1) a citizen
or resident of the United States, (2) a corporation organized under the laws of
the United States or any political subdivision thereof, (3) an estate the
income of which is subject to U.S. federal income tax without regard to its
source or (4) a trust if a court within the United States is able to exercise
primary supervision over the administration of the trust and one or more U.S.
persons have the authority to control all substantial decisions of the trust.

This discussion does not generally address any aspects of U.S. taxation
other than federal income taxation. Holders are urged to consult their tax
advisors regarding the U.S. federal, state and local and other tax consequences
of owning and disposing of shares or ADSs.

U.S. holders of ADSs will be treated as owners of the shares underlying
the ADSs for U.S. federal income tax purposes. Accordingly, except as noted,
the U.S. federal income tax consequences discussed below apply equally to U.S.
holders of ADSs and shares. This discussion is based in part upon
representations of The Bank of New York and assumes that each obligation
provided for in, or otherwise contemplated by, the deposit agreement and any
related agreement will be performed in accordance with its respective terms.
This discussion assumes that U.S. holders will hold their shares or ADSs as
capital assets. This discussion only applies to Converium shares acquired in
the global offering.

Taxation of Dividends

Under the U.S. federal income tax laws, and subject to the passive foreign
investment company, or PFIC, rules discussed below, U.S. holders will include
in gross income the gross amount of any distribution, other than certain pro
rata distributions of common shares, paid (before reduction for Swiss
withholding taxes) by Converium out of its current or accumulated earnings and
profits (as determined for U.S. federal income tax purposes) as foreign source
ordinary income when the dividend is actually or constructively received by the
U.S. holder. The dividend will not be eligible for the dividends-received
deduction. The amount of the dividend paid in Swiss francs will be the U.S.
dollar value of the Swiss francs received, including the amount of any Swiss
tax withheld, determined at the spot Swiss franc/U.S. dollar rate on the date
such dividend is received, which for holders of ADSs would be the date such
dividend is received by The Bank of New York, regardless of whether the payment
is in fact converted into U.S. dollars. Generally, any gain or loss resulting
from currency exchange fluctuations will be treated as ordinary income or loss.
Such gain or loss will generally be income from sources within the United
States for foreign tax credit limitation purposes. Distributions in excess of
current and accumulated earnings and profits, as determined for U.S. federal
income tax purposes, will be treated as a return of capital to the extent of
the U.S. holders basis in the shares or ADSs and thereafter as capital gain.

Subject to certain limitations, the Swiss tax withheld in accordance with
the U.S./Switzerland Treaty and paid over to Switzerland will be creditable
against the U.S. holders U.S. federal income tax liability. One such
limitation is that a foreign tax credit is only allowed for withholding tax on
a dividend if the shareholder has held the shares with respect to which the
dividend is paid for more than fifteen days during the thirty-day period
beginning on the date which is fifteen days before the date on which the shares
become ex-dividend with respect to the dividend. To the extent a refund of the
tax withheld is available to a U.S. holder under

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the U.S./Switzerland Treaty, the amount of tax withheld that is refundable
will not be eligible for credit against the U.S. holders U.S. federal income
tax liability. See  Swiss Taxation  Obtaining a Refund of Swiss Withholding
Tax for U.S. Residents above for the procedures for obtaining a refund of tax.

The ability of a U.S. holder to utilize foreign taxes as a credit to
offset U.S. taxes is affected by complex limitations and conditions. The
limitation on foreign taxes eligible for credit is calculated separately with
respect to specific classes of income. For this purpose, dividends paid by
Converium will generally constitute passive income or, in the case of certain
U.S. holders, financial services income.

The U.S. Treasury Department has expressed concern that parties to whom
ADSs are pre-released may be taking actions that are inconsistent with the
claiming by U.S. holders of ADSs of foreign tax credits for U.S. federal income
tax purposes. Accordingly, the discussion of the creditability of foreign taxes
could be affected by future actions that may be taken by the U.S. Treasury
Department.

A U.S. holder may elect to claim all foreign taxes paid as an itemized
deduction in lieu of claiming a foreign tax credit. A deduction does not reduce
U.S. tax on a dollar-for-dollar basis like a tax credit, but the availability
of the deduction is not affected by the conditions and limitations applicable
to foreign tax credits. U.S. holders should consult their tax advisors to
determine whether and to what extent a foreign tax credit would be available to
them.

Sale or Exchange

Gain or loss recognized by a U.S. holder on the sale, exchange or other
disposition of shares or ADSs will, subject to the discussion of the PFIC rules
below, be subject to U.S. federal income taxation as capital gain or loss in an
amount equal to the difference between the U.S. holders adjusted tax basis in
the shares or ADSs and the amount realized on the disposition. Any gain or loss
recognized will generally be treated as U.S. source gain or loss. U.S. holders
are urged to consult their own tax advisors about the treatment of capital
gains, which may be taxed at lower rates than ordinary income for non-corporate
taxpayers, and capital losses, the deductibility of which may be limited.

The surrender of ADSs in exchange for shares, or vice versa, will not
result in the realization of gain or loss for U.S. federal income tax purposes.

PFIC Rules

Converium does not expect to be a PFIC for its current or future taxable
years; however, since this is a factual determination made annually, there can
be no assurance that Converium will not be considered a PFIC for any taxable
year. In general, Converium will be a PFIC with respect to a U.S. holder, if,
for any taxable year in which the U.S. holder held Converium shares or ADSs,
either (1) at least 75% of the gross income of Converium for the taxable year
is passive income or (2) at least 50% of the value (determined on the basis
of a quarterly average) of Converiums assets is attributable to assets that
produce or are held for the production of passive income. In general, passive
income for this purpose does not include income derived in the active conduct
of an insurance business by a corporation predominantly engaged in an insurance
business. If Converium were to be treated as a PFIC, in general, unless a U.S.
holder makes a mark-to-market election, gain realized on the sale or other
disposition of shares or ADSs and certain excess distributions would be
allocated on a straight-line basis over the holders holding period for the
shares or ADSs. The gain so allocated would be taxed as ordinary income at the
highest rate in effect for each year in the holders holding period, other than
the year of sale or disposition and years prior to the year in which Converium
first met the definitional criteria of a PFIC, and an interest charge would be
imposed in respect of the tax attributable to each such year subject to the
same exceptions; gain allocable to the year of sale or disposition and years
prior to the year in which Converium first met the definitional criteria of a
PFIC would be treated as ordinary income.

Backup Withholding

A U.S. holder may, under certain circumstances, be subject to backup
withholding with respect to dividends paid on the shares or ADSs or the
proceeds of sale, exchange, or other disposition of shares or ADSs unless such
holder (1) is a corporation or comes within certain other exempt categories,
and, when required, demonstrates this fact or (2) provides a correct taxpayer
identification number, certifies that it is not subject to backup withholding
and otherwise complies with applicable requirements of the backup withholding
rules. Any amount withheld under these rules will be creditable against the
U.S. holders federal income tax

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liability, provided appropriate information is furnished to the IRS. A
U.S. holder who does not provide a correct taxpayer identification number may
be subject to penalties imposed by the IRS.

F.     DIVIDENDS AND PAYING AGENTS

Not applicable.

G.     STATEMENT BY EXPERTS

Not applicable.

H.     DOCUMENTS ON DISPLAY

It is possible to read and copy documents referred to in this annual
report that have been filed with the SEC at the SECs public reference room
located at:

451 Fifth Street, NW
Washington DC 20549, USA

Please call the SEC at 1-800-SEC-0330 for further information on the
public reference room and their copy charges.

In addition, documents referred to above are available at Converiums
headquarters, located at:

Baarerstrasse 8 CH-6300 Zug Switzerland

I.     SUBSIDIARY INFORMATION

Not applicable.




ITEM 11. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

As a provider of reinsurance solutions, effective risk management is
fundamental to our ability to protect both the interests of our clients and
shareholders. We have consequently established risk and investment management
processes and procedures to actively manage our exposure to qualitative and
quantitative market risks. Our risk and investment management procedures focus
on ensuring that all of our operating units consistently follow suitable,
structured and controlled processes and procedures, with specific guidelines
and limits tailored to the characteristics of each business. See Item 15. 
Controls and Procedures

We consider our market risk to consist primarily of our exposure to
adverse market value changes in our assets, across both short and long-term
periods. Our market risk includes multiple sources of market price
fluctuations, including credit risks, prepayment risks, liquidity risks, sector
risks and other risks. Short-term market risks relate primarily to our exposure
to adverse market value changes in our assets and the potential inability to
realize asset values on a timely basis.

We principally manage our long-term market risks through a procedure we
refer to as asset/liability management, or ALM, through which we seek to
understand and manage the dynamic interactions between our assets and
liabilities. We utilize and continually develop firm-wide ALM processes and
models to manage our aggregate financial risks. The primary goal of our ALM
procedures is to match, in terms of timing and currency, anticipated claims
payments to our cedents with investment income generated by our investment
assets. Because fixed income securities generally provide more stable
investment income than equity securities, the preponderance of our investments
are in fixed income instruments. Although our ALM techniques are based on
theoretical and empirical models and can lead to incorrect assumptions, we
believe that the careful use of these ALM techniques leads to a better
understanding of the risks inherent in our assets and liabilities and is
therefore an important element of our risk and investment management process.
Our principal ALM techniques include cash flow analysis, scenario testing and
stochastic modeling.

To help manage our aggregate exposure to concentration and credit risks,
we analyze the concentration of our risk by entity, rating category and
industry. These concentrations and credit risks are reviewed on a quarterly
basis by our Finance Committee.

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Sensitivity Analyses for Invested Assets

Approximately 96% of our investment securities are classified for
accounting purposes as available-for-sale. These securities are carried at
their fair market value as of the balance sheet date with movements in fair
value recorded in other comprehensive income in shareholders equity. In
contrast to these assets, certain liability reserves, particularly non-life
reinsurance reserves, are not shown at fair market values as of the balance
sheet date. Therefore, U.S. GAAP accounting practices typically result in more
volatile assets than liabilities. This, in turn, may lead us to report more
volatile shareholders equity on our balance sheet than we believe may
economically be the case.

The following risk analyses do not take into account that there are
strategies in place to minimize the exposures to market fluctuations. These
strategies include, among others, changes in asset allocation and the sale of
investments. These analyses assume that the change in value of assets is
temporary and that the liability reserves would not change.

We have based our computations of prospective effects of hypothetical
interest rate changes on numerous assumptions. Because these computations are
based on assumptions, they should not be relied on as indicative of future
results.

Certain shortcomings are inherent in the method of analysis presented in
the computation of the fair value of fixed rate instruments. Actual values may
differ from those projections presented should market conditions vary from
assumptions used in the calculation of the fair value of individual securities,
including non-parallel shifts in the term structure of interest rates and
changing individual issuer credit spreads.

Interest Rate Risk

Our investment assets are subject to interest rate risks. Our interest
rate risk is concentrated in the United States and Europe and is highly
sensitive to many factors, including governmental monetary policies, and
domestic and international economic and political conditions. The estimated
potential exposure of our consolidated net assets to a one percentage point
increase of the yield curve would be an after-tax reduction in net assets of
$102.8 million, which represents approximately 5.9 % of our total shareholders
equity as of December 31, 2002.

As of December 31, 2002, all of our debt outstanding was at fixed interest
rates. Thus, an increase in interest rates would currently have no effect on
our annual interest expense or reported shareholders equity, as we account for
debt at amortized cost, not fair value.

Equity Market Risk

We hold 9% of our invested assets in equity securities, which are subject
to equity market risk. Our equity market risk is concentrated in the United
States and Europe and is highly sensitive to general economic and stock market
conditions. The estimated potential exposure of our consolidated net assets to
a 10% decline in all stock markets as of December 31, 2002, without taking into
account any portfolio diversification effects, would be an after-tax reduction
in net assets of $39.8 million, which represents approximately 2.3% of our
total shareholders equity as of December 31, 2002. An additional $6.0 million
of after-tax losses would be incurred related to our variable annuity business.

Our strategic asset allocation combines a large percentage of investments
in high-quality bonds with investments in equity securities. This allocation
seeks to generate strong positive returns with acceptable risks over the long
term, while protecting against excessive risks in periods of severe market
distress. During a severe stock market correction associated with a weak
economy, recession or depression, losses in the fair market value of equity
securities tend to be partially offset by gains on high-quality bonds arising
from falling interest rates. We seek to match our investments with our
underlying liabilities in the countries and territories in which we operate.
Consequently, we strive to keep our equity portfolio diversified so as to
provide a broad exposure across major sectors of individual stock markets. We
restrict our maximum investment in any one equity security or equity sector by
reference to local benchmarks and insurance regulations.

Foreign Exchange Risk

Our general practice is to invest in assets that match the currency in
which we expect related liabilities to be paid. Shareholders equity held in
local insurance units is primarily kept in local currencies to the extent that
shareholders equity is required to satisfy regulatory and self-imposed capital
requirements. This facilitates our efforts to ensure that capital held in local

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insurance units will be able to support the local insurance business
irrespective of currency movements. However, this may result in adverse effects
on our reported shareholders equity when expressed in U.S. dollars.

The table below shows the approximate effect on shareholders equity of
instantaneous adverse movements in currency exchange rates of 10% on our major
currency exposures at December 31, 2002 against the U.S. dollar.

|            |  |                  |    |                     |  |             |  | 
|----------- |  | ---------------- | -- | ------------------- |  | ----------- |  | 
|            |  | Adverse exchange |    |                     |  |            
|            |  | rate movement    |    | Approximate decline
|            |  | against the      |    | in shareholders'   
|            |  | U.S. dollar      |    | equity             
|            |  |                  |    |                    
|Euro        |  |                  | 10 | %                   |  | $12 million
|Swiss franc |  |                  | 10 | %                   |  | $80 million

As of December 31, 2002, we had an unrealized cumulative translation gain
of $113.9 million, compared to a loss of $21.9 million at December 31, 2001.
This change was mostly due to the weakening of the U.S. dollar against the
European currencies and the translation of our share capital and additional
paid-in capital from Swiss francs to U.S. dollars using historical exchange
rates, as required under SFAS 52, Foreign Currency Translation.

Our reported premiums, losses and expenses are also affected by exchange
rate fluctuations. Business written in currencies other than the US dollar is
translated at average exchange rates for the period, and therefore exchange
rate movements from period to period can have a significant effect on our U.S.
dollar reported premiums, losses and expenses.

The table below shows the percentage of key income statement and balance
sheet items, denominated by our main currencies as of and for the year ended
December 31, 2002:

|                                            |  |        |     |      |  |       |    |             |  |     |    |       |  |          |    |   |  |  |   |   |  |  |   |   |  |  |     |  
|------------------------------------------- |  | ------ | --- | ---- |  | ----- | -- | ----------- |  | --- | -- | ----- |  | -------- | -- | - |  |  | - | - |  |  | - | - |  |  | --- | -
|                                            |  | U.S.   |     |      |  |       |    | U.K         |  |     |    |       |  | Japanese |    |   |  |  |   |   |  | 
|                                            |  | dollar |     | Euro |  | pound |    | Swiss franc |  | yen |    | Other |  | Total   
|                                            |  |        |     |      |  |       |    |             |  |     |    |       |  |         
|Income statement                            |  |        |     |      |  |       |    |             |  |     |    |       |  |          |    |   |  |  |   |   |  |  |   |   |  |  |     |  
|Net premiums written                        |  |        | 60  | %    |  |       | 13 | %           |  |     | 15 | %     |  |          | 1  | % |  |  | 2 | % |  |  | 9 | % |  |  | 100 | %
|Net investment income                       |  |        | 74  | %    |  |       | 13 | %           |  |     | 8  | %     |  |          | 3  | % |  |  |  |   |  |  | 2 | % |  |  | 100 | %
|Losses and loss adjustment
expenses         |  |        | 64  | %    |  |       | 11 | %           |  |     | 15 | %     |  |          |   |   |  |  | 1 | % |  |  | 9 | % |  |  | 100 | %
|Life benefits and
policyholder dividends    |  |        | 62  | %    |  |       | 33 | %           |  |     |   |       |  |          | 1  | % |  |  |  |   |  |  | 4 | % |  |  | 100 | %
|Underwriting acquisition costs              |  |        | 63  | %    |  |       | 17 | %           |  |     | 9  | %     |  |          | 1  | % |  |  | 2 | % |  |  | 8 | % |  |  | 100 | %
|Other operating and
administration expenses |  |        | 43  | %    |  |       | 10 | %           |  |     | 3  | %     |  |          | 41 | % |  |  |  |   |  |  | 3 | % |  |  | 100 | %
|Interest expense                            |  |        | 100 | %    |  |       |   |             |  |     |   |       |  |          |   |   |  |  |  |   |  |  |  |   |  |  | 100 | %
|Balance sheet                               |  |        |     |      |  |       |    |             |  |     |    |       |  |          |    |   |  |  |   |   |  |  |   |   |  |  |     |  
|Total invested assets                       |  |        | 73  | %    |  |       | 12 | %           |  |     | 10 | %     |  |          | 4  | % |  |  |  |   |  |  | 1 | % |  |  | 100 | %
|Reinsurance assets                          |  |        | 80  | %    |  |       | 11 | %           |  |     | 6  | %     |  |          | 3  | % |  |  |  |   |  |  |  |   |  |  | 100 | %
|Loss and loss adjustment
expenses, gross    |  |        | 66  | %    |  |       | 14 | %           |  |     | 14 | %     |  |          | 1  | % |  |  | 1 | % |  |  | 4 | % |  |  | 100 | %
|Unearned premiums, gross                    |  |        | 60  | %    |  |       | 11 | %           |  |     | 22 | %     |  |          | 1  | % |  |  | 1 | % |  |  | 5 | % |  |  | 100 | %
|Future life benefits, gross                 |  |        | 48  | %    |  |       | 48 | %           |  |     |   |       |  |          | 1  | % |  |  |  |   |  |  | 3 | % |  |  | 100 | %
|Debt                                        |  |        | 100 | %    |  |       |   |             |  |     |   |       |  |          |   |   |  |  |  |   |  |  |  |   |  |  | 100 | %




ITEM 12. DESCRIPTION OF SECURITIES OTHER THAN EQUITY SECURITIES

Not applicable.




PART II

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ITEM 13. DEFAULTS, DIVIDEND ARREARAGES AND DELINQUENCIES

Not applicable.




ITEM 14. MATERIAL MODIFICATION TO THE RIGHTS OF SECURITY HOLDERS AND USE OF PROCEEDS

Not applicable.




ITEM 15. CONTROLS AND PROCEDURES

Converium Holding AGs Group Chief Executive Officer and Group Chief
Financial officer, after evaluating the effectiveness of our disclosure
controls and procedures (as defined in Exchange Act Rule 13a-14(c)) within 90
days of the date of this Form 20-F, have concluded that, as of such date our
disclosure controls and procedures were effective to ensure that material
information relating to Converium Holding AG was made known to them by others
within the company, particularly during the period in which this Form 20-F was
being prepared.

There were no significant changes in our internal controls or in other
factors that could significantly affect these controls subsequent to the date
the Group Chief Executive Officer and Group Chief Financial Officer completed
their evaluation, nor were there any significant deficiencies or material
weaknesses in our internal controls requiring corrective actions.

Code of Ethics

As a result of the requirements set by the Sarbanes Oxley Act, our Board
of Directors will have to formally adopt a Code of Ethics. In elaborating the
relevant document, we have found that the current corporate governance
framework, in particular our Risk Policy includes substantially all of the
elements which we believe are to be reflected in the Code of Ethics. We thus
believe that Converium has already set the rules and principles to be
included in the Code of Ethics, which will be adopted by our Board of Directors
later this year.

Whistleblower Procedure

An anonymous whistleblower procedure has been established, allowing
confidential reporting and evaluation of complaints regarding questionable
accounting methods or fraudulent practices, as well as other risk-related
operational hazards such as inadequate controls or organizational shortcomings.
Through Group Internal Audit, such anonymous reporting bypasses the Group
Executive Committee and goes directly to the Audit Committee of the Board.




ITEM 16. [RESERVED]




PART III




ITEM 17. FINANCIAL STATEMENTS

Not applicable.




ITEM 18. FINANCIAL STATEMENTS

See the consolidated financial statements beginning on page F-1.




ITEM 19. EXHIBITS

|        |  |                                                                                                                                                                                                                         
|------- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Exhibit |  |                                                                                                                                                                                                                         
|Number  |  | Description                                                                                                                                                                                                             
|        |  |                                                                                                                                                                                                                         
|1.1     |  | Articles of Incorporation of Converium Holding AG, adopted November 8, 2001.*                                                                                                                                           
|        |  |                                                                                                                                                                                                                         
|1.2     |  | Bylaws of Converium Holding AG, adopted November 16, 2001.*                                                                                                                                                             
|        |  |                                                                                                                                                                                                                         
|1.3     |  | Articles of
Incorporation of Converium Holding AG, revised February 5, 2003.                                                                                                                                            
|        |  |                                                                                                                                                                                                                         
|2.1     |  | Form of Deposit Agreement among Converium Holding AG, The Bank of New York,
as Depositary, and all owners and beneficial owners from time to time of
ADSs issued thereunder (including the form of ADS), incorporated by

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|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|---- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|     |  | reference from the Registration Statement on Form F-6 of Converium Holding
AG (File No. 333-14108), initially filed with the Commission on November
19, 2001.*                                                                                                                                                                                                           
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|2.2  |  | Indenture, dated as of October 20, 1993 between Zurich Reinsurance Centre
Holdings, Inc. and The Bank of New York, as Trustee, relating to
$200,000,000 principal amount of 7 1/8% Senior Notes due 2023 (and assumed
by Converium Holdings (North America) Inc. pursuant to the Supplement
Indenture included as Exhibit 2.3 hereto).* (Previously filed as Exhibit 3.1)
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|2.3  |  | First Supplemental Indenture among Zurich Reinsurance Centre Holdings, Inc.,
as Issuer, Converium Holdings (North America) Inc., as Guarantor, and The
Bank of New York, as Trustee, dated as of November 20, 2001.* (Previously filed as Exhibit 3.2)                                                                                                                   
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|2.4  |  | Form of Indenture between Converium Finance, S.A., as Issuer, Converium AG and Converium Holding AG as Guarantors and
JPMorgan Chase Bank as Trustee, Calculation Agent and Paying
Agent.+                                                                                                                                                                               
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|2.5  |  | Form of the $200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes Due 2032
(included in Exhibit 2.4 hereto).+                                                                                                                                                                                                                                             
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|2.6  |  | Subordinated
Guarantee by Converium Holding AG and Converium AG relating to
$200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes
Due 2032.                                                                                                                                                                                                               
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|2.7  |  | Indenture, dated December 23, 2002 between Converium Finance S.A.,
Converium Holding AG, Converium AG and JP
Morgan Chase Bank, as trustee, relating to $200,000,000 principal
amount of 8.25% Guaranteed Subordinated Notes Due 2032.                                                                                                                                   
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.1  |  | Master Agreement by and among Zurich Financial Services and Converium
Holding AG, dated December 1, 2001.*                                                                                                                                                                                                                                                               
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.2  |  | Stock Purchase Agreement between Zurich Reinsurance Centre Holdings, Inc.
and Converium Holdings (North America) Inc., dated as of October 1, 2001.*                                                                                                                                                                                                                     
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.3  |  | Agreement for the Sale and Transfer of Shares in Zürich Rückversicherung
(Köln) Aktiengesellschaft, dated September 28, 2001.*                                                                                                                                                                                                                                           
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.4  |  | Quota Share Retrocession Agreement between Zurich Insurance Company
(including its Singapore, Labuan and Bermuda branches) and Converium AG,
dated October 1, 2001 (and effective as of July 1, 2001).*                                                                                                                                                                  
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.5  |  | Quota Share Retrocession Agreement between Zurich International (Bermuda)
Ltd. and Converium AG, dated October 1, (and effective as of July 1,
2001).*                                                                                                                                                                                                                   
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.6  |  | Asset Purchase and Assumption of Liability Agreement between Zurich
Insurance Company and Converium AG, dated September 28, 2001.*                                                                                                                                                                                                                                       
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.7  |  | Indemnity Agreement (Unicover) between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                              
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.8  |  | Indemnity Agreement (September 11th Cessions) between Zurich Reinsurance
(North America), Inc. and Zurich Insurance Company, dated as of October 1,
2001.*                                                                                                                                                                                                               
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.9  |  | Indemnity Agreement (September 11th Losses) between Zürich Rückversicherung
(Köln) Aktiengesellschaft and Zurich Insurance Company, dated as of October
1, 2001.*                                                                                                                                                                                                        
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.10 |  | Partial Commutation Agreement between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                               
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.11 |  | Master Novation and Indemnity Reinsurance Agreement among Zurich Reinsurance
(North America), Inc., Centre Insurance Company, Centre Solutions (U.S.)
Limited and Zurich Insurance Company, Bermuda Brach, dated as of October 1,
2001.*                                                                                                                                 
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.12 |  | Group Reinsurance Business Master Novation and Indemnity Reinsurance
Agreement by and among Zurich Reinsurance (North America), Inc., Zurich
Insurance Company and Zurich International (Bermuda) Ltd., dated as of
October 1, 2001.*                                                                                                                                    
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.13 |  | Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance
Agreement effective January 1, 1991 through December 31, 1993) between
Zurich Reinsurance (North America), Inc. and Centre Reinsurance Limited,
dated as of October 1, 2001.*                                                                                                                   
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.14 |  | Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance
Agreement effective January 1, 1994 through December 31, 1994) between
Zurich Reinsurance (North America), Inc. and Centre Reinsurance
International Company, dated as of October 1, 2001.*                                                                                                     
|     |  |                                                                                                                                                                                                                                                                                                                                                                          
|4.15 |  | Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance
Agreement effective January 1, 1995) between Zurich Reinsurance (North
America), Inc. and Centre Reinsurance Limited, dated as of October 1, 2001.*                                                                                                                                             

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|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|---- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|4.16 |  | Commutation Agreement (covering the Obligatory Surplus Share Reinsurance
Agreement effective October 1, 1995) between Zurich Reinsurance (North
America), Inc. and Centre Reinsurance Limited, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.17 |  | Commutation Agreement (covering the Obligatory Surplus Share Reinsurance
Agreement effective November 6, 1992) between Zurich Reinsurance (North
America), Inc. and Centre Reinsurance International Company, dated as of
October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.18 |  | Agreement Amending and Terminating Centre Reinsurance Dublin Affiliated
Group Tax Allocation Agreement among Orange Stone Delaware Holdings Limited,
Orange Stone Reinsurance, Centre Reinsurance Holdings (Delaware) Limited,
Centre Reinsurance (U.S.) Limited, Zurich Reinsurance Centre Holdings, Inc.,
Zurich Reinsurance (North America), Inc., ZC Insurance Company, ZC Specialty
Insurance Company, Centre Risk Advisors, Inc., Constellation Reinsurance
Company, Centre Re Services, Inc., Zurich Global Assets LLC, formerly known
as BDA/US Services Limited, ZC Management Corporation, ZC Resource LLC, ZC
Property Management, Inc. and Claims Solutions Group, dated October 1,
2001.*
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.19 |  | Catastrophe Cover Retrocession Agreement by and between Converium AG and
Zurich Insurance Company, dated December 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.20 |  | Stock Purchase Agreement between Zurich Reinsurance (North America), Inc.
and Centre Strategic Investments Holdings Limited, dated August 23, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.21 |  | Run-off Services and Management Agreement between Zurich Insurance Company
and Converium AG, dated December 3, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.22 |  | Tax Sharing and Indemnification Agreement among Zurich Reinsurance Centre
Holdings, Inc., Orange Stone Delaware Holdings Limited, Converium Holdings
(North America) Inc., Zurich Reinsurance (North America), Inc. and Zurich
Insurance Company, dated as of October 1, 2001. *                                                                                                                                                                                                                                                                                                                                                                                                                      
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.23 |  | Tax Sharing and Indemnification Agreement between Zurich Financial Services,
Zurich Insurance Company, Converium Holding AG and Converium AG dated
December 3, 2001. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.24 |  | Form of Converium Standard Stock Option Plan for Non-U.S. Employees. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.25 |  | Form of Converium Standard Stock Purchase Plan for Non-U.S. Employees. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.26 |  | Omnibus Share Plan for U.S. Employees. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.27 |  | Converium Employee Stock Purchase Plan for U.S. Subsidiaries.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.28 |  | Form of Converium Annual Incentive Deferral Plan.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.29 |  | Lease, between Zurich Insurance Company and Converium AG, dated August 29,
2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.30 |  | Sublease Support Agreement among Zurich Reinsurance (North America), Inc.,
Global Asset Holdings Limited and Centre Insurance Company, dated as of
October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.31 |  | Sublease between ZC Resource LLC and Zurich Reinsurance (North America),
Inc., dated as of June 20, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.32 |  | Form of Letter Agreement between Converium Holding AG and The Bank of New
York, relating to the pre-release of the ADRs, incorporated by reference
from the Registration Statement on Form F-6 of Converium Holding AG (File
No. 333-14108), initially filed with the Commission on November 19, 2001.*                                                                                                                                                                                                                                                                                                                                                                                               
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.33 |  | Agreement dated September 2, 2002, between Converium AG and MDU Investments
Ltd, regarding subscription of up to 20 million shares at
£1 each.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.34 |  | Share Purchase Agreement dated November 27, 2002, between Converium AG and
Northern States Agency Inc., Munich Re, Aviva and Royal and Sun Alliance
regarding Global Aerospace Underwriting Managers Limited (GAUM).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.35 |  | Shareholders Agreement dated March 12, 2003, between Converium AG and Northern
States Agency Inc., Munich Re, Aviva and Royal and Sun Alliance regarding Global
Aerospace Underwriting Managers Limited (GAUM).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.36 |  | Sale and Purchase Agreement and Assignment between Converium AG and Converium
Finance S.A. regarding the transfer of a $150 million loan granted to Converium
Holding AG.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.37 |  | Amendment to Share Purchase Agreement dated November 27, 2002 between
Converium AG and Northern States Agency Inc., Munich Re, Aviva and
Royal Sun Alliance regarding Global Aerospace Underwriting Managers
Limited (GAUM).                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|7.1  |  | Computation of ratio of earnings to fixed charges.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|8.1  |  | Subsidiaries of the Registrant.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|12.1 |  | Consent of PricewaterhouseCoopers Ltd, independent accountants.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|12.2 |  | Certification of Chief Executive Officer.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             

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|     |  |                                          
|---- |  | -----------------------------------------
|12.3 |  | Certification of Chief Financial Officer.

|  |  |                                                                                                           
|- |  | ----------------------------------------------------------------------------------------------------------
|* |  | Incorporated by reference to the Companys Registration Statement
filed on Form F-1, on December 10, 2001.
|+ |  | Incorporated by reference to the Companys Registration Statement
filed on Form F-1, on December 18, 2002.

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Table of Contents

CONVERIUM GROUP

INDEX TO CONSOLIDATED AND HISTORICAL COMBINED


FINANCIAL STATEMENTS AND SCHEDULES


|                                                                                                                                                                               |  |      |     | 
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ |  | ---- | --- | 
|                                                                                                                                                                               |  | Page
|                                                                                                                                                                               |  |     
|Report of the Group Auditors on the Financial
    Statements                                                                                                                   |  |      | F-2 | 
|Consolidated and Historical Combined Statements
    of Income for the years ended December 31, 2002, 2001 and
    2000                                                         |  |      | F-3 | 
|Consolidated and Historical Combined Balance
    Sheets as of December 31, 2002 and 2001                                                                                       |  |      | F-4 | 
|Consolidated and Historical Combined Statements
    of Cash Flows for the years ended December 31, 2002, 2001 and 2000                                                         |  |      | F-5 | 
|Consolidated and Historical Combined Statements
    of Changes in Equity for the years ended December 31, 2002,
    2001 and 2000                                              |  |      | F-6 | 
|Notes to the Consolidated and Historical Combined
    Financial Statements                                                                                                     |  |      | F-7 | 
|Schedules                                                                                                                                                                      |  |      |     | 
|Report of the Group Auditors on the Financial
    Statement Schedules                                                                                                          |  |      | S-1 | 
|I   Summary of Investments Other
    than Investments in Related Parties as of December 31, 2002
    and 2001                                                                  |  |      | S-2 | 
|II  Condensed Financial Information of
    the Registrant                                                                                                                      |  |      |     | 
|Statements of Income
    for the year ended December 31, 2002 and the period June 19,
2001 to December 31, 2001                                                                |  |      | S-3 | 
|Balance Sheets as
    of December 31, 2002 and 2001                                                                                                                            |  |      | S-4 | 
|Statements of Cash
    Flows for the year ended December 31, 2002 and the period
June 19, 2001 to December 31, 2001                                                            |  |      | S-5 | 
|IV  Reinsurance for the years ended
    December 31, 2002, 2001 and 2000                                                                                                       |  |      | S-6 | 
|                                                                                                                                                                              
|Schedules other than those listed above are
    omitted for the reason that they are not applicable or the
    information is otherwise contained in the financial statements. |  |      |     | 

F-1



---



##### Table of Contents



Converium Group

Report of the Group auditors


To the General Meeting of Shareholders of Converium Holding Ltd, Zug

We have audited the accompanying consolidated and historical combined balance
sheets of Converium Holding Ltd as of December 31, 2002 and 2001 and the
related consolidated and historical combined statements of income, cash flows
and changes in equity for each of the three years in the period ended December
31, 2002, included on pages F-3 through F-41, all expressed in United States
dollars.

The consolidated and historical combined financial statements are the
responsibility of the Board of Directors. Our responsibility is to express an
opinion on these consolidated and historical combined financial statements
based on our audits. We confirm that we meet the Swiss legal requirements
concerning professional qualifications and independence.

Our audits were conducted in accordance with auditing standards promulgated by
the Swiss profession and with auditing standards generally accepted in the
United States of America. Those standards require that an audit be planned and
performed to obtain reasonable assurance about whether the consolidated and
historical combined financial statements are free from material misstatement.
We have examined on a test basis, evidence supporting the amounts and
disclosures in the financial statements. We have also assessed the accounting
principles used, significant estimates made and the overall consolidated and
historical combined financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.

In our opinion, the consolidated and historical combined financial statements
referred to above present fairly, in all material respects, the financial
position of Converium Holding Ltd at December 31, 2002 and 2001, and the
results of its operations and its cash flows for each of the three years in the
period ended December 31, 2002, in conformity with accounting principles
generally accepted in the United States of America and comply with Swiss law.

We recommend that the consolidated and historical combined financial statements
submitted to you be approved.

PricewaterhouseCoopers Ltd

L. Marbacher                      A. Hill

Zurich, February 5, 2003

F-2



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##### Table of Contents



Converium Group
Consolidated and historical combined statements of income

|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|------------------------------------------- |  | ----- | -- | ---- |  | ---- | -------- | ---- |  |  | -------- |  |  |  | -------- | 
|(US$ million, except per share information) |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Year ended December 31                      |  | Notes |    | 2002 |  | 2001 |          | 2000
|                                            |  |       |    |      |  |      |          |     
|Revenues                                    |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Gross premiums written                      |  |       |    |      |  |      | 3,535.8  |      |  |  | 2,881.2  |  |  |  | 2,565.8  | 
|Less ceded premiums written                 |  |       |    |      |  |      | 213.6   |      |  |  | 398.6   |  |  |  | 569.8   | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Net premiums written                        |  |       | 9  |      |  |      | 3,322.2  |      |  |  | 2,482.6  |  |  |  | 1,996.0  | 
|Net change in unearned premiums             |  |       |    |      |  |      | 156.7   |      |  |  | 187.4   |  |  |  | 134.5   | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Net premiums earned                         |  |       | 9  |      |  |      | 3,165.5  |      |  |  | 2,295.2  |  |  |  | 1,861.5  | 
|Net investment income                       |  |       | 6  |      |  |      | 251.8    |      |  |  | 228.7    |  |  |  | 176.0    | 
|Net realized capital (losses) gains         |  |       | 6  |      |  |      | 10.3    |      |  |  | 18.4    |  |  |  | 83.7     | 
|Other (loss) income                         |  |       |    |      |  |      | 1.2     |      |  |  | 5.8     |  |  |  | 29.3     | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Total revenues                              |  |       |    |      |  |      | 3,405.8  |      |  |  | 2,499.7  |  |  |  | 2,150.5  | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Benefits, losses and expenses               |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Losses and loss adjustment expenses         |  |       | 8  |      |  |      | 2,335.3 |      |  |  | 2,163.1 |  |  |  | 1,520.0 | 
|Life benefits and policyholder dividends    |  |       | 9  |      |  |      | 156.7   |      |  |  | 137.4   |  |  |  | 84.5    | 
|Underwriting acquisition costs              |  |       | 9  |      |  |      | 666.7   |      |  |  | 508.1   |  |  |  | 454.4   | 
|Other operating and administration expenses |  |       |    |      |  |      | 173.3   |      |  |  | 146.4   |  |  |  | 116.0   | 
|Interest expense                            |  |       | 10 |      |  |      | 16.4    |      |  |  | 24.2    |  |  |  | 17.1    | 
|Amortization of goodwill                    |  |       | 7  |      |  |      |         |      |  |  | 7.8     |  |  |  | 7.3     | 
|Restructuring costs                         |  |       | 3  |      |  |      |         |      |  |  | 50.0    |  |  |  |         | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Total benefits, losses and expenses         |  |       |    |      |  |      | 3,348.4 |      |  |  | 3,037.0 |  |  |  | 2,199.3 | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Income (loss) before taxes                  |  |       |    |      |  |      | 57.4     |      |  |  | 537.3   |  |  |  | 48.8    | 
|Income tax benefit                          |  |       | 11 |      |  |      | 49.4     |      |  |  | 169.9    |  |  |  | 19.5     | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Net income (loss)                           |  |       |    |      |  |      | 106.8    |      |  |  | 367.4   |  |  |  | 29.3    | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Basic earnings (loss) per share             |  |       | 21 |      |  |      | 2.68     |      |  |  | 9.18    |  |  |  | 0.73    | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 
|Diluted earnings (loss) per share           |  |       | 21 |      |  |      | 2.64     |      |  |  | 9.18    |  |  |  | 0.73    | 
|                                            |  |       |    |      |  |      |          |      |  |  |          |  |  |  |          | 

The notes to the consolidated and historical combined financial statements are an integral part of these financial
statements.

F-3



---



##### Table of Contents



Converium Group

Consolidated balance sheets

|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|----------------------------------------------------------------------------------------------------------------------------------------------------- | ---------------------------------- | ----- | -- | ---- |  | ---- | -------- | ------- |  |  | ------- | ------- | 
|(US$ million, except share information)                                                                                                               |                                    |       |    |      |  |      |          |         |  |  |         |        
|Year ended December 31                                                                                                                                |                                    | Notes |    | 2002 |  | 2001
|                                                                                                                                                      |                                    |       |    |      |  |     
|Assets                                                                                                                                                |                                    |       |    |      |  |      |          |         |  |  |         |        
|Invested assets                                                                                                                                       |                                    |       |    |      |  |      |          |         |  |  |         |        
|Available-for-sale securities:                                                                                                                        |                                    |       |    |      |  |      |          |         |  |  |         |        
|                                                                                                                                                      | Fixed maturities                   |       |    | 6    |  |      |          | 3,443.1 |  |  |         | 2,331.4 | 
|                                                                                                                                                      | Equity securities                  |       |    | 6    |  |      |          | 530.8   |  |  |         | 701.4   | 
|Other investments                                                                                                                                     |                                    |       | 6  |      |  |      | 177.3    |         |  |  | 195.1   |        
|Short-term investments                                                                                                                                |                                    |       |    |      |  |      | 318.0    |         |  |  | 89.5    |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Total investments                                                                                                                                     |                                    |       |    |      |  |      | 4,469.2  |         |  |  | 3,317.4 |        
|Funds Withheld Asset                                                                                                                                  |                                    |       | 6  |      |  |      | 1,648.1  |         |  |  | 1,598.5 |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Total invested assets                                                                                                                                 |                                    |       |    |      |  |      | 6,117.3  |         |  |  | 4,915.9 |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Other assets                                                                                                                                          |                                    |       |    |      |  |      |          |         |  |  |         |        
|Cash and cash equivalents                                                                                                                             |                                    |       |    |      |  |      | 361.5    |         |  |  | 420.5   |        
|Premiums receivable                                                                                                                                   |                                    |       |    |      |  |      | 1,721.3  |         |  |  | 1,015.1 |        
|Reinsurance assets:                                                                                                                                   |                                    |       |    |      |  |      |          |         |  |  |         |        
|                                                                                                                                                      | Underwriting reserves              |       |    | 9    |  |      |          | 1,627.7 |  |  |         | 1,668.1 | 
|                                                                                                                                                      | Insurance balances receivable, net |       |    |      |  |      |          | 239.9   |  |  |         | 400.2   | 
|Funds held by reinsureds                                                                                                                              |                                    |       |    |      |  |      | 935.9    |         |  |  | 523.4   |        
|Deferred policy acquisition costs                                                                                                                     |                                    |       |    |      |  |      | 264.9    |         |  |  | 217.9   |        
|Deferred income taxes                                                                                                                                 |                                    |       | 11 |      |  |      | 391.8    |         |  |  | 300.4   |        
|Other assets                                                                                                                                          |                                    |       | 7  |      |  |      | 390.7    |         |  |  | 245.0   |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Total assets                                                                                                                                          |                                    |       |    |      |  |      | 12,051.0 |         |  |  | 9,706.5 |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Liabilities and equity                                                                                                                                |                                    |       |    |      |  |      |          |         |  |  |         |        
|Liabilities                                                                                                                                           |                                    |       |    |      |  |      |          |         |  |  |         |        
|Losses and loss adjustment expenses, gross                                                                                                            |                                    |       | 8  |      |  |      | 6,821.3  |         |  |  | 5,710.5 |        
|Unearned premiums, gross                                                                                                                              |                                    |       | 9  |      |  |      | 1,170.7  |         |  |  | 968.7   |        
|Future life benefits, gross                                                                                                                           |                                    |       | 9  |      |  |      | 371.7    |         |  |  | 252.0   |        
|Other reinsurance liabilities                                                                                                                         |                                    |       |    |      |  |      | 661.6    |         |  |  | 315.9   |        
|Funds held under reinsurance contracts                                                                                                                |                                    |       |    |      |  |      | 429.5    |         |  |  | 430.8   |        
|Deferred income taxes                                                                                                                                 |                                    |       | 11 |      |  |      | 133.9    |         |  |  | 106.5   |        
|Accrued expenses and other liabilities                                                                                                                |                                    |       |    |      |  |      | 333.9    |         |  |  | 154.3   |        
|Debt                                                                                                                                                  |                                    |       | 10 |      |  |      | 390.4    |         |  |  | 197.0   |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Total liabilities                                                                                                                                     |                                    |       |    |      |  |      | 10,313.0 |         |  |  | 8,135.7 |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Equity                                                                                                                                                |                                    |       |    |      |  |      |          |         |  |  |         |        
|Common stock CHF 10 nominal value, 40,006,217
and 40,000,000 shares issued, respectively
(39,904,647 and 40,000,000 shares outstanding, respectively) |                                    |       | 14 |      |  |      | 253.0    |         |  |  | 253.0   |        
|Additional paid-in capital                                                                                                                            |                                    |       |    |      |  |      | 1,330.9  |         |  |  | 1,336.5 |        
|Treasury stock, 101,570 and nil shares, respectively                                                                                                  |                                    |       |    |      |  |      | 3.3     |         |  |  |        |        
|Unearned stock compensation                                                                                                                           |                                    |       | 13 |      |  |      | 10.0    |         |  |  | 27.1   |        
|Accumulated other comprehensive income (loss):                                                                                                        |                                    |       |    |      |  |      |          |         |  |  |         |        
|Net unrealized gains on investments, net of taxes                                                                                                     |                                    |       | 6  |      |  |      | 53.3    |         |  |  | 30.3    |        
|Cumulative translation adjustments                                                                                                                    |                                    |       |    |      |  |      | 113.9    |         |  |  | 21.9   |        
|Total accumulated other comprehensive income                                                                                                          |                                    |       |    |      |  |      | 60.6     |         |  |  | 8.4     |        
|Retained earnings                                                                                                                                     |                                    |       |    |      |  |      | 106.8    |         |  |  |        |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 
|Total equity                                                                                                                                          |                                    |       |    |      |  |      | 1,738.0  |         |  |  | 1,570.8 |        
|Total liabilities and equity                                                                                                                          |                                    |       |    |      |  |      | 12,051.0 |         |  |  | 9,706.5 |        
|                                                                                                                                                      |                                    |       |    |      |  |      |          |         |  |  |         |         | 

The notes to the consolidated and historical combined financial statements are an integral part of these financial
statements.

F-4



---



##### Table of Contents



Converium Group

Consolidated and historical combined statements of cash flows

|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |        | 
|------------------------------------------------------------------- | ------------------------------------------------------------- | ---- | -------- | -------- |  | ---- | ------ | -------- |  |  | ------ | ------ | 
|(US$ million)                                                       |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Year ended December 31                                              |                                                               | 2002 |          | 2001     |  | 2000
|                                                                    |                                                               |      |          |          |  |     
|Cash flows from operating activities                                |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Net income (loss)                                                   |                                                               |      | 106.8    |          |  |      | 367.4 |          |  |  | 29.3  |       
|Adjustments for                                                     |                                                               |      |          |          |  |      |        |          |  |  |        |       
|                                                                    | Net realized capital losses (gains) on investments            |      |          | 10.3     |  |      |        | 18.4     |  |  |        | 83.7  | 
|                                                                    | Amortization of premium discount                              |      |          | 20.6     |  |      |        | 6.2      |  |  |        | 1.9    | 
|                                                                    | Depreciation and amortization                                 |      |          | 38.2     |  |      |        | 37.0     |  |  |        | 21.1   | 
|                                                                    | Premium for September 11th coverage                           |      |          |         |  |      |        | 28.5     |  |  |        |       | 
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Total adjustments                                                   |                                                               |      | 69.1     |          |  |      | 90.1   |          |  |  | 60.7  |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Changes in operational assets and liabilities                       |                                                               |      |          |          |  |      |        |          |  |  |        |       
|                                                                    | Deferred policy acquisition costs                             |      |          | 47.0    |  |      |        | 33.3    |  |  |        | 16.0  | 
|                                                                    | Reinsurance assets                                            |      |          | 331.1    |  |      |        | 433.8   |  |  |        | 614.9 | 
|                                                                    | Funds held by reinsureds                                      |      |          | 311.2   |  |      |        | 158.4    |  |  |        | 197.0 | 
|                                                                    | Funds Withheld Asset                                          |      |          | 100.0    |  |      |        |         |  |  |        |       | 
|                                                                    | Premiums receivable                                           |      |          | 565.1   |  |      |        | 77.8    |  |  |        | 347.0 | 
|                                                                    | Unearned premiums, gross                                      |      |          | 139.0    |  |      |        | 194.3    |  |  |        | 144.7  | 
|                                                                    | Losses and loss adjustment expenses, gross                    |      |          | 744.5    |  |      |        | 1,251.6  |  |  |        | 954.7  | 
|                                                                    | Future life benefits, gross                                   |      |          | 119.7    |  |      |        | 90.0     |  |  |        | 31.7  | 
|                                                                    | Funds held under reinsurance contracts                        |      |          | 38.2    |  |      |        | 81.6    |  |  |        | 189.2  | 
|                                                                    | Other reinsurance liabilities                                 |      |          | 280.2    |  |      |        | 175.9   |  |  |        | 135.2  | 
|                                                                    | Net deferred income taxes                                     |      |          | 32.8    |  |      |        | 203.9   |  |  |        | 15.6  | 
|                                                                    | Net changes in all other operational assets and liabilities   |      |          | 25.7    |  |      |        | 99.2    |  |  |        | 144.8 | 
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Total changes in operational assets and liabilities                 |                                                               |      | 694.5    |          |  |      | 588.8  |          |  |  | 56.8   |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash provided by (used in) operating activities                     |                                                               |      | 870.4    |          |  |      | 311.5  |          |  |  | 33.2  |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash flows from investing activities                                |                                                               |      |          |          |  |      |        |          |  |  |        |       
|                                                                    | Proceeds from sales and maturities of fixed maturities        |      |          | 4,573.3  |  |      |        | 1,892.2  |  |  |        | 640.7  | 
|                                                                    | Purchases of fixed maturities                                 |      |          | 5,375.3 |  |      |        | 1,969.7 |  |  |        | 714.5 | 
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash flows from investing activities (fixed maturities)             |                                                               |      | 802.0   |          |  |      | 77.5  |          |  |  | 73.8  |       
|                                                                    | Proceeds from sales of equity securities                      |      |          | 599.2    |  |      |        | 288.6    |  |  |        | 404.0  | 
|                                                                    | Purchases of equity securities                                |      |          | 651.1   |  |      |        | 425.7   |  |  |        | 479.7 | 
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash flows from investing activities (equity securities)            |                                                               |      | 51.9    |          |  |      | 137.1 |          |  |  | 75.7  |       
|                                                                    | Net (increase) decrease in short-term investments             |      |          | 228.5   |  |      |        | 25.6     |  |  |        | 31.3  | 
|                                                                    | Net change in Funds Withheld Asset/Zurich Financing Agreement |      |          |         |  |      |        | 290.6   |  |  |        | 62.0   | 
|                                                                    | Purchase of real estate held for investment                   |      |          |         |  |      |        | 139.4   |  |  |        |       | 
|                                                                    | Proceeds from sales of other assets                           |      |          | 33.0     |  |      |        | 34.5     |  |  |        | 28.5   | 
|                                                                    | Purchase of other assets                                      |      |          | 43.9    |  |      |        | 42.8    |  |  |        | 40.4  | 
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash flows from investing activities (other)                        |                                                               |      | 239.4   |          |  |      | 412.7 |          |  |  | 18.8   |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Net cash used in investing activities                               |                                                               |      | 1,093.3 |          |  |      | 627.3 |          |  |  | 130.7 |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash flows from financing activities                                |                                                               |      |          |          |  |      |        |          |  |  |        |       
|                                                                    | Net transfers from Zurich Financial Services                  |      |          |         |  |      |        | 861.2    |  |  |        |       | 
|                                                                    | Payable (to) from Zurich Financial Services                   |      |          |         |  |      |        | 233.4   |  |  |        | 233.4  | 
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash flows from financing activities with Zurich Financial Services |                                                               |      |         |          |  |      | 627.8  |          |  |  | 233.4  |       
|                                                                    | Issuance of guaranteed subordinated notes                     |      |          | 193.7    |  |      |        |         |  |  |        |       | 
|                                                                    | Purchases of common shares                                    |      |          | 14.7    |  |      |        |         |  |  |        |       | 
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash flows from financing activities (debt and shares)              |                                                               |      | 179.0    |          |  |      |       |          |  |  |       |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Net cash provided by financing activities                           |                                                               |      | 179.0    |          |  |      | 627.8  |          |  |  | 233.4  |       
|Effect of exchange rate changes on cash and cash equivalents        |                                                               |      | 15.1    |          |  |      | 13.4  |          |  |  | 15.7  |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Change in cash and cash equivalents                                 |                                                               |      | 59.0    |          |  |      | 298.6  |          |  |  | 53.8   |       
|Cash and cash equivalents as of January 1                           |                                                               |      | 420.5    |          |  |      | 121.9  |          |  |  | 68.1   |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       
|Cash and cash equivalents as of December 31                         |                                                               |      | 361.5    |          |  |      | 420.5  |          |  |  | 121.9  |       
|                                                                    |                                                               |      |          |          |  |      |        |          |  |  |        |       

The notes to the consolidated and historical combined financial statements are an integral part of these financial
statements.

F-5



---



##### Table of Contents



Converium Group
Consolidated and historical combined statements of changes in
equity

|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|------------------------------------------------------- |  | ------ | ----- | ------- |  | ---------- | ------- | ------- |  | ------------- | ----- | --------- |  | ---------- | ----- | ----------- |  | ---------- | ----- |  |  | --- | -------- |  |  |  | ----- |  |  |  | ------- | 
|(US$ million)                                           |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  | Net |          |  |  |  |       |  |  | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  | Unearned   |       | Accumulated |  | investment |       |  |  |     |          |  |  | 
|                                                        |  |        |       |         |  | Additional |         |         |  |               |       | stock     |  | other com- |       | by Zurich   |  |            |       |  |  |     |          | 
|                                                        |  | Common |       | paid-in |  | Treasury   |         | compen- |  | prehensive    |       | Financial |  | Retained   |       | Total      
|                                                        |  | stock  |       | capital |  | Stock      |         | sation  |  | income (loss) |       | Services  |  | earnings   |       | equity     
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |            
|Balance, December 31, 1999                              |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 69.0  |  |  |     | 1,152.4  |  |  |  |      |  |  |  | 1,221.4 | 
|Net loss                                                |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            |      |  |  |     | 29.3    |  |  |  |      |  |  |  | 29.3   | 
|Change in net unrealized gains (losses)                 |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|on investments, net of taxes                            |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 1.9   |  |  |     |         |  |  |  |      |  |  |  | 1.9     | 
|Translation adjustments                                 |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 11.6 |  |  |     |         |  |  |  |      |  |  |  | 11.6   | 
|Total comprehensive loss                                |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  | 39.0   | 
|Net transfers to Zurich Financial Services              |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            |      |  |  |     | 94.0    |  |  |  |      |  |  |  | 94.0   | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|Balance, December 31, 2000                              |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 59.3  |  |  |     | 1,029.1  |  |  |  |      |  |  |  | 1,088.4 | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|Net loss                                                |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            |      |  |  |     | 367.4   |  |  |  |      |  |  |  | 367.4  | 
|Change in net unrealized gains (losses)                 |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|on investments, net of taxes                            |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 11.5  |  |  |     |         |  |  |  |      |  |  |  | 11.5    | 
|Translation adjustments                                 |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 62.4 |  |  |     |         |  |  |  |      |  |  |  | 62.4   | 
|Total comprehensive loss                                |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  | 418.3  | 
|Net transfers from Zurich Financial Services            |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            |      |  |  |     | 889.7    |  |  |  |       |  |  |  | 889.7   | 
|Issuance of stock compensation                          |  |        |      |         |  |            | 38.1    |         |  |               |      |           |  |            | 27.1 |             |  |            |      |  |  |     |         |  |  |  |      |  |  |  | 11.0    | 
|Transfer of net investment by
Zurich Financial Services |  |        | 253.0 |         |  |            | 1,298.4 |         |  |               |      |           |  |            |      |             |  |            |      |  |  |     | 1,551.4 |  |  |  |      |  |  |  |        | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|Balance, December 31, 2001                              |  |        | 253.0 |         |  |            | 1,336.5 |         |  |               |      |           |  |            | 27.1 |             |  |            | 8.4   |  |  |     |         |  |  |  |      |  |  |  | 1,570.8 | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|Net income                                              |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            |      |  |  |     |          |  |  |  | 106.8 |  |  |  | 106.8   | 
|Change in net unrealized gains (losses)                 |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|on investments, net of taxes                            |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 83.6 |  |  |     |          |  |  |  |      |  |  |  | 83.6   | 
|Translation adjustments                                 |  |        |      |         |  |            |        |         |  |               |      |           |  |            |      |             |  |            | 135.8 |  |  |     |          |  |  |  |      |  |  |  | 135.8   | 
|Total comprehensive income                              |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  | 159.0   | 
|Purchases of common shares                              |  |        |      |         |  |            |        |         |  |               | 14.7 |           |  |            |      |             |  |            |      |  |  |     |          |  |  |  |      |  |  |  | 14.7   | 
|Releases of common shares from treasury                 |  |        |      |         |  |            | 12.9   |         |  |               | 11.4  |           |  |            |      |             |  |            |      |  |  |     |          |  |  |  |      |  |  |  | 1.5    | 
|Issuance of stock compensation                          |  |        |      |         |  |            | 1.5     |         |  |               |      |           |  |            | 1.5  |             |  |            |      |  |  |     |          |  |  |  |      |  |  |  |        | 
|Amortization of stock compensation                      |  |        |      |         |  |            | 5.8     |         |  |               |      |           |  |            | 18.6  |             |  |            |      |  |  |     |          |  |  |  |      |  |  |  | 24.4    | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 
|Balance, December 31, 2002                              |  |        | 253.0 |         |  |            | 1,330.9 |         |  |               | 3.3  |           |  |            | 10.0 |             |  |            | 60.6  |  |  |     |         |  |  |  | 106.8 |  |  |  | 1,738.0 | 
|                                                        |  |        |       |         |  |            |         |         |  |               |       |           |  |            |       |             |  |            |       |  |  |     |          |  |  |  |       |  |  |  |         | 

The notes to the consolidated and historical combined financial statements are an integral part of these financial statements.

F-6



---



##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial
statements

|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|-------------------------------------------------------------------------------------------------------------------------------------- |  | --------- | -------- | ---- |  | ---- | -------- | ---- |  | ---- | ------- | ------------- |  | ---- | -------- | ---- |  | ------- | -------- | - |  | --------- | ------- | - |  |  | ------- | - |  |  | ------ | - |  |  | ------ | -
|Schedule of segment data                                                                                                               |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|(US$ million)                                                                                                                          |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|                                                                                                                                       |  | Converium |          |      |  |      |          |      |  |      |         | Converium     |  |      |          |      |  |         |          |   |  | Converium |         |   |  |  |         |   |  | 
|                                                                                                                                       |  | Zurich    |          |      |  |      |          |      |  |      |         | North America |  |      |          |      |  | Cologne |          |   |  |           |         |   |  | 
|Year ended December 31                                                                                                                 |  | 2002      |          | 2001 |  | 2000 |          | 2002 |  | 2001 |         | 2000          |  | 2002 |          | 2001 |  | 2000   
|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |        
|Gross premiums written                                                                                                                 |  |           | 1,802.2  |      |  |      | 1,440.3  |      |  |      | 1,020.0 |               |  |      | 1,243.5  |      |  |         | 1,150.9  |   |  |           | 1,295.5 |   |  |  | 303.4   |   |  |  | 299.9  |   |  |  | 241.3  |  
|Less ceded premiums written                                                                                                            |  |           | 131.7   |      |  |      | 255.3   |      |  |      | 201.7  |               |  |      | 49.6    |      |  |         | 252.5   |   |  |           | 450.8  |   |  |  | 13.6   |   |  |  | 42.1  |   |  |  | 22.7  |  
|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Net premiums written                                                                                                                   |  |           | 1,670.5  |      |  |      | 1,185.0  |      |  |      | 818.3   |               |  |      | 1,193.9  |      |  |         | 898.4    |   |  |           | 844.7   |   |  |  | 289.8   |   |  |  | 257.8  |   |  |  | 218.6  |  
|Net change in unearned premiums                                                                                                        |  |           | 99.2    |      |  |      | 172.6   |      |  |      | 102.4  |               |  |      | 48.9    |      |  |         | 16.0    |   |  |           | 29.3   |   |  |  | 5.0    |   |  |  | 17.5   |   |  |  | 5.6    |  
|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Net premiums earned                                                                                                                    |  |           | 1,571.3  |      |  |      | 1,012.4  |      |  |      | 715.9   |               |  |      | 1,145.0  |      |  |         | 882.4    |   |  |           | 815.4   |   |  |  | 284.8   |   |  |  | 275.3  |   |  |  | 224.2  |  
|Net investment income                                                                                                                  |  |           | 125.9    |      |  |      | 86.8     |      |  |      | 46.8    |               |  |      | 97.1     |      |  |         | 115.2    |   |  |           | 110.6   |   |  |  | 28.2    |   |  |  | 24.6   |   |  |  | 25.5   |  
|Net realized capital (losses) gains                                                                                                    |  |           | 13.9    |      |  |      | 2.5      |      |  |      | 0.2     |               |  |      | 23.9     |      |  |         | 10.8    |   |  |           | 48.5    |   |  |  | 23.5   |   |  |  | 10.1  |   |  |  | 31.4   |  
|Other income (loss)                                                                                                                    |  |           | 3.5      |      |  |      | 3.2      |      |  |      | 12.0    |               |  |      | 4.5     |      |  |         | 24.4    |   |  |           | 7.2    |   |  |  | 0.4    |   |  |  | 2.4    |   |  |  | 2.9    |  
|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Total revenues                                                                                                                         |  |           | 1,686.8  |      |  |      | 1,104.9  |      |  |      | 774.9   |               |  |      | 1,261.5  |      |  |         | 962.4    |   |  |           | 967.3   |   |  |  | 289.1   |   |  |  | 292.2  |   |  |  | 284.0  |  
|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Losses and loss adjustment expenses                                                                                                    |  |           | 1,098.9 |      |  |      | 1,026.9 |      |  |      | 569.2  |               |  |      | 962.3   |      |  |         | 837.2   |   |  |           | 723.4  |   |  |  | 274.1  |   |  |  | 299.5 |   |  |  | 227.4 |  
|Life benefits and policyholder dividends                                                                                               |  |           |         |      |  |      |         |      |  |      |        |               |  |      |         |      |  |         |         |   |  |           |        |   |  |  |        |   |  |  |       |   |  |  |       |  
|Underwriting acquisition costs                                                                                                         |  |           | 282.0   |      |  |      | 202.1   |      |  |      | 150.2  |               |  |      | 285.9   |      |  |         | 251.3   |   |  |           | 207.5  |   |  |  | 64.1   |   |  |  | 49.0  |   |  |  | 62.2  |  
|Other operating and administration expenses                                                                                            |  |           | 80.0    |      |  |      | 54.6    |      |  |      | 44.7   |               |  |      | 70.3    |      |  |         | 71.8    |   |  |           | 65.1   |   |  |  | 15.3   |   |  |  | 15.3  |   |  |  | 11.2  |  
|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Benefits, losses and expenses                                                                                                          |  |           | 1,460.9 |      |  |      | 1,283.6 |      |  |      | 764.1  |               |  |      | 1,318.5 |      |  |         | 1,160.3 |   |  |           | 996.0  |   |  |  | 353.5  |   |  |  | 363.8 |   |  |  | 300.8 |  
|                                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Segment income (loss)                                                                                                                  |  |           | 225.9    |      |  |      | 178.7   |      |  |      | 10.8    |               |  |      | 57.0    |      |  |         | 197.9   |   |  |           | 28.7   |   |  |  | 64.4   |   |  |  | 71.6  |   |  |  | 16.8  |  
|Interest
expense                                                                                                                       |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Amortization of goodwill                                                                                                               |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Restructuring costs                                                                                                                    |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Income (loss) before taxes                                                                                                             |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|At December 31, 2002                                                                                                                   |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Total invested assets                                                                                                                  |  |           | 3,388.5  |      |  |      | 2,273.2  |      |  |      |         |               |  |      | 2,239.4  |      |  |         | 2,387.4  |   |  |           |         |   |  |  | 540.0   |   |  |  | 510.7  |   |  |  |        |  
|Reinsurance assets                                                                                                                     |  |           | 916.1    |      |  |      | 792.9    |      |  |      |         |               |  |      | 1,100.3  |      |  |         | 1,356.1  |   |  |           |         |   |  |  | 160.3   |   |  |  | 260.0  |   |  |  |        |  
|Total assets                                                                                                                           |  |           | 6,406.1  |      |  |      | 4,774.3  |      |  |      |         |               |  |      | 4,631.5  |      |  |         | 4,795.0  |   |  |           |         |   |  |  | 1,280.2 |   |  |  | 798.8  |   |  |  |        |  
|Losses and loss adjustment expenses, gross                                                                                             |  |           | 3,513.5  |      |  |      | 2,695.1  |      |  |      |         |               |  |      | 2,963.0  |      |  |         | 2,867.3  |   |  |           |         |   |  |  | 734.1   |   |  |  | 596.3  |   |  |  |        |  
|Future life benefits, gross                                                                                                            |  |           |         |      |  |      |         |      |  |      |         |               |  |      |         |      |  |         |         |   |  |           |         |   |  |  |        |   |  |  |       |   |  |  |        |  
|Total liabilities                                                                                                                      |  |           | 5,190.8  |      |  |      | 3,913.9  |      |  |      |         |               |  |      | 4,055.9  |      |  |         | 4,117.9  |   |  |           |         |   |  |  | 1,176.8 |   |  |  | 764.7  |   |  |  |        |  
|Total equity                                                                                                                           |  |           | 1,215.3  |      |  |      | 860.4    |      |  |      |         |               |  |      | 575.6    |      |  |         | 677.1    |   |  |           |         |   |  |  | 103.4   |   |  |  | 34.1   |   |  |  |        |  
|Ratios                                                                                                                                 |  |           |          |      |  |      |          |      |  |      |         |               |  |      |          |      |  |         |          |   |  |           |         |   |  |  |         |   |  |  |        |   |  |  |        |  
|Loss ratio (Losses divided by net premiums earned)                                                                                     |  |           | 69.9     | %    |  |      | 101.4    | %    |  |      | 79.5    | %             |  |      | 84.0     | %    |  |         | 94.9     | % |  |           | 88.7    | % |  |  | 96.2    | % |  |  | 108.8  | % |  |  | 101.4  | %
|Underwriting expense ratio (Underwriting acquisition
costs divided by net premiums earned)                                             |  |           | 17.9     | %    |  |      | 20.0     | %    |  |      | 21.0    | %             |  |      | 25.0     | %    |  |         | 28.5     | % |  |           | 25.5    | % |  |  | 22.5    | % |  |  | 17.8   | % |  |  | 27.8   | %
|Administration expense ratio (Other operating and
administration expenses divided by net premiums written)                             |  |           | 4.8      | %    |  |      | 4.6      | %    |  |      | 5.5     | %             |  |      | 5.9      | %    |  |         | 8.0      | % |  |           | 7.7     | % |  |  | 5.3     | % |  |  | 5.9    | % |  |  | 5.1    | %
|Combined ratio (Sum of the loss, underwriting expense
and administration expense ratios)                                               |  |           | 92.6     | %    |  |      | 126.0    | %    |  |      | 106.0   | %             |  |      | 114.9    | %    |  |         | 131.4    | % |  |           | 121.9   | % |  |  | 124.0   | % |  |  | 132.5  | % |  |  | 134.3  | %
|Adjusted non-life combined ratio excluding prior years
reserve development and September 11th but including
Enron and European floods |  |           | 93.9     | %    |  |      | 113.0    | %    |  |      | 111.7   | %             |  |      | 102.9    | %    |  |         | 102.7    | % |  |           | 111.9   | % |  |  | 113.1   | % |  |  | 114.2  | % |  |  | 122.9  | %

F-7



---



##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements

|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  |          |  |  |  |          |  |  |  |          | 
|--------------------- | ------ | ---- |  | -------- |  | ----- |  | ------ |  | ---- |  | --------------------- | - | ---- |  | -------------- | - | ---- |  | -------- | - | ------------ |  | ------ | - | ---- |  | ------------------ | - |  |  | ------ | - |  |  | ------ |  |  |  | ----- |  |  |  | - |  |  |  | -------- |  |  |  | -------- |  |  |  | -------- | 
|Non-Life eliminations |        |      |  |          |  | Total |  |        |  |      |  |                       |   |      |  | Converium Life |   |      |  |          |   | Eliminations |  |        |   |      |  | Total consolidated |   |  |  |       
|                      |        |      |  |          |  |       |  |        |  |      |  | Non-life consolidated |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  |          |  |  |  |         
|2002                  |        | 2001 |  | 2000     |  | 2002  |  | 2001   |  | 2000 |  | 2002                  |   | 2001 |  | 2000           |   | 2002 |  | 2001     |   | 2000         |  | 2002   |   | 2001 |  | 2000              
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      | 10.2  |      |  | 172.9   |  |       |  | 111.5 |  |      |  | 3,338.9               |   |      |  | 2,718.2        |   |      |  | 2,445.3  |   |              |  | 199.0  |   |      |  | 164.8              |   |  |  | 120.5  |   |  |  | 2.1   |  |  |  | 1.8  |  |  |  |  |  |  |  | 3,535.8  |  |  |  | 2,881.2  |  |  |  | 2,565.8  | 
|                      | 10.2   |      |  | 172.9    |  |       |  | 111.5  |  |      |  | 184.7                |   |      |  | 377.0         |   |      |  | 563.7   |   |              |  | 31.0  |   |      |  | 23.4              |   |  |  | 6.1   |   |  |  | 2.1    |  |  |  | 1.8   |  |  |  |  |  |  |  | 213.6   |  |  |  | 398.6   |  |  |  | 569.8   | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      |       |      |  |         |  |       |  |       |  |      |  | 3,154.2               |   |      |  | 2,341.2        |   |      |  | 1,881.6  |   |              |  | 168.0  |   |      |  | 141.4              |   |  |  | 114.4  |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 3,322.2  |  |  |  | 2,482.6  |  |  |  | 1,996.0  | 
|                      |       |      |  |         |  |       |  |       |  |      |  | 153.1                |   |      |  | 171.1         |   |      |  | 126.1   |   |              |  | 3.6   |   |      |  | 16.3              |   |  |  | 8.4   |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 156.7   |  |  |  | 187.4   |  |  |  | 134.5   | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      |       |      |  |         |  |       |  |       |  |      |  | 3,001.1               |   |      |  | 2,170.1        |   |      |  | 1,755.5  |   |              |  | 164.4  |   |      |  | 125.1              |   |  |  | 106.0  |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 3,165.5  |  |  |  | 2,295.2  |  |  |  | 1,861.5  | 
|                      | 4.0   |      |  | 0.3     |  |       |  | 9.0   |  |      |  | 247.2                 |   |      |  | 226.3          |   |      |  | 173.9    |   |              |  | 4.6    |   |      |  | 2.4                |   |  |  | 2.1    |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 251.8    |  |  |  | 228.7    |  |  |  | 176.0    | 
|                      |       |      |  |         |  |       |  |       |  |      |  | 13.5                 |   |      |  | 18.4          |   |      |  | 80.1     |   |              |  | 3.2    |   |      |  |                   |   |  |  | 3.6    |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 10.3    |  |  |  | 18.4    |  |  |  | 83.7     | 
|                      | 6.6   |      |  | 1.2     |  |       |  |       |  |      |  | 8.0                  |   |      |  | 20.0          |   |      |  | 7.7      |   |              |  | 6.8    |   |      |  | 13.7               |   |  |  | 21.6   |   |  |  |       |  |  |  | 0.5   |  |  |  |  |  |  |  | 1.2     |  |  |  | 5.8     |  |  |  | 29.3     | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      | 10.6  |      |  | 1.5     |  |       |  | 9.0   |  |      |  | 3,226.8               |   |      |  | 2,358.0        |   |      |  | 2,017.2  |   |              |  | 179.0  |   |      |  | 141.2              |   |  |  | 133.3  |   |  |  |       |  |  |  | 0.5   |  |  |  |  |  |  |  | 3,405.8  |  |  |  | 2,499.7  |  |  |  | 2,150.5  | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      |       |      |  | 0.5      |  |       |  |       |  |      |  | 2,335.3              |   |      |  | 2,163.1       |   |      |  | 1,520.0 |   |              |  |       |   |      |  |                   |   |  |  |       |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 2,335.3 |  |  |  | 2,163.1 |  |  |  | 1,520.0 | 
|                      |       |      |  |         |  |       |  |       |  |      |  |                      |   |      |  |               |   |      |  |         |   |              |  | 156.7 |   |      |  | 137.4             |   |  |  | 84.5  |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 156.7   |  |  |  | 137.4   |  |  |  | 84.5    | 
|                      | 0.1   |      |  |         |  |       |  |       |  |      |  | 632.1                |   |      |  | 502.4         |   |      |  | 419.9   |   |              |  | 34.6  |   |      |  | 5.7               |   |  |  | 34.5  |   |  |  |       |  |  |  |      |  |  |  |  |  |  |  | 666.7   |  |  |  | 508.1   |  |  |  | 454.4   | 
|                      | 0.6   |      |  |         |  |       |  | 9.0    |  |      |  | 166.2                |   |      |  | 141.7         |   |      |  | 112.0   |   |              |  | 7.1   |   |      |  | 5.2               |   |  |  | 4.0   |   |  |  |       |  |  |  | 0.5   |  |  |  |  |  |  |  | 173.3   |  |  |  | 146.4   |  |  |  | 116.0   | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      | 0.7   |      |  | 0.5      |  |       |  | 9.0    |  |      |  | 3,133.6              |   |      |  | 2,807.2       |   |      |  | 2,051.9 |   |              |  | 198.4 |   |      |  | 148.3             |   |  |  | 123.0 |   |  |  |       |  |  |  | 0.5   |  |  |  |  |  |  |  | 3,332.0 |  |  |  | 2,955.0 |  |  |  | 2,174.9 | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      | 11.3  |      |  | 1.0     |  |       |  |       |  |      |  | 93.2                  |   |      |  | 449.2         |   |      |  | 34.7    |   |              |  | 19.4  |   |      |  | 7.1               |   |  |  | 10.3   |   |  |  |       |  |  |  | 1.0   |  |  |  |  |  |  |  | 73.8     |  |  |  | 455.3   |  |  |  | 24.4    | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  | 16.4    |  |  |  | 24.2    |  |  |  | 17.1    | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  |         |  |  |  | 7.8     |  |  |  | 7.3     | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  |         |  |  |  | 50.0    |  |  |  |         | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  | 57.4     |  |  |  | 537.3   |  |  |  | 48.8    | 
|                      |        |      |  |          |  |       |  |        |  |      |  |                       |   |      |  |                |   |      |  |          |   |              |  |        |   |      |  |                   
|                      | 150.0 |      |  | 300.0   |  |       |  |        |  |      |  | 6,017.9               |   |      |  | 4,871.3        |   |      |  |          |   |              |  | 99.4   |   |      |  | 40.8               |   |  |  |        |   |  |  |       |  |  |  | 3.8   |  |  |  |   |  |  |  | 6,117.3  |  |  |  | 4,915.9  |  |  |  |          | 
|                      | 409.0 |      |  | 535.3   |  |       |  |        |  |      |  | 1,767.7               |   |      |  | 1,873.7        |   |      |  |          |   |              |  | 98.3   |   |      |  | 111.2              |   |  |  |        |   |  |  | 1.6    |  |  |  | 83.4  |  |  |  |   |  |  |  | 1,867.6  |  |  |  | 2,068.3  |  |  |  |          | 
|                      | 808.4 |      |  | 1,113.0 |  |       |  |        |  |      |  | 11,509.4              |   |      |  | 9,255.1        |   |      |  |          |   |              |  | 560.0  |   |      |  | 348.5              |   |  |  |        |   |  |  | 18.4  |  |  |  | 102.9 |  |  |  |   |  |  |  | 12,051.0 |  |  |  | 9,706.5  |  |  |  |          | 
|                      | 389.3 |      |  | 531.0   |  |       |  |        |  |      |  | 6,821.3               |   |      |  | 5,627.7        |   |      |  |          |   |              |  |       |   |      |  |                   |   |  |  |        |   |  |  |       |  |  |  | 82.8  |  |  |  |   |  |  |  | 6,821.3  |  |  |  | 5,710.5  |  |  |  |          | 
|                      |       |      |  |         |  |       |  |        |  |      |  |                      |   |      |  |               |   |      |  |          |   |              |  | 371.7  |   |      |  | 252.0              |   |  |  |        |   |  |  |       |  |  |  |      |  |  |  |   |  |  |  | 371.7    |  |  |  | 252.0    |  |  |  |          | 
|                      | 811.5 |      |  | 1,112.2 |  |       |  |        |  |      |  | 9,612.0               |   |      |  | 7,684.3        |   |      |  |          |   |              |  | 512.4  |   |      |  | 348.5              |   |  |  |        |   |  |  | 188.6  |  |  |  | 102.9 |  |  |  |   |  |  |  | 10,313.0 |  |  |  | 8,135.7  |  |  |  |          | 
|                      | 3.1    |      |  | 0.8     |  |       |  |        |  |      |  | 1,897.4               |   |      |  | 1,570.8        |   |      |  |          |   |              |  | 47.6   |   |      |  |                   |   |  |  |        |   |  |  | 207.0 |  |  |  |      |  |  |  |   |  |  |  | 1,738.0  |  |  |  | 1,570.8  |  |  |  |          | 
|                      |        |      |  |          |  |       |  |        |  |      |  | 77.8                  | % |      |  | 99.7           | % |      |  | 86.6     | % |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  |          |  |  |  |          |  |  |  |          | 
|                      |        |      |  |          |  |       |  |        |  |      |  | 21.1                  | % |      |  | 23.2           | % |      |  | 23.9     | % |              |  | 21.0   | % |      |  | 4.5                | % |  |  | 32.5   | % |  |  |        |  |  |  |       |  |  |  |   |  |  |  |          |  |  |  |          |  |  |  |          | 
|                      |        |      |  |          |  |       |  |        |  |      |  | 5.3                   | % |      |  | 6.1            | % |      |  | 6.0      | % |              |  | 4.2    | % |      |  | 3.7                | % |  |  | 3.5    | % |  |  |        |  |  |  |       |  |  |  |   |  |  |  |          |  |  |  |          |  |  |  |          | 
|                      |        |      |  |          |  |       |  |        |  |      |  | 104.2                 | % |      |  | 129.0          | % |      |  | 116.5    | % |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  |          |  |  |  |          |  |  |  |          | 
|                      |        |      |  |          |  |       |  |        |  |      |  | 99.3                  | % |      |  | 108.8          | % |      |  | 112.8    | % |              |  |        |   |      |  |                    |   |  |  |        |   |  |  |        |  |  |  |       |  |  |  |   |  |  |  |          |  |  |  |          |  |  |  |          | 

F-8



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements
(continued)

1. Organization and nature of operations

Converium Holding Ltd and subsidiaries (Converium Group) is a leading global
professional reinsurer, which offers a full range of traditional non-life and
life reinsurance products as well as innovative non-traditional solutions to
help clients manage capital and risk. Our principal lines of non-life
reinsurance include liability, property, motor, credit and surety, workers
compensation, aviation and space, accident and health, marine, engineering and
other specialized lines. The principal life reinsurance product is ordinary
life reinsurance, including quota share, surplus coverage and financing
contracts.

Converium Group was formed through the restructuring and integration of
substantially all of the third-party assumed reinsurance business of Zurich
Financial Services through a series of transactions (Transactions). On
December 1, 2001, Converium Group entered into a Master Agreement with Zurich
Financial Services (the Master Agreement), which set forth the terms of the
separation from Zurich Financial Services. In December 2001, Zurich Financial
Services sold 87.5% of its interest in Converium Group through an initial
public offering (IPO), which date represented the legal separation (the
Separation Date) from Zurich Financial Services. Zurich Financial Services
remaining 12.5% interest in Converium Group was sold in January 2002.

Subsequent to the initial public offering, Converium Group has operated as an
independent company. However under the Master Agreement, Converium Group has
several ongoing business relationships with Zurich Financial Services. These
include the Quota Share Retrocession Agreement, the Catastrophe Agreement,
aggregate excess of loss reinsurance coverage for Unicover Pool losses and
September 11th terrorist attack losses, as well as certain operating
relationships (see Notes 9 and 15).

2. Summary of significant accounting policies

The financial statements of Converium Group have been prepared on the basis of
accounting principles generally accepted in the United States (US GAAP) and
comply with Swiss law.

(a)  Basis of preparation

The financial statements of Converium Group present the consolidated and
historical combined financial condition as of December 31, 2002 and 2001 and
the related statements of income, cash flows and changes in equity for each of
the three years in the period ended December 31, 2002. For periods prior to the
Separation Date, the historical combined financial statements were prepared on
a carve-out basis to represent the net assets and related historical results of
the third party assumed reinsurance business owned by Zurich Financial Services
and that now comprise Converium Group. Certain reclassifications have been made
to prior year amounts to conform to the current years presentation.

A subsidiary is an entity in which Converium Group owns, directly or
indirectly, more than 50% of the outstanding voting rights. The results of
Converium Group entities are included in the financial statements from the
effective date of acquisition. All significant intercompany balances, profits
and transactions have been eliminated. See Note 20 for the Converium Group
entities included in the consolidated and historical combined financial
statements. Entities where Converium Group has the ability to exercise
significant influence are accounted for using the equity method.

Prior to the Transactions, changes in equity represent movements in Zurich
Financial Services net investment in Converium Group. For periods prior to
July 1, 2001, certain expenses reflected in the financial statements include
allocations of corporate expenses incurred by Zurich Financial Services related
to general and administrative services for Converium Group. Additionally,
investment income includes interest earned on the Zurich Financing Agreement.
See Note 6 for further details on the Zurich Financing Agreement.

Management believes that the foregoing adjustments and allocations were made
on a basis that is a reasonable reflection of the historical results of
Converium Group. However, these results do not necessarily represent what the
income statement, balance sheet, changes in equity or cash flows of Converium
Group would have been if Converium Group had been a separate stand-alone
entity during the periods presented.

(b)  Foreign currency translation and transactions

Foreign currency translation:In view of the international nature of Converium
Groups business and the fact that more of its business is transacted in United
States dollars than in any other currency, the consolidated and historical
combined financial information is reported in United States dollars. Other
functional currencies include the Swiss franc, the British pound, the Euro, and
the Japanese yen. Assets and liabilities of all Converium Groups branches and
subsidiaries expressed in currencies other than United States dollars are
translated at the end of period exchange rates, whereas statements of income
and cash flows are translated at average exchange rates for the period.
Translation differences on functional currencies are recorded directly in
equity as cumulative translation adjustments, net of any related deferred
taxes, if applicable.

F-9



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements
(continued)

Foreign currency transactions:Outstanding balances in foreign currencies
arising from foreign currency transactions other than the functional currencies
are translated at end of period exchange rates. Revenues and expenses are
translated using the exchange rate at the date of the transaction or a weighted
average rate. The resulting exchange differences are recorded in the statements
of income.

(c)  Non-life reinsurance operations

Premiums:Premiums from short-duration insurance and reinsurance contracts are
recorded as written and are earned primarily on a pro-rata basis over the term
of the related insurance or reinsurance coverage. However, for those contracts
for which the period of risk differs significantly from the contract period,
premiums are earned over the period of risk in proportion to the amount of
insurance or reinsurance protection provided. The unearned premium reserve
represents the portion of the premiums written relating to the unexpired terms
of coverage. Such reserves are computed by pro-rata methods based on
statistical data or reports received from ceding companies.

Reinsurance contracts are assessed to determine if underwriting risk, defined
as the reasonable possibility of a significant variation in the amount of
payments and the reasonable possibility that the reinsurer will realize a
significant loss, and timing risk, defined as the reasonable possibility of a
significant variation in the timing of cash flows, is transferred by the ceding
company. Those contracts that do not transfer both risks, referred to in total
as insurance risk, are accounted for using the deposit method. A deposit asset
or liability is recognized based on the consideration paid or received less any
explicitly identified premiums or fees to be retained by the ceding or assuming
company. Deposits for contracts that transfer only significant underwriting
risk are subsequently measured based on the unexpired portion of coverage until
a loss is incurred, after which the present value of expected future cash flows
under the contract is also accrued. Changes in the deposit amount are recorded
in the statement of income as a loss or loss adjustment expense. Deposits for
contracts that transfer only timing risk, or deposits for contracts that
transfer neither significant timing nor underwriting risk, are accounted for
using the interest method. Future cash flows are estimated to calculate the
effective yield, and revenue and expense are recorded as interest income or
expense. The effect of contracts with indeterminate risk is not included in the
determination of net income until sufficient information becomes available to
reasonably estimate the impact.

Converium Group recognizes a liability or an asset to the extent that there is
an obligation to pay or receive cash or other consideration that would not
have been required absent experience under the contract.

Deferred policy acquisition costs:Acquisition costs, principally representing
commissions and brokerage expenses, premium taxes and other underwriting
expenses, net of allowances from retrocessionaires, which vary with and are
directly related to the production of new business, are deferred and amortized
over the period in which the related written premiums are earned. Deferred
policy acquisition costs are periodically reviewed to determine that they do
not exceed recoverable amounts after considering future investment income.

Losses:Losses and loss adjustment expenses are charged to expenses as
incurred. Unpaid losses and loss adjustment expenses represent the accumulation
of estimates for ultimate losses based on reports and individual case estimates
received from ceding companies. An amount is included for losses and loss
adjustment expenses incurred but not reported (IBNR) on the basis of past
experience of Converium Group and its ceding companies. Converium Group does
not discount its loss reserves, other than for settled claims with fixed
payment terms.

The methods of determining such loss and loss adjustment expense estimates and
establishing the resulting reserves are continually reviewed and updated and,
as experience develops and new information becomes known, the reserves are
adjusted as necessary. Resulting adjustments are
reflected as current expense in the period in which they become known. Since
the reserves are based on estimates, the ultimate settlement may vary from the
amount provided.

(d)  Life reinsurance operations

Recognition of reinsurance revenue and related expenses:Premiums from
short-duration life reinsurance contracts are recognized as revenue over the
remaining contract period in proportion to the amount of reinsurance
protection provided. Premiums from long-duration life reinsurance contracts
are recognized as revenue in a manner consistent with the underlying reinsured
contracts. Benefits and commissions are provided against such revenue to
recognize profits over the estimated life of the reinsurance contract.

Deferred policy acquisition costs:Acquisition and commission costs incurred in
acquiring new business are deferred. Deferred policy acquisition costs are
amortized over the expected life of the contracts as a constant percentage of
expected premiums. Expected premiums are estimated at the effective date of the
contract and are consistently applied throughout the life of the contract
unless a premium deficiency occurs. Deferred policy acquisition costs are
subject to recoverability testing at the time of contract issue and at the end
of each accounting period.

F-10



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements
(continued)

Future life benefits reserves and contract deposits:Liabilities for future
life benefit reserves and contract deposits are estimated on bases
consistent with those used for the original policies issued and with the
terms of the reinsurance contracts.

(e)  Retrocessions

Converium Group cedes reinsurance to retrocessionaires in the normal course
of business. The cost of short-duration retrocessional contracts is
amortized over the remaining contract period in proportion to the amount of
reinsurance protection provided consistent with the underlying assumed
contracts. The cost of long-duration retrocessional contracts is amortized
over the estimated remaining life of the underlying assumed contracts. The
difference, if any, between the amounts paid for the retrocessional
contract and the amount of the liability for contract benefits relating to
the underlying reinsured contracts is part of the estimated cost to be
amortized. Reinsurance is recorded gross in the balance sheet. Reinsurance
assets include the balances due from retrocessionaires for paid and unpaid
losses and loss adjustment expenses, ceded unearned premiums, and ceded
future life benefits. Amounts recoverable from retrocessionaires are
estimated in a manner consistent with the liabilities associated with the
reinsured contract.

Converium Group establishes an allowance for potentially uncollectible
recoverables from retrocessionaires. In addition, Converium Group
immediately charges operations for any recoverable balances that are deemed
to be uncollectible. Collateral and other offsets are considered in
determining the allowance or expense.

(f)  Invested assets

Fixed maturities and equity securities, which Converium Group buys with the
intention to resell in the near term, are classified as trading and are
carried at fair value. The remaining fixed maturities and equity securities
are classified as available-for-sale; these investments are carried at fair
value.

Unrealized gains or losses on investments carried at fair value, except
those designated as trading, are recorded in other comprehensive income,
net of deferred income taxes. Unrealized gains or losses on investments
designated as trading are recognized in current period income.

When declines in values of securities below cost or amortized cost are
considered to be other than temporary, an impairment charge is recorded as
a realized loss in the statement of income for the difference between cost
or amortized cost and estimated fair value. Other than temporary declines
are decreases in the cost or amortized cost of the security that exceed 20%
over a period of six months, or 50% regardless of the period of decline. At
managements judgment, Converium Group impairs additional securities based
on prevailing market conditions by considering various factors such as the
financial condition of the issuer, the market value and the expected future
cash flows of the security.

Realized gain or loss on disposals is based on the difference between the
proceeds received and the cost or amortized cost of the investment using
the specific identification method. The amortization of premium and
accretion of discount on available-for-sale investments in fixed maturities
is computed using the effective interest method and is recorded in current
period income. Dividends on equity securities are recorded as revenue on
the ex-dividend date, the date that the dividends become payable to the
holders of record.

Real estate held for investment, which is included in the balance sheet
under the caption, Other investments, is recorded at depreciated cost and
is depreciated on a straight-line basis over 30 years. The gain or loss on
disposal is based on the difference between the proceeds received and the
carrying value of the investment.

Certain partnerships in which Converium Group has an interest are engaged
exclusively in making investments in direct private equity, private equity
funds and hedge funds. In the partnerships, these investments are carried
at fair value as determined by the fund manager, with changes in fair value
being recorded as other income or loss.

Short-term and other investments are recorded at cost, which approximates
fair value. Short-term investments are those with a maturity of greater
than three months but less than one year from date of purchase.

The Funds Withheld Asset is carried at the principal balance plus accrued
interest. See Notes 6 and 9 for further description.

(g)  Derivative instruments

Derivative financial instruments include swaps, futures, forwards and
option contracts, which all derive their value from underlying interest or
foreign exchange rates, commodity values or equity prices. Derivatives are
subject to various risks similar to those related to the underlying
financial instruments, including market, credit and liquidity risk.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements
(continued)

Converium Group adopted SFAS No. 133, Accounting for Derivative Instruments
and Hedging Activities effective January 1, 2001. SFAS No. 133 requires all
derivatives to be recognized on the balance sheet at fair value. The
recognition of changes in the fair value of a derivative depends on its
intended use.

Derivatives and other financial instruments are used to hedge exposures or
modify exposures to interest rate and foreign currency risks. Changes in the
fair value of derivatives used in hedging activities are, depending on the
nature of the hedge, either recognized in earnings together with the change in
fair value of the hedged item attributable to the risk being hedged, or
recognized in other comprehensive income until the hedged item affects
earnings. For all hedging activities, the ineffective portion of a derivatives
change in fair value is immediately recognized in earnings. Derivatives not
used in hedging activities are adjusted to fair value through earnings.
Embedded derivatives in insurance contracts and investment contracts are
separated from their host contracts and accounted for as derivative instruments
under SFAS No. 133.

(h)  Obligation to repurchase securities

Sales of securities under agreements to repurchase are accounted for as
collateralized transactions and are recorded at their contracted repurchase
amount plus accrued interest. Converium Group minimizes the credit risk that
counterparties to transactions might be unable to fulfill their contractual
obligations by monitoring customer credit exposure and collateral value and
generally requiring additional collateral to be deposited with Converium Group
when deemed necessary.

(i)  Cash and cash equivalents

Cash amounts represent cash on hand and demand deposits. Cash equivalents are
short-term, highly liquid investments with original maturities of three months
or less.

(j)  Fixed assets

Fixed assets, which are included in the balance sheet under the caption Other
assets, are carried at cost less accumulated depreciation and any necessary
write-downs for impairment. The costs of fixed assets are depreciated
principally on a straight-line basis over the following estimated useful
economic lives: furniture and fixtures five to ten years; computer equipment
and software three to five years. Maintenance and repair costs are charged to
income as incurred; costs incurred for major improvements are capitalized and
depreciated. Gains and losses on disposal of fixed assets are based upon their
carrying amount.

(k)  Goodwill

Converium Group adopted SFAS No. 142, Goodwill and Other Intangible Assets on
January 1, 2002. This standard prohibits the amortization of goodwill and
intangible assets that have indefinite useful lives, and requires impairment
testing of goodwill annually or if any event occurs which would indicate an
impairment of goodwill. Except for the reduction of amortization of goodwill,
adoption of SFAS No. 142 did not impact Converium Groups financial condition
or results of operations.

SFAS No. 142 requires that goodwill be tested annually for impairment using a
two-step process. The first step is to identify a potential impairment and, in
transition, this step must be measured as of the beginning of the fiscal year.
The second step of the goodwill impairment test measures the amount of the
impairment loss (measured as of the beginning of the year of adoption), if
any, and must be completed by the end of the fiscal year. Intangible assets
deemed to have an indefinite life are tested for impairment using a one-step
process, which compares the fair value to the carrying amount of the asset as
of the beginning of the fiscal year.

(l)  Recognition and measurement of impaired assets

Converium Group periodically reviews its long-lived assets to determine
potential impairment. If the recoverable amount is less than the carrying
amount of the asset, an impairment loss is recognized. The recoverable amount
is measured using the sum of the assets undiscounted estimated future cash
flows expected to arise from the use of the asset and from its disposal at the
end of its useful life. The impairment loss is measured as the difference
between the carrying amount of the asset and its fair value. Fair value is
defined as the market price less cost of disposal. If the market price is not
available, fair value is estimated based on the present value of future cash
flows.

Converium Group adopted SFAS No. 144, Accounting for the Impairment or
Disposal of Long-Lived Assets on January 1, 2002. The adoption of SFAS No. 144
did not have a material impact on the financial condition or results of
operations of Converium Group because the impairment assessment under SFAS No.
144 is largely unchanged from SFAS No. 121, Accounting for the Impairment of
Long-Lived Assets and for Long-Lived Assets to Be Disposed Of.

F-12



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

(m) Income taxes

Taxes on income are accrued in the same periods as the revenues and expenses to
which they relate. Deferred income taxes are provided for all temporary
differences, which are based on the difference between financial statement
carrying amounts and income tax bases of assets and liabilities using enacted
income tax rates and laws, and for loss carry forwards. A valuation allowance
is recorded to reduce a deferred tax asset to that amount that is expected to
be realized.

For periods prior to the Separation Date, Converium Groups results were
included in the combined income tax returns filed by Zurich Financial Services
or its subsidiaries. Converium Group provides for income taxes substantially on
a stand-alone separate company basis.

(n)  Employee benefits

Converium Group entities provide employee retirement benefits under principally
two types of arrangements: defined benefit plans providing specified benefits
and defined contribution plans. The assets of these plans are principally held
separately from Converium Groups general assets in trustee-administered funds.

Defined benefit plan obligations and contributions are determined periodically
by qualified actuaries using the projected unit credit method. Converium
Groups expense related to defined benefit plans is accrued over the employees
service periods based upon the actuarially determined cost for the period.
Actuarial gains and losses are normally spread over the average remaining
service lives of employees. Contributions to defined contribution pension plans
are charged to income as they become due.

Converium Group recognizes the expense related to incentive plans over the
relevant performance period. With regard to share-based compensation,
Converium Group uses the fair value based method of accounting. Expense
recorded for share-based compensation takes into account the exercise price as
of the grant date in determining the fair value of the shares or options to be
awarded.

(o)  New accounting pronouncements

The Financial Accounting Standards Board (FASB) has issued the following new
standards, which will be required to be adopted by Converium Group in the
future:

SFAS 146,Accounting for Costs
Associated with Exit or Disposal Activities

In June 2002, the FASB issued SFAS No. 146, Accounting for Costs Associated
with Exit or Disposal Activities, which addresses financial accounting and
reporting for costs associated with exit or disposal activities and nullifies
Emerging Issues Task Force Issue No. 94-3, Liability Recognition for Certain
Employee Termination Benefits and Other Costs to Exit an Activity (including
Certain Costs Incurred in a Restructuring). This standard is effective for
exit or disposal activities that are initiated after December 31, 2002 and will
not have a material impact on the financial condition or results of operations
of Converium Group.

SFAS 148, Accounting for Stock-Based Compensation  Transition and Disclosure
 an amendment of FASB Statement No. 123

In December 2002, the FASB issued SFAS No. 148, Accounting for Stock-Based
Compensation  Transition and Disclosure  an amendment of FASB Statement No.
123. This Statement amends SFAS No. 123, Accounting for Stock-Based
Compensation, to provide alternative methods of transition for a voluntary
change to the fair value based method of accounting for stock-based employee
compensation. In addition, this Statement amends the disclosure requirements of
SFAS No. 123 to require prominent disclosures in both annual and interim
financial statements about the method of accounting for stock-based employee
compensation and the effect of the method used on reported results. This
standard will not have a material impact on Converium Group, as it has already
adopted the provisions of SFAS No. 123.

(p)  Use of estimates

The preparation of financial statements in conformity with US GAAP requires
management to make estimates and assumptions that affect reported amounts of
assets and liabilities at the date of the financial statements and reported
amounts of revenues and expenses during the reporting period. Therefore, actual
results could differ from those estimates.

F-13



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)



|3. |  | Restructuring costs
|-- |  | -------------------

In connection with the Transactions, Converium Group incurred US$ 50.0 million
in restructuring costs during 2001. Any restructuring costs relating to the
Transactions in excess of this amount were borne by Zurich Financial Services.
The restructuring costs, according to the Master Agreement, included the costs
and expenses of the Transactions, including advisors fees, retention plan
costs expensed in 2001 and stamp duty taxes. Converium Group did not incur any
restructuring costs during 2002 or 2000.



|4. |  | Foreign currency translation and transactions
|-- |  | ---------------------------------------------

Table 4.1summarizes the principal exchange rates, which have been used for
translation purposes (US dollar per foreign currency unit). Converium Group
had a realized currency transaction gain of US$ 1.4 million during 2002. The
net gains (losses) on foreign currency transactions included in the statements
of income were immaterial for the years ended December 31, 2001 and 2000,
respectively.

|                 |  |                |        |                |  |      |        |      |  |                      |        |  |  |  |        |  |  |  |        | 
|---------------- |  | -------------- | ------ | -------------- |  | ---- | ------ | ---- |  | -------------------- | ------ |  |  |  | ------ |  |  |  | ------ | 
|Table 4.1        |  |                |        |                |  |      |        |      |  | Statements of income
|Exchange rates   |  | Balance sheets |        | and cash flows
|against US$      |  |                |        |               
|                 |  | 2002           |        | 2001           |  | 2002 |        | 2001 |  | 2000                
|                 |  |                |        |                |  |      |        |      |  |                     
|British pound    |  |                | 1.6027 |                |  |      | 1.4529 |      |  |                      | 1.5031 |  |  |  | 1.4406 |  |  |  | 1.5148 | 
|Euro             |  |                | 1.0476 |                |  |      | 0.8897 |      |  |                      | 0.9453 |  |  |  | 0.8955 |  |  |  | 0.9229 | 
|100 Japanese yen |  |                | 0.8437 |                |  |      | 0.7596 |      |  |                      | 0.7998 |  |  |  | 0.8240 |  |  |  | 0.9284 | 
|Swiss franc      |  |                | 0.7206 |                |  |      | 0.6015 |      |  |                      | 0.6446 |  |  |  | 0.5929 |  |  |  | 0.5924 | 



|5. |  | Segment information
|-- |  | -------------------

The primary measure of segment information, as reflected in the Schedule of
Segment Data, is segment income, defined as income before interest expense,
amortization of goodwill, restructuring costs and income taxes. Converium
Groups business is organized around four operating segments: three non-life
segments, Converium Zurich, Converium North America and Converium Cologne,
which are based principally on geographic regions and global centers of
expertise, and a Converium Life segment (as described below).

Converium Zurich manages the non-life reinsurance businesses in the United
Kingdom, Western and Southern Europe (Switzerland, Spain, Italy, Portugal,
France and Ireland), the Benelux countries, Latin America, the Far East and the
Pacific Rim, Israel and Southern Africa. Converium Zurich is also the primary
center of expertise for aviation and space, credit and surety, marine and
engineering reinsurance and provides technical support for catastrophe risk
assessment and modeling for the global operations.

Converium North America, based in New York, manages the non-life reinsurance
businesses in the United States and Canada, and is the global center of
expertise for agribusiness.

Converium Cologne manages the non-life reinsurance businesses in Germany,
Austria, Northern Europe (Denmark, Sweden, Iceland, Finland and Norway),
Central and Eastern Europe (Russia, Czech Republic, Poland, Slovakia, Slovenia,
Croatia, Bulgaria and Romania), the Middle East and Northern Africa. In
addition, Converium Cologne has worldwide underwriting responsibility for
health reinsurance with the exception of the US market, which is written by
Converium North America.

Converium Life manages the worldwide life reinsurance business.

The accounting policies of the segments are the same as those described in the
summary of significant accounting policies. Converium Group accounts for
inter-segment revenues and transfers as if the transactions were with third
parties at current market prices.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                         |  |      |         |      |  |      |         |  |  |  |         | 
|---------------------------------------- |  | ---- | ------- | ---- |  | ---- | ------- |  |  |  | ------- | 
|Table 5.1                                |  |      |         |      |  |      |         |  |  |  |         | 
|Net premiums written by line of business |  |      |         |      |  |      |         |  |  |  |         | 
|(US$ million)                            |  |      |         |      |  |      |         |  |  |  |         | 
|Year ended December 31                   |  | 2002 |         | 2001 |  | 2000
|                                         |  |      |         |      |  |     
|Converium Non-Life                       |  |      |         |      |  |      |         |  |  |  |         | 
|Liability                                |  |      | 750.6   |      |  |      | 458.1   |  |  |  | 474.9   | 
|Property                                 |  |      | 575.4   |      |  |      | 501.9   |  |  |  | 403.8   | 
|Motor                                    |  |      | 454.8   |      |  |      | 437.2   |  |  |  | 333.1   | 
|Credit and Surety                        |  |      | 201.2   |      |  |      | 178.6   |  |  |  | 122.0   | 
|Workers Compensation                    |  |      | 207.8   |      |  |      | 192.6   |  |  |  | 163.9   | 
|Aviation and Space                       |  |      | 370.1   |      |  |      | 181.0   |  |  |  | 119.3   | 
|Accident and Health                      |  |      | 179.5   |      |  |      | 116.4   |  |  |  | 85.3    | 
|Marine                                   |  |      | 93.2    |      |  |      | 74.3    |  |  |  | 46.3    | 
|Engineering                              |  |      | 116.8   |      |  |      | 80.7    |  |  |  | 55.4    | 
|Specialized and other                    |  |      | 204.8   |      |  |      | 120.4   |  |  |  | 77.6    | 
|                                         |  |      |         |      |  |      |         |  |  |  |         | 
|Total Global Non-Life                    |  |      | 3,154.2 |      |  |      | 2,341.2 |  |  |  | 1,881.6 | 
|                                         |  |      |         |      |  |      |         |  |  |  |         | 
|Converium Life                           |  |      |         |      |  |      |         |  |  |  |         | 
|Total Converium Life                     |  |      | 168.0   |      |  |      | 141.4   |  |  |  | 114.4   | 
|                                         |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                    |  |      | 3,322.2 |      |  |      | 2,482.6 |  |  |  | 1,996.0 | 
|                                         |  |      |         |      |  |      |         |  |  |  |         | 

|                                                          |  |      |         |      |  |      |         |  |  |  |         | 
|--------------------------------------------------------- |  | ---- | ------- | ---- |  | ---- | ------- |  |  |  | ------- | 
|Table 5.2                                                 |  |      |         |      |  |      |         |  |  |  |         | 
|Net premiums written by geographic area of ceding company |  |      |         |      |  |      |         |  |  |  |         | 
|(US$ million)                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Year ended December 31                                    |  | 2002 |         | 2001 |  | 2000
|                                                          |  |      |         |      |  |     
|Germany                                                   |  |      | 164.9   |      |  |      | 142.4   |  |  |  | 97.3    | 
|France                                                    |  |      | 109.3   |      |  |      | 60.4    |  |  |  | 49.0    | 
|United Kingdom                                            |  |      | 899.9   |      |  |      | 593.4   |  |  |  | 317.5   | 
|Rest of Europe                                            |  |      | 267.4   |      |  |      | 281.0   |  |  |  | 270.6   | 
|Far East                                                  |  |      | 148.2   |      |  |      | 121.6   |  |  |  | 84.7    | 
|Near and Middle East                                      |  |      | 112.1   |      |  |      | 99.2    |  |  |  | 74.2    | 
|North America                                             |  |      | 1,454.7 |      |  |      | 1,038.4 |  |  |  | 1,027.2 | 
|Latin America                                             |  |      | 165.7   |      |  |      | 146.2   |  |  |  | 75.5    | 
|                                                          |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                                     |  |      | 3,322.2 |      |  |      | 2,482.6 |  |  |  | 1,996.0 | 
|                                                          |  |      |         |      |  |      |         |  |  |  |         | 

In 2002, two reinsurance intermediaries each produced approximately 13% of
Converium Groups gross premiums written. The revenues from these reinsurance
intermediaries were produced across all of the segments. The same two
reinsurance intermediaries produced approximately 13% and 12% in 2001, and 20%
and 14% in 2000, respectively, of Converium Groups gross premiums written. No
ceding company accounted for more than 10% of Converium Groups revenues for
the years ended December 31, 2002, 2001 and 2000.



|6. |  | Invested assets and investment income
|-- |  | -------------------------------------

|                                                  |  |      |       |      |  |      |       |  |  |  |       | 
|------------------------------------------------- |  | ---- | ----- | ---- |  | ---- | ----- |  |  |  | ----- | 
|Table 6.1                                         |  |      |       |      |  |      |       |  |  |  |       | 
|Net investment income                             |  |      |       |      |  |      |       |  |  |  |       | 
|(US$ million)                                     |  |      |       |      |  |      |       |  |  |  |       | 
|Year ended December 31                            |  | 2002 |       | 2001 |  | 2000
|                                                  |  |      |       |      |  |     
|Fixed maturities                                  |  |      | 132.7 |      |  |      | 130.0 |  |  |  | 124.7 | 
|Equity securities                                 |  |      | 14.5  |      |  |      | 9.7   |  |  |  | 9.2   | 
|Short-term investments                            |  |      | 1.9   |      |  |      | 4.3   |  |  |  | 5.5   | 
|Cash and cash equivalents                         |  |      | 11.0  |      |  |      | 8.2   |  |  |  | 8.4   | 
|Real estate                                       |  |      | 11.5  |      |  |      | 3.6   |  |  |  |      | 
|Other                                             |  |      | 11.0  |      |  |      | 2.0   |  |  |  | 5.2  | 
|Funds Withheld Asset / Zurich Financing Agreement |  |      | 81.1  |      |  |      | 75.7  |  |  |  | 40.1  | 
|                                                  |  |      |       |      |  |      |       |  |  |  |       | 
|Total investment income                           |  |      | 263.7 |      |  |      | 233.5 |  |  |  | 182.7 | 
|                                                  |  |      |       |      |  |      |       |  |  |  |       | 
|Investment expenses                               |  |      | 6.1  |      |  |      | 4.7  |  |  |  | 6.7  | 
|Real estate expenses                              |  |      | 5.8  |      |  |      | 0.1  |  |  |  |      | 
|                                                  |  |      |       |      |  |      |       |  |  |  |       | 
|Net investment income                             |  |      | 251.8 |      |  |      | 228.7 |  |  |  | 176.0 | 
|                                                  |  |      |       |      |  |      |       |  |  |  |       | 

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial
statements (continued)

As Converium Ltd was not an independent entity prior to the Transactions, it
did not have a separate investment portfolio. Instead, its cash flows were
managed by Zurich Financial Services pursuant to the Zurich Financing
Agreement. In conjunction with the establishment of the Funds Withheld Asset
(see Note 9), the Zurich Financing Agreement was cancelled. The Funds Withheld
Asset was US$ 1,648.1 million and US$ 1,598.5 million as of December 31, 2002
and 2001, respectively. In 2000, net investment income on the Zurich Financing
Agreement was based on a formula designed to reflect a total investment return
on a diverse investment portfolio. In 2002 and 2001, net investment income on
the Funds Withheld Asset is based on a weighted average interest rate similar
to that of a bond portfolio.

|                                      |                         |      |       |       |  |      |       |       |  |  |      |       | 
|------------------------------------- | ----------------------- | ---- | ----- | ----- |  | ---- | ----- | ----- |  |  | ---- | ----- | 
|Table 6.2                             |                         |      |       |       |  |      |       |       |  |  |      |      
|Net realized capital gains and losses |                         |      |       |       |  |      |       |       |  |  |      |      
|(US$ million)                         |                         |      |       |       |  |      |       |       |  |  |      |      
|Year ended December 31                |                         | 2002 |       | 2001  |  | 2000
|                                      |                         |      |       |       |  |     
|Fixed maturities:                     |                         |      |       |       |  |      |       |       |  |  |      |      
|                                      | Realized capital gains  |      |       | 145.9 |  |      |       | 50.0  |  |  |      | 15.0  | 
|                                      | Realized capital losses |      |       | 57.9 |  |      |       | 4.1  |  |  |      | 12.0 | 
|Equity securities:                    |                         |      |       |       |  |      |       |       |  |  |      |      
|                                      | Realized capital gains  |      |       | 37.5  |  |      |       | 48.5  |  |  |      | 94.8  | 
|                                      | Realized capital losses |      |       | 90.4 |  |      |       | 30.6 |  |  |      | 11.0 | 
|Write-down of impaired investments    |                         |      | 48.3 |       |  |      | 82.5 |       |  |  | 1.0 |      
|Other                                 |                         |      | 2.9   |       |  |      | 0.3   |       |  |  | 2.1 |      
|                                      |                         |      |       |       |  |      |       |       |  |  |      |       | 
|Net realized capital (losses) gains   |                         |      | 10.3 |       |  |      | 18.4 |       |  |  | 83.7 |      
|                                      |                         |      |       |       |  |      |       |       |  |  |      |       | 

Included in the 2002 realized amounts were gains on the restructuring of
Converium North Americas fixed income portfolio of US$ 52.9 million, offset by
losses on the restructuring of Converium North Americas equity portfolio of
US$ 32.7 million, and losses realized on the sale of WorldCom fixed income
investments of US$ 15.8 million. Converium Cologne recognized gains on the
restructuring of its fixed income portfolio of US$ 10.0 million, offset by
losses on the restructuring of its equity portfolio of US$ 15.5 million.

During 2002 and 2001, Converium Group recorded US$ 48.3 million and US$ 82.5
million of impairment charges, respectively, on its equity portfolio,
reflecting continued deterioration in global stock markets.

|                                           |                           |                         |       |              |  |      |      |      |  |      |       |      |  |  |       |       |  |  |      |       | 
|------------------------------------------ | ------------------------- | ----------------------- | ----- | ------------ |  | ---- | ---- | ---- |  | ---- | ----- | ---- |  |  | ----- | ----- |  |  | ---- | ----- | 
|Table 6.3                                  |                           |                         |       |              |  |      |      |      |  |      |       |      |  |  |       |       |  |  |      |      
|Unrealized investment gains and losses     |                           |                         |       |              |  |      |      |      |  |      |       |      |  |  |       |       |  |  |      |      
|(included in other comprehensive income)   |                           | Net change for the year |       | Total as of 
|(US$ million)                              |                           | ended December 31,      |       | December 31,
|                                           |                           |                         |       |             
|                                           |                           | 2002                    |       | 2001         |  | 2000 |      | 2002 |  | 2001
|                                           |                           |                         |       |              |  |      |      |      |  |     
|Fixed maturities available-for-sale        |                           |                         | 11.2  |              |  |      | 9.1 |      |  |      | 78.0  |      |  |  | 33.8  |       |  |  | 22.6 |      
|Equity securities available-for-sale       |                           |                         | 75.7 |              |  |      | 24.7 |      |  |      | 74.8 |      |  |  | 53.6 |       |  |  | 22.1 |      
|Less amounts of net unrealized             |                           |                         |       |              |  |      |      |      |  |      |       |      |  |  |       |       |  |  |      |      
|investment (losses) gains attributable to: |                           |                         |       |              |  |      |      |      |  |      |       |      |  |  |       |       |  |  |      |      
|                                           | Net deferred income taxes |                         |       | 31.2         |  |      |      | 2.9 |  |      |       | 0.5  |  |  |       | 16.8  |  |  |      | 14.4 | 
|                                           | Foreign currency effect   |                         |       | 50.3        |  |      |      | 1.2 |  |      |       | 1.8 |  |  |       | 50.3 |  |  |      |      | 
|                                           |                           |                         |       |              |  |      |      |      |  |      |       |      |  |  |       |       |  |  |      |      
|Total                                      |                           |                         | 83.6 |              |  |      | 11.5 |      |  |      | 1.9   |      |  |  | 53.3 |       |  |  | 30.3 |      
|                                           |                           |                         |       |              |  |      |      |      |  |      |       |      |  |  |       |       |  |  |      |      

|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|------------------------------------------ |  | -------------- | ------- | ---------------- |  | ----------------- | ------- | ---------- |  | ---- | ---- | ---- |  | ---- | ---- | ---- |  |  | ----- |  |  |  | ----- |  |  |  | ------- |  |  |  | ------- | 
|Table 6.4                                  |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Investments in fixed maturities            |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|and equity securities                      |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|(US$ million)                              |  | Cost or        |         | Gross            |  | Gross             |         | Estimated 
|                                           |  | amortized cost |         | unrealized gains |  | unrealized losses |         | fair value
|                                           |  |                |         |                  |  |                   |         |           
|Available-for-sale                         |  | 2002           |         | 2001             |  | 2002              |         | 2001       |  | 2002 |      | 2001 |  | 2002 |      | 2001
|Fixed maturities:                          |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |     
|US government                              |  |                | 1,497.1 |                  |  |                   | 469.8   |            |  |      | 23.4 |      |  |      | 11.7 |      |  |  | 2.5  |  |  |  | 1.7  |  |  |  | 1,518.0 |  |  |  | 479.8   | 
|Other governments                          |  |                | 383.8   |                  |  |                   | 553.2   |            |  |      | 1.4  |      |  |      | 8.5  |      |  |  | 0.3  |  |  |  | 4.4  |  |  |  | 384.9   |  |  |  | 557.3   | 
|Corporate and other debt securities        |  |                | 706.9   |                  |  |                   | 552.3   |            |  |      | 9.6  |      |  |      | 8.8  |      |  |  | 3.3  |  |  |  | 7.3  |  |  |  | 713.2   |  |  |  | 553.8   | 
|Mortgage and asset-backed securities       |  |                | 821.5   |                  |  |                   | 733.5   |            |  |      | 5.6  |      |  |      | 10.0 |      |  |  | 0.1  |  |  |  | 3.0  |  |  |  | 827.0   |  |  |  | 740.5   | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Total as of December 31                    |  |                | 3,409.3 |                  |  |                   | 2,308.8 |            |  |      | 40.0 |      |  |      | 39.0 |      |  |  | 6.2  |  |  |  | 16.4 |  |  |  | 3,443.1 |  |  |  | 2,331.4 | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Equity securities                          |  |                | 584.4   |                  |  |                   | 679.3   |            |  |      | 2.6  |      |  |      | 47.2 |      |  |  | 56.2 |  |  |  | 25.1 |  |  |  | 530.8   |  |  |  | 701.4   | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 
|Total available-for-sale as of December 31 |  |                | 3,993.7 |                  |  |                   | 2,988.1 |            |  |      | 42.6 |      |  |      | 86.2 |      |  |  | 62.4 |  |  |  | 41.5 |  |  |  | 3,973.9 |  |  |  | 3,032.8 | 
|                                           |  |                |         |                  |  |                   |         |            |  |      |      |      |  |      |      |      |  |  |       |  |  |  |       |  |  |  |         |  |  |  |         | 

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                     |  |                      |         |            |  |  |       | 
|------------------------------------ |  | -------------------- | ------- | ---------- |  |  | ----- | 
|Table 6.5                            |  |                      |         |            |  |  |       | 
|Fixed maturity schedule by maturity  |  | Estimated fair value |         |            |  | 
|(US$ million)                        |  | Available-for-sale   |         | % of Total
|                                     |  |                      |         |           
|Less than one year                   |  |                      | 15.7    |            |  |  | 0.5   | 
|One year through five years          |  |                      | 1,409.4 |            |  |  | 40.9  | 
|Five years through ten years         |  |                      | 803.5   |            |  |  | 23.3  | 
|Over ten years                       |  |                      | 387.5   |            |  |  | 11.3  | 
|                                     |  |                      |         |            |  |  |       | 
|Subtotal                             |  |                      | 2,616.1 |            |  |  | 76.0  | 
|                                     |  |                      |         |            |  |  |       | 
|Mortgage and asset-backed securities |  |                      | 827.0   |            |  |  | 24.0  | 
|                                     |  |                      |         |            |  |  |       | 
|Total as of December 31, 2002        |  |                      | 3,443.1 |            |  |  | 100.0 | 
|                                     |  |                      |         |            |  |  |       | 

The estimated fair values of fixed maturities available-for-sale are shown by
contractual maturity. Actual maturities may differ from contractual maturities
because certain borrowers have the right to call or prepay certain obligations
with or without call or prepayment penalties.

At December 31, 2002, real estate held for investment of US$ 167.9 million, net
of accumulated depreciation of US$ 7.6 million, consists primarily of
investments in residential and commercial rental properties located in
Switzerland, acquired in late 2001 from subsidiaries of Zurich Financial
Services. The fire insurance value of Converium Groups real estate held for
investment and fixed assets totaled US$ 283.3 million and US$ 215.3 million at
December 31, 2002 and 2001, respectively.

There are no investments in any entity in excess of 10% of equity at December
31, 2002 and 2001, other than investments issued or guaranteed by the US or
sovereign governments or their agencies. Cash and investments with a carrying
value of US$ 147.9 million and US$ 114.3 million were deposited in trust or
with regulatory authorities as of December 31, 2002 and 2001, respectively.



|7. |  | Goodwill
|-- |  | --------

During August 1997, Zurich Financial Services acquired all the remaining equity
interests in Converium Reinsurance (North America) Inc. not then owned by
Zurich Financial Services. The acquisition of the minority interest in
Converium Reinsurance (North America) Inc. was accounted for as a purchase.
Accordingly, the excess of the consideration paid in exchange for the minority
interest over the fair value of the net assets attributable to the minority
interest was recorded as goodwill. This goodwill has been reflected in the
financial statements of Converium Group under the application of push down
accounting. An additional US$ 20.7 million of goodwill arose from Converium
Groups acquisition of a 49.9% interest in MDU Services Ltd during May 2000.
Goodwill was US$ 117.6 million and US$ 112.0 million, and accumulated
amortization of goodwill was US$ 33.7 million and US$ 32.5 million at December
31, 2002 and 2001, respectively. The activity for 2002 relates to currency
movement.

Upon initial application of SFAS No. 142, Converium ceased amortizing goodwill
on January 1, 2002. Accordingly, the following information presents adjusted
net loss and loss per share for the years ended December 31, 2001 and 2000
using the policy adopted from January 1, 2002.

|                                          |  |      |        |      |  |  |       | 
|----------------------------------------- |  | ---- | ------ | ---- |  |  | ----- | 
|Table 7.1                                 |  |      |        |      |  |  |       | 
|(US$ million, except share information)   |  |      |        |      |  |  |       | 
|Year ended December 31                    |  | 2001 |        | 2000
|                                          |  |      |        |     
|Reported net loss                         |  |      | 367.4 |      |  |  | 29.3 | 
|Amortization of goodwill                  |  |      | 7.8    |      |  |  | 7.3   | 
|                                          |  |      |        |      |  |  |       | 
|Adjusted net loss                         |  |      | 359.6 |      |  |  | 22.0 | 
|                                          |  |      |        |      |  |  |       | 
|Basic and diluted loss per share          |  |      | 9.18  |      |  |  | 0.73 | 
|Amortization of goodwill                  |  |      | 0.19   |      |  |  | 0.18  | 
|                                          |  |      |        |      |  |  |       | 
|Adjusted basic and diluted loss per share |  |      | 8.99  |      |  |  | 0.55 | 
|                                          |  |      |        |      |  |  |       | 

SFAS No. 142 requires that goodwill be tested annually for impairment. During
2002, there were no impairment losses resulting from the impairment tests
performed.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)



|8. |  | Losses and loss adjustment expenses
|-- |  | -----------------------------------

Significant delays occur in the notification of claims and a substantial
measure of experience and judgment is involved in assessing outstanding
liabilities, the ultimate cost of which cannot be known with certainty as of
the balance sheet date. The reserve for losses and loss adjustment expenses is
determined on the basis of information currently available; however, it is
inherent to the nature of the business written that the ultimate liabilities
may vary as a result of subsequent developments.

|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|------------------------------------------------------ | ------------------------------------------------------ | ---- | ------- | ------- |  | ---- | ------- | ------- |  |  | ------- | ------- | 
|Table 8.1                                              |                                                        |      |         |         |  |      |         |         |  |  |         |        
|Reserves for losses and loss adjustment expenses       |                                                        |      |         |         |  |      |         |         |  |  |         |        
|(US$ million)                                          |                                                        | 2002 |         | 2001    |  | 2000
|                                                       |                                                        |      |         |         |  |     
|As of January 1                                        |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Gross reserves for losses and loss adjustment expenses |      |         | 5,710.5 |  |      |         | 4,546.0 |  |  |         | 3,545.7 | 
|                                                       | Less reinsurance recoverable                           |      |         | 1,545.0 |  |      |         | 1,212.2 |  |  |         | 704.9   | 
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|Net reserves for losses and loss adjustment expenses   |                                                        |      | 4,165.5 |         |  |      | 3,333.8 |         |  |  | 2,840.8 |        
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|Loss and loss adjustment expenses incurred             |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Current year                                           |      |         | 2,186.8 |  |      |         | 2,039.5 |  |  |         | 1,454.6 | 
|                                                       | Prior years                                            |      |         | 148.5   |  |      |         | 123.6   |  |  |         | 65.4    | 
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|Total                                                  |                                                        |      | 2,335.3 |         |  |      | 2,163.1 |         |  |  | 1,520.0 |        
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|Losses and loss adjustment expenses paid               |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Current year                                           |      |         | 299.4   |  |      |         | 359.1   |  |  |         | 222.0   | 
|                                                       | Prior years                                            |      |         | 1,095.5 |  |      |         | 885.2   |  |  |         | 850.6   | 
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|Total                                                  |                                                        |      | 1,394.9 |         |  |      | 1,244.3 |         |  |  | 1,072.6 |        
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|Foreign currency translation effects                   |                                                        |      | 255.6   |         |  |      | 87.1   |         |  |  | 45.6    |        
|As of December 31                                      |                                                        |      |         |         |  |      |         |         |  |  |         |        
|                                                       | Net reserves for losses and loss adjustment expenses   |      |         | 5,361.5 |  |      |         | 4,165.5 |  |  |         | 3,333.8 | 
|                                                       | Reinsurance recoverable                                |      |         | 1,459.8 |  |      |         | 1,545.0 |  |  |         | 1,212.2 | 
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 
|Gross reserves for losses and loss adjustment expenses |                                                        |      | 6,821.3 |         |  |      | 5,710.5 |         |  |  | 4,546.0 |        
|                                                       |                                                        |      |         |         |  |      |         |         |  |  |         |         | 

In 2002, Converium Group strengthened reserves by US$ 148.5 million. Throughout
the year, increased loss experience related to prior years continued to emerge.
During 2002, Converium North America engaged in an in-depth actuarial reserve
analysis of certain lines of business, which resulted in an increase of US$
137.2 million in provisions for losses, primarily related to accident years
1997  2000, including US$ 70.3 million of additional provisions in the fourth
quarter on its commercial umbrella, miscellaneous casualty, medical errors and
omissions liability, motor liability, and workers compensation lines of
business. Converium Cologne recorded US$ 31.1 million of additional loss
provisions related to prior years business, of which US$ 25.4 million was
related to run-off business. Partially offsetting this reserve strengthening,
Converium Zurich recorded US$ 19.8 million of positive reserve development in
2002. This resulted from favorable development on prior year liability business
and property excess of loss business from underwriting year 2001.

In 2001, Converium Group strengthened reserves by US$ 123.6 million. Converium
Group retained an actuarial consulting firm to perform an independent review
of non-life net reserves as of December 31, 2000. This review reflected
certain information that became available after the issuance of the December
31, 2000 financial statements, including most fourth quarter 2000 and
some first quarter 2001 reports from ceding companies, who typically report on
a one-quarter lag. Based on the independent review and Converium Groups own
evaluations of these new developments, additional provisions of US$ 112.0
million, net of reinsurance, were recorded in the first half of 2001,
principally related to accident years 2000 and prior at Converium North
America. Converium Group recorded an additional US$ 11.6 million of net
adverse loss reserve development in the second half of 2001. For 2001,
Converium North America recorded adverse development of US$ 164.0 million,
mainly related to general liability, auto liability and umbrella business
written in 1996 through 1999. Converium Cologne strengthened its asbestos and
environmental reserves by US$ 11.5 million and performed an in-depth analysis
of its European and Middle East non-proportional motor book, which added an
additional US$ 20.0 million in reserves. Converium Cologne also recorded an
additional US$ 9.8 million of reserves for energy and property business in the
Middle East. Partially offsetting the above, loss reserves at Converium Zurich
developed positively by US$ 81.7 million in 2001, reflecting positive
development of US$ 30.0 million in aviation and space, primarily on
non-proportional treaty business for years 1998 through 2000. Additional
positive development was experienced in casualty lines of business.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

In 2000, Converium Group strengthened reserves by US$ 65.4 million. This
result was heavily driven by adverse development from the December 1999
European winter storms Anatol, Lotharand Martin. These events occurred in the
last week of December 1999, which made loss estimation for these events
difficult at December 31, 1999. In addition, Converium North America
experienced adverse loss development mainly related to casualty treaty
business from prior underwriting years.

In addition to the non-life reserve development described above, Converium
Life strengthened reserves on a closed block of variable annuity business by
US$ 15.6 million, US$ 13.4 million and US$ 2.9 million in 2002, 2001 and 2000,
respectively.

The reserves for certain losses and loss adjustment expenses, such as those for
settled claims with fixed payment terms, represent the present value estimates
of the ultimate cost of all losses incurred but not paid through December 31 of
each year. Where applicable, gross reserves of US$ 488.9 million and US$ 413.8
million have been discounted using average interest rates of 4.3% and 6.0% in
2002 and 2001, respectively. This has reduced reserves by US$ 57.9 million and
US$ 47.5 million as of December 31, 2002 and 2001, respectively. In addition,
deferred charges relating to retrospective reinsurance assumed and structured
settlements totaling US$ 79.9 million and US$ 57.9 million as of December 31,
2002 and 2001, respectively, are included in other assets.

Converium Group believes that its exposure to environmental impairment
liability and asbestos-related claims is relatively small due to the diminutive
amount of business written prior to 1987 for Converium Ltd and Converium
Reinsurance (North America) Inc. Additionally, Converium Reinsurance (North
America) Inc. is protected by a stop loss agreement with Zurich Insurance
Company (ZIC), a wholly owned subsidiary of Zurich Financial Services, for
business effected prior to June 1, 1993. As of December 31, 2002 and 2001,
Converium Rückversicherung (Deutschland) AG had reserves for environmental
impairment liability and asbestos-related claims of US$ 44.6 million and US$
44.6 million, respectively, representing a survival ratio (calculated as the
average ratio of reserves held, including IBNR, over claims paid over the last
three years) of 13.5 years and 13.8 years, respectively.

European floods

In August 2002, Germany, the Czech Republic, Austria and Italy experienced
severe floods. Based on the information received from clients and from other
market sources, we recorded incurred losses of US$ 54.2 million, nearly all of
which came from the Converium Cologne operating segment. The loss estimate
contains substantial IBNR estimates for contracts where no specific
information has been received from clients.

September 11th terrorist attacks

As of December 31, 2002, Converium Group recorded gross and net incurred
losses and loss adjustment expenses related to the September 11th terrorist
attacks as follows:

|                       |  |              |       |            |  |                |       |  |  |  |       | 
|---------------------- |  | ------------ | ----- | ---------- |  | -------------- | ----- |  |  |  | ----- | 
|                       |  |              |       |            |  | Retrocessional |       |  |  | 
|Line of business       |  |              |       |            |  | reinsurance    |       |  |  | 
|(US$ million)          |  | Gross losses |       | recoveries |  | Net losses    
|                       |  |              |       |            |  |               
|Aviation               |  |              | 347.1 |            |  |                | 175.0 |  |  |  | 172.1 | 
|Property and Liability |  |              | 324.9 |            |  |                | 219.8 |  |  |  | 105.1 | 
|Life                   |  |              | 20.0  |            |  |                | 8.0   |  |  |  | 12.0  | 
|                       |  |              |       |            |  |                |       |  |  |  |       | 
|Total                  |  |              | 692.0 |            |  |                | 402.8 |  |  |  | 289.2 | 
|                       |  |              |       |            |  |                |       |  |  |  |       | 

Included in the reinsurance recoveries above are US$ 152.0 million due from
Zurich Financial Services and subsidiaries.

Certain arrangements with Zurich Financial Services described below provide
protection against potential adverse loss development on the September 11th
terrorist attacks for Converium Ltd, Converium Rückversicherung (Deutschland)
AG and Converium Reinsurance (North America) Inc. above the initial loss
amounts recorded of US$ 289.2 million, net of retrocessional reinsurance
recoveries. As losses are capped at US$ 289.2 million, there was no additional
development in net reserves during 2002. Ceded premiums in connection with
these arrangements and other coverages from Zurich Financial Services were US$
28.5 million in 2001.

Converium Ltds exposure under the Quota Share Retrocession Agreement (see
Note 9) is limited for Extraordinary Events. The agreement limits Converium
Ltds losses arising out of any Extraordinary Event to US$ 220.0 million and
the parties have agreed that the September 11th terrorist attacks are an
Extraordinary Event and that the US$ 220.0 million limit applies to losses
arising out of the September 11th terrorist attacks. Because ZIC and Zurich
Insurance Bermuda (ZIB), wholly owned subsidiaries of Zurich Financial
Services, retain losses in excess of the limit, Zurich Financial Services will
be responsible for non-payment, if any, by the retrocessionaires with regard
to losses arising out of the September 11th terrorist attacks in excess of the
US$ 220.0 million limit.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

ZIC will indemnify Converium Rückversicherung (Deutschland) AG for losses
arising out of the September 11th terrorist attacks in excess of US$ 11.0
million, net of retrocessional reinsurance recoveries.

Converium Reinsurance (North America) Inc. is covered under the ZIC 1997
Aggregate Excess of Loss Agreement for losses in excess of US$ 58.2 million.
In addition, ZIC will indemnify Converium Reinsurance (North America) Inc.
against loss development in excess of the available limits under the ZIC 1997
Aggregate Excess of Loss Agreement. See Note 15 for further information.

Enron Chapter 11 reorganization

In December 2001, Enron Corp. announced that it and certain of its subsidiaries
had filed voluntary petitions for Chapter 11 reorganization in the United
States. Converium Group recorded incurred losses of US$ 67.0 million pre-tax
(US$ 48.0 million after-tax) for the year ended December 31, 2001, representing
Converium Groups aggregate limits under existing reinsurance contracts in
connection with Enron. These exposures result principally from credit and
surety and, to a lesser extent, liability lines of business in the Converium
Zurich and Converium North America operating segments. These estimates reflect
Converium Groups aggregate limits under the related contracts. The losses
Converium Group may ultimately incur, and the timing of any loss payment, will
be affected by numerous factors including the actions of third parties,
possible judicial rulings and other contingencies.



|9. |  | The Quota Share Retrocession Agreement, retrocessional
reinsurance and catastrophe protection
|-- |  | ---------------------------------------------------------------------------------------------

Quota Share Retrocession Agreement

In connection with the Transactions, the transfer of Converium Zurichs
business to Converium Ltd by ZIC and ZIB was affected by means of the Quota
Share Retrocession Agreement effective July 1, 2001. The covered business
consists of the business historically managed by Converium Zurich, which has
an inception or renewal date on or after January 1, 1987, and consists of
substantially all of the third party assumed reinsurance business written by
ZIC and ZIB, under the Zurich Re brand name. The liabilities Converium Ltd
assumed include all net unearned premiums, net losses and loss adjustment
expenses and experience account balances relating to this business.

The Quota Share Retrocession Agreement provides for the payment of premiums to
Converium Ltd by ZIC as consideration for assuming the covered liabilities. The
Quota Share Retrocession Agreement provides that these premiums are on a funds
withheld basis, whereby the premium is not immediately paid, but is rather
retained by ZIC and credited to a funds withheld account, which is referred to
as the Funds Withheld Asset.

Because the business subject to the Quota Share Retrocession Agreement
consists of business that was historically managed by Converium Zurich, this
business is already reflected in the financial statements. Any reinsurance
business written by ZIC or ZIB that is not part of the historically managed
and operated third-party reinsurance business of Converium Zurich is not
covered by the Quota Share Retrocession Agreement, and all related legal
rights and obligations of this business have been retained by ZIC and ZIB.
Accordingly, this business is excluded from the financial statements.
Therefore, execution of this Quota Share Retrocession Agreement has no impact
on results of operations as reported.

Converium Ltd will receive the surplus remaining with respect to the Funds
Withheld Asset, if any, after all liabilities have been discharged.
Additionally, Zurich Financial Services has the right to prepay to Converium
Ltd the full amount or a portion thereof of the Funds Withheld Asset prior to
termination of the agreement. Finally, Converium Ltd is entitled to request
cash advances under certain circumstances to help meet significant cash
requirements. Any surplus or any additional cash flows will be recorded in the
financial statements in the period when they occur.

Converium Ltd is entitled to borrow cash from ZIC if eligible losses from a
single event or series of related events not relating to the business covered
by the Quota Share Retrocession Agreement exceed US$ 25.0 million. The amount
that may be borrowed as a result of any one event or series of related events
is limited to the lesser of US$ 90.0 million, or actual losses from the event.
Converium Ltd is entitled to request multiple advances. However, it may never
borrow more than the Funds Withheld Asset balance, and the aggregate amount
that may be borrowed at any one time ranges from US$ 105.0 million to US$ 135.0
million for the period January 1, 2003 to September 30, 2003. Converium Ltd may
not request advances beyond September 30, 2003, unless agreed otherwise with
ZIC. Interest on these advances will accrue at a variable annual rate equal to
prevailing LIBOR plus 0.50%, and is payable monthly. Converium Ltd would be
required to repay any advance within one year of receipt. No advances were
outstanding at December 31, 2002 or 2001.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Converium Ltd will continue to administer the transferred business on behalf of
ZIC and ZIB, which remain liable to the original cedents of the business.
Additionally, Converium Ltd will manage third-party retrocessions related to
the business transferred. Converium Group will bear the credit risk for
uncollectible reinsurance balances excluding those related to the September
11th terrorist attacks. Converium Ltd will have a broad right of offset under
the Quota Share Retrocession Agreement so that reinsurance balances owed to ZIC
and ZIB may be offset against the Funds Withheld Asset account directly.

The Quota Share Retrocession Agreement provides for commutation and termination
for special reasons, such as insolvency of a party or loss of its authorization
to do business or a change of control of Converium Ltd. Each of the parties
agrees to indemnify the other against liability or expense incurred by reason
of its conduct or failure to act in appropriate circumstances. The Quota Share
Retrocession Agreement contains other provisions that are customary for an
agreement of this nature.

Retrocessional reinsurance

Retrocessional reinsurance arrangements generally do not relieve Converium
Group from its direct obligations to its reinsureds. Thus, a credit exposure
exists with respect to reinsurance ceded to the extent that any
retrocessionaire is unable or unwilling to meet the obligations assumed under
the retrocessional agreements. At December 31, 2002, Converium Group holds US$
687.8 million in collateral as security under related retrocessional
agreements in the form of funds held, securities and/or letters of credit.
Converium Group is able to access outside capacity for both traditional and
non-traditional coverage and therefore is not dependent upon any single
retrocessional market.

Under an existing aggregate excess of loss reinsurance agreement in force
between ZIC and Converium Reinsurance (North America) Inc., ZIC provides
aggregate excess of loss reinsurance protection to Converium Reinsurance
(North America) Inc. with respect to potential losses arising out of Converium
Reinsurance (North America) Inc.s retrocession to the Unicover Pool involving
Amerisafe Interstate Insurance Company (Amerisafe). See Notes 15 and 19 for
more information.

Recoverables from subsidiaries of Zurich Financial Services total 24.1% of
equity at December 31, 2002. Recoverables from one other third-party
retrocessionaire were 12.9% of equity at December 31, 2002. Recoverables from
retrocessionaires relating to contracts in arbitration were 9.5% of equity at
December 31, 2002. There were no recoverables from any other retrocessionaire
that exceeded 10% of equity at December 31, 2002. Allowances of US$ 17.4
million and US$ 9.6 million have been recorded for estimated uncollectible
receivables and reinsurance recoverables at December 31, 2002 and 2001,
respectively.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|------------------------------------------------ |  | ----- | ------- | ------------------ |  | ------------------ | ------- | ---- |  | ---- | ------- | ---- |  |  | ------- |  |  |  | ------- |  |  |  | ------- | 
|Table 9.1                                        |  |       |         |                    |  |                    |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|(US$ million)                                    |  | Gross |         | Reinsurance assets |  | Net of reinsurance
|Year ended December 31                           |  |       |         |                    |  |                   
|                                                 |  | 2002  |         | 2001               |  | 2002               |         | 2001 |  | 2002 |         | 2001
|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |     
|Reserves for losses and loss
adjustment expenses |  |       | 6,821.3 |                    |  |                    | 5,710.5 |      |  |      | 1,459.8 |      |  |  | 1,545.0 |  |  |  | 5,361.5 |  |  |  | 4,165.5 | 
|Reserves for unearned premiums                   |  |       | 1,170.7 |                    |  |                    | 968.7   |      |  |      | 94.7    |      |  |  | 78.9    |  |  |  | 1,076.0 |  |  |  | 889.8   | 
|Future life benefits                             |  |       | 371.7   |                    |  |                    | 252.0   |      |  |      | 73.2    |      |  |  | 44.2    |  |  |  | 298.5   |  |  |  | 207.8   | 
|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|Total underwriting
reserves at December 31       |  |       | 8,363.7 |                    |  |                    | 6,931.2 |      |  |      | 1,627.7 |      |  |  | 1,668.1 |  |  |  | 6,736.0 |  |  |  | 5,263.1 | 
|                                                 |  |       |         |                    |  |                    |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 

|                                |  |                  |         |                 |  |      |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|------------------------------- |  | ---------------- | ------- | --------------- |  | ---- | ------- | ---- |  | ---- | ------- | ---- |  |  | ------- |  |  |  | ------- |  |  |  | ------- | 
|Table 9.2                       |  |                  |         |                 |  |      |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|Premiums written and earned     |  |                  |         |                 |  |      |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|(US$ million)                   |  | Premiums written |         | Premiums earned
|For the years ended December 31 |  |                  |         |                
|                                |  | 2002             |         | 2001            |  | 2000 |         | 2002 |  | 2001 |         | 2000
|                                |  |                  |         |                 |  |      |         |      |  |      |         |     
|Direct premiums                 |  |                  | 88.0    |                 |  |      | 124.9   |      |  |      | 169.9   |      |  |  | 77.1    |  |  |  | 106.6   |  |  |  | 177.0   | 
|Assumed premiums                |  |                  | 3,447.8 |                 |  |      | 2,756.3 |      |  |      | 2,395.9 |      |  |  | 3,289.0 |  |  |  | 2,581.9 |  |  |  | 2,244.1 | 
|Ceded premiums                  |  |                  | 204.2  |                 |  |      | 393.4  |      |  |      | 569.8  |      |  |  | 191.2  |  |  |  | 388.1  |  |  |  | 559.6  | 
|Catastrophe Agreement           |  |                  | 9.4    |                 |  |      | 5.2    |      |  |      |        |      |  |  | 9.4    |  |  |  | 5.2    |  |  |  |        | 
|                                |  |                  |         |                 |  |      |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 
|Total                           |  |                  | 3,322.2 |                 |  |      | 2,482.6 |      |  |      | 1,996.0 |      |  |  | 3,165.5 |  |  |  | 2,295.2 |  |  |  | 1,861.5 | 
|                                |  |                  |         |                 |  |      |         |      |  |      |         |      |  |  |         |  |  |  |         |  |  |  |         | 

|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|-------------------------------------------- |  | ---- | ------- | ---- |  | ---- | ------- |  |  |  | ------- | 
|Table 9.3                                    |  |      |         |      |  |      |         |  |  |  |         | 
|Benefits, losses and expenses                |  |      |         |      |  |      |         |  |  |  |         | 
|(US$ million)                                |  |      |         |      |  |      |         |  |  |  |         | 
|For the years ended December 31              |  | 2002 |         | 2001 |  | 2000
|                                             |  |      |         |      |  |     
|Non-life losses and loss adjustment expenses |  |      |         |      |  |      |         |  |  |  |         | 
|Direct                                       |  |      | 124.5   |      |  |      | 104.3   |  |  |  | 169.7   | 
|Assumed                                      |  |      | 2,402.7 |      |  |      | 2,694.3 |  |  |  | 2,106.5 | 
|Ceded                                        |  |      | 191.9  |      |  |      | 635.5  |  |  |  | 756.2  | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                        |  |      | 2,335.3 |      |  |      | 2,163.1 |  |  |  | 1,520.0 | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Life benefits and policyholder dividends     |  |      |         |      |  |      |         |  |  |  |         | 
|Assumed                                      |  |      | 185.0   |      |  |      | 140.1   |  |  |  | 88.9    | 
|Ceded                                        |  |      | 28.3   |      |  |      | 2.7    |  |  |  | 4.4    | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                        |  |      | 156.7   |      |  |      | 137.4   |  |  |  | 84.5    | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Underwriting acquisition costs               |  |      |         |      |  |      |         |  |  |  |         | 
|Direct                                       |  |      | 24.6    |      |  |      | 32.8    |  |  |  | 56.5    | 
|Assumed                                      |  |      | 707.6   |      |  |      | 529.0   |  |  |  | 492.4   | 
|Ceded                                        |  |      | 65.5   |      |  |      | 53.7   |  |  |  | 94.5   | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 
|Total                                        |  |      | 666.7   |      |  |      | 508.1   |  |  |  | 454.4   | 
|                                             |  |      |         |      |  |      |         |  |  |  |         | 

Catastrophe protection

As of December 31, 2002, Converium has entered into agreements for coverage of
losses related to certain catastrophic loss events. These agreements include
both traditional reinsurance as well as a catastrophe agreement described more
fully below. The traditional reinsurance agreements cover losses from an event
in excess of US$ 90.0 million.

In June 2001, ZIC entered into a transaction with Trinom Ltd, a Bermuda company
that ultimately provides ZIC with specific high-limit catastrophe protection.
Trinom is a special purpose entity (SPE) established by ZIC in Bermuda, and
which issued all of its common shares to a Bermuda trust. Trinoms business
consists solely of issuing three-year catastrophe securities to third-party
qualified investors in the form of preference shares and two classes of notes.
Simultaneous with the offering of these securities, Trinom entered into a
counterparty contract with ZIC whereby Trinom will make payments to ZIC from
its funds to cover defined catastrophic losses in the United States and Europe.
ZIC is required to make payments to Trinom based on the balance of Trinoms
funds and the magnitude of its losses. The owners of the securities are
entitled to receive their original investment, plus interest on the notes or
dividends on the preference shares, both paid quarterly, less any loss payments
made to ZIC.

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Converium Group
Notes to the consolidated and historical combined financial statements(continued)

Additionally, as part of the Transactions, ZIC and Converium Ltd have entered
into a catastrophe derivative agreement (the Catastrophe Agreement) in the
form of a purchased option whereby Converium Ltd receives protection from ZIC
under terms similar to ZICs protection under the Trinom transaction. Converium
Ltd will pay ZIC amounts at least equal to the payments made by ZIC to Trinom.
Similarly, Converium Ltd is entitled to receive payments from ZIC that are
similar to those that ZIC is entitled to receive from Trinom. However, there is
no contractual relationship between Converium Ltd and Trinom as only ZIC is the
legal counterparty to the Trinom transaction. This Catastrophe Agreement is
effective as of June 18, 2001, and will remain in effect for the same period as
ZICs agreement with Trinom, including any extension thereto.

The coverage ZIC and ultimately Converium Ltd have obtained from the Trinom
transaction and the related Catastrophe Agreement is expected to reduce
Converium Ltds net retained loss for large catastrophe events that produce
insured losses greater than what is referred to in the industry as once in 100
years magnitude. Perils covered by the Trinom transaction and the Catastrophe
Agreement include only US hurricane, US earthquake, and European windstorm
losses that occur before June 18, 2004. Payments from Trinom to ZIC, and
similarly from ZIC to Converium Ltd, are based on modeled reinsurance losses
for ZIC and ultimately Converium Ltds exposures at the time of the Trinom
transaction.

In a modeled loss contract, the covered partys aggregate exposure to each
geographical region and type of catastrophe, by line of business, is compared
to industry-wide data in order to produce the covered partys market share of
particular loss events by line of business using commercially available natural
catastrophe loss simulation modeling software. The software simulates a
catastrophe, at various levels of severity, by generating certain probabilistic
loss distributions, in order to calculate industry-wide losses and the
corresponding losses for the covered party on a ground-up basis, by line of
business. These losses are then compared to the modeled loss contracts to
determine the amount of the covered partys recovery in respect of such an
event.

Because the Trinom transaction is in two tranches, Converium Ltds coverage
under the Catastrophe Agreement is also effectively in two tranches. The first
tranche provides first event coverages of approximately US$ 65.0 million on 68%
of losses that exceed a range of losses from US$ 209.0 million to US$ 227.0
million; and the second tranche provides US$ 97.0 million of coverage on 100%
of second and subsequent event losses that exceed a range of losses from US$
100.0 million to US$ 133.0 million. The amount of losses that must be incurred
before coverage applies relates to the type of loss event, e.g. earthquake,
hurricane or windstorm. The expected annual cost of the Catastrophe Agreement
to Converium Ltd is approximately US$ 9.4 million. However, if Converium Group
collects amounts as a result of a loss event that is protected by the
Catastrophe Agreement, Converium Group will be required to pay higher amounts
for the remainder of the Catastrophe Agreements term, and to reduce the
recovery by these higher amounts.

10.     Debt

Converium Group assumed US$ 200.0 million principal amount of non-convertible,
unsecured, unsubordinated Senior Notes (the Senior Notes) originally issued
during October 1993. The Senior Notes mature in full on October 15, 2023 and
bear interest at the rate of 7.125%, payable semiannually in arrears on April
15 and October 15.

In December 2002, Converium Finance S.A., a newly formed Luxembourg company,
issued US$ 200.0 million principal amount of non-convertible, unsecured,
guaranteed subordinated notes (the Guaranteed Subordinated Notes). The
Guaranteed Subordinated Notes are irrevocably and unconditionally guaranteed on
a subordinated basis by each of Converium Holding Ltd and Converium Ltd. The
Guaranteed Subordinated Notes mature in full on December 23, 2032 and
bear interest at the rate of 8.25% paid quarterly in arrears on March 15, June
15, September 15 and December 15.

Debt issuance costs and discounts of US$ 9.6 million and US$ 3.0 million at
December 31, 2002 and 2001, respectively, have been deferred and are being
amortized over the term of the related debt.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements(continued)

|                             |          |      |       |       |  |      |        |        |  |  |       |       | 
|---------------------------- | -------- | ---- | ----- | ----- |  | ---- | ------ | ------ |  |  | ----- | ----- | 
|Table 11.1                   |          |      |       |       |  |      |        |        |  |  |       |      
|Income tax (benefit) expense |          |      |       |       |  |      |        |        |  |  |       |      
|(US$ million)                |          |      |       |       |  |      |        |        |  |  |       |      
|Year ended December 31       |          | 2002 |       | 2001  |  | 2000
|                             |          |      |       |       |  |     
|Switzerland                  |          |      |       |       |  |      |        |        |  |  |       |      
|                             | Current  |      | 23.9  |       |  |      |       |        |  |  | 1.3   |      
|                             | Deferred |      |       | 22.2 |  |      |        | 3.5   |  |  |       | 4.0   | 
|                             |          |      |       |       |  |      |        |        |  |  |       |      
|Total                        |          |      | 1.7   |       |  |      | 3.5   |        |  |  | 5.3   |      
|United States                |          |      |       |       |  |      |        |        |  |  |       |      
|                             | Current  |      |       |      |  |      |        | 31.1   |  |  |       | 19.2 | 
|                             | Deferred |      |       | 34.4 |  |      |        | 178.7 |  |  |       | 0.7   | 
|                             |          |      |       |       |  |      |        |        |  |  |       |      
|Total                        |          |      | 34.4 |       |  |      | 147.6 |        |  |  | 18.5 |      
|Germany                      |          |      |       |       |  |      |        |        |  |  |       |      
|                             | Current  |      | 0.2   |       |  |      | 3.4    |        |  |  | 1.0   |      
|                             | Deferred |      |       | 16.9 |  |      |        | 22.2  |  |  |       | 7.3  | 
|                             |          |      |       |       |  |      |        |        |  |  |       |      
|Total                        |          |      | 16.7 |       |  |      | 18.8  |        |  |  | 6.3  |      
|Total                        |          |      |       |       |  |      |        |        |  |  |       |      
|                             | Current  |      | 24.1  |       |  |      | 34.5   |        |  |  | 16.9 |      
|                             | Deferred |      |       | 73.5 |  |      |        | 204.4 |  |  |       | 2.6  | 
|                             |          |      |       |       |  |      |        |        |  |  |       |      
|Total
income tax benefit     |          |      | 49.4 |       |  |      | 169.9 |        |  |  | 19.5 |      
|                             |          |      |       |       |  |      |        |        |  |  |       |      

Table 11.2 below illustrates the factors that cause the actual income tax expense to differ from the expected
amount computed by applying the expected rate.

|                                                 |                                  |      |       |       |  |      |        |       |  |  |       |       | 
|------------------------------------------------ | -------------------------------- | ---- | ----- | ----- |  | ---- | ------ | ----- |  |  | ----- | ----- | 
|Table 11.2                                       |                                  |      |       |       |  |      |        |       |  |  |       |      
|Expected and actual income tax (benefit) expense |                                  |      |       |       |  |      |        |       |  |  |       |      
|(US$ million)                                    |                                  |      |       |       |  |      |        |       |  |  |       |      
|Year ended December 31                           |                                  | 2002 |       | 2001  |  | 2000
|                                                 |                                  |      |       |       |  |     
|Expected income tax (benefit) expense            |                                  |      | 14.3 |       |  |      | 180.3 |       |  |  | 11.7 |      
|Increase (reduction) in taxes resulting from:    |                                  |      |       |       |  |      |        |       |  |  |       |      
|                                                 | Tax-exempt interest income       |      |       | 2.9  |  |      |        | 4.8  |  |  |       | 5.8  | 
|                                                 | Non-taxable reinsurance contract |      |       | 4.9  |  |      |        | 20.4 |  |  |       | 20.5 | 
|                                                 | Branch tax                       |      |       | 0.7   |  |      |        | 2.6   |  |  |       | 2.8   | 
|                                                 | Non-deductible expenses          |      |       | 9.1   |  |      |        | 15.7  |  |  |       | 18.1  | 
|                                                 | Changes in applicable tax rates  |      |       | 5.5  |  |      |        |      |  |  |       |      | 
|                                                 | Deferred acquisition costs       |      |       | 4.7  |  |      |        |      |  |  |       |      | 
|                                                 | Currency translation adjustments |      |       | 6.7  |  |      |        |      |  |  |       |      | 
|                                                 | Tax loss carryforward            |      |       | 21.3 |  |      |        |      |  |  |       |      | 
|                                                 | Valuation allowance              |      |       |      |  |      |        | 3.2   |  |  |       |      | 
|                                                 | Non-deductible ceded premiums    |      |       |      |  |      |        | 8.5   |  |  |       |      | 
|                                                 | Other                            |      |       | 1.1   |  |      |        | 5.6   |  |  |       | 2.4  | 
|                                                 |                                  |      |       |       |  |      |        |       |  |  |       |       | 
|Actual income tax benefit                        |                                  |      | 49.4 |       |  |      | 169.9 |       |  |  | 19.5 |      

The expected weighted average tax rates for Converium Group were (24.9)%,
33.6% and 23.9% in 2002, 2001 and 2000, respectively. These rates were derived
by calculating the weighted average of the expected statutory income tax in
relation to the income (loss) generated in the various territories in which
Converium Group operates. The 2002 effective consolidated tax benefit was 86.1%
and reflects a one-time benefit of US$ 21.3 million as the result of a ruling
received by Converium Ltd from the Swiss tax authorities regarding a tax loss
carryforward. Other differences include the impact from currency translation
adjustments and changes in tax rates.

Deferred income taxes are provided for all temporary differences, which are
based on the difference between financial statement carrying amounts and the
income tax bases of assets and liabilities. The income tax base of an asset or
liability is calculated in accordance with the rules for determining taxable
income established by the local taxation authorities. For a particular asset or
liability, this may result in a deferred tax asset in one country but a
deferred tax liability in another as reflected in Table 11.3.

F-24



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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial
statements(continued)

|                                |                                                  |      |  |        |  |  |  |        | 
|------------------------------- | ------------------------------------------------ | ---- |  | ------ |  |  |  | ------ | 
|Table 11.3                      |                                                  |      |  |        |  |  |  |       
|Deferred income taxes           |                                                  |      |  |        |  |  |  |       
|(US$ million)                   |                                                  |      |  |        |  |  |  |       
|December 31                     |                                                  | 2002 |  | 2001  
|                                |                                                  |      |  |       
|Deferred income tax assets      |                                                  |      |  |        |  |  |  |       
|                                | Loss reserve discount                            |      |  | 141.4  |  |  |  | 109.1  | 
|                                | Unearned premium reserve deduction               |      |  | 16.6   |  |  |  | 23.6   | 
|                                | Accruals not currently deductible                |      |  | 11.3   |  |  |  | 30.5   | 
|                                | Impairment of equity securities                  |      |  | 5.7    |  |  |  | 8.6    | 
|                                | Partnership loss                                 |      |  | 6.3    |  |  |  | 11.7   | 
|                                | Loss carryforwards                               |      |  | 214.4  |  |  |  | 108.3  | 
|                                | Other                                            |      |  | 17.5   |  |  |  | 11.8   | 
|                                |                                                  |      |  |        |  |  |  |        | 
|                                | Total deferred income tax assets                 |      |  | 413.2  |  |  |  | 303.6  | 
|                                | Valuation allowance                              |      |  | 21.4  |  |  |  | 3.2   | 
|                                |                                                  |      |  |        |  |  |  |        | 
|                                | Net deferred income tax assets                   |      |  | 391.8  |  |  |  | 300.4  | 
|                                |                                                  |      |  |        |  |  |  |        | 
|Deferred income tax liabilities |                                                  |      |  |        |  |  |  |       
|                                | Loss and benefit reserves                        |      |  | 39.3  |  |  |  | 37.7  | 
|                                | Deferred policy acquisition costs                |      |  | 63.3  |  |  |  | 54.2  | 
|                                | Unrealized appreciation of investments           |      |  | 20.6  |  |  |  | 14.4  | 
|                                | Other                                            |      |  | 10.7  |  |  |  | 0.2   | 
|                                |                                                  |      |  |        |  |  |  |        | 
|                                | Total deferred income tax liabilities            |      |  | 133.9 |  |  |  | 106.5 | 
|                                |                                                  |      |  |        |  |  |  |        | 
|                                | Net deferred income tax assets                   |      |  | 391.8  |  |  |  | 300.4  | 
|                                |                                                  |      |  |        |  |  |  |        | 
|                                | Net deferred income tax assets as of December 31 |      |  | 257.9  |  |  |  | 193.9  | 
|                                |                                                  |      |  |        |  |  |  |        | 

The current income tax receivable as of December 31, 2002 and 2001 was US$ 0.9
million and US$ 4.8 million, respectively.

As of December 31, 2002, subsidiaries of Converium Group had total net
operating loss carryforwards of US$ 611.6 million available to offset future
taxable income. The majority of these losses will expire if not fully utilized
within twenty years from the year they originated. A valuation allowance of
US$ 21.4 million has been recorded related to certain income tax loss
carryforwards.

12.     Employee benefits

Converium Group has established a number of independent benefit plans for its
employees. Some employees belong to defined benefit plans. Other employees
participate in defined contribution plans, providing benefits equal solely to
contributions paid plus investment returns. Prior to the Separation Date,
employees of Converium Group participated in various pension plans of Zurich
Financial Services or its affiliates.

Personnel costs incurred for 2002, 2001 and 2000 were US$ 110.7 million, US$
104.8 million and US$ 72.2 million, respectively.

Employees of certain of Converium Groups entities are covered under various
defined benefit pension plans. Eligibility for participation in these various
plans is either based on completion of a specified period of continuous service
or date of hire. Benefits are generally based on the employees years of
credited service and average compensation in the years preceding retirement.
Annual funding requirements are determined based on actuarial cost methods. The
transition obligation (asset) is being amortized over the greater of either
fifteen years or the service period of the employees on a straight-line basis.

The Pension Fund of Converium Ltd (the Fund) is a foundation whose objective
is to insure the personnel of Converium Ltd against the economic consequences
of retirement, disability and death as provided by the statutory provisions of
the plan rules.

The Fund is a pension fund providing mandatory insurance as required by Swiss
Federal Law and is supervised by the Canton of Zurich. The Funds pension plan
is a defined contribution plan in accordance with Swiss Federal Law, but it
does not meet the definition of a defined contribution plan pursuant to SFAS
No. 87, Employers Accounting for Pensions, because of certain defined
benefit elements required by Swiss Federal Law.

The participants contributions to the Fund amount to between 7% and 11.5% of
the coordinated annual salary (defined as base salary minus coordination
amount of 30%) depending on the insured participants age and 7% of the annual
incentive-based salary. By law, the employers contribution must at least
equal the contribution of

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Converium Group
Notes to the consolidated and historical combined financial
statements(continued)

the participant. Converium Ltds contribution amounts to between 9% and 16% of
the coordinated annual base salary and 9% of the incentive-based salary.
Converium Ltds contributions under the Fund amounted to CHF 8.6 million in
2002, the year the Fund started its activity, including a contribution of CHF
4.3 million for the cost of transition benefit provisions granted on January
1, 2002.

Participants may purchase pension benefits at their own cost at any time
within certain limits defined by the plan rules or prefinance their pension
benefits reductions in case of early retirement.

|                                            |  |      |      |      |  |      |      |   |  |  |      |  
|------------------------------------------- |  | ---- | ---- | ---- |  | ---- | ---- | - |  |  | ---- | -
|Table 12.1                                  |  |      |      |      |  |      |      |   |  |  |      |  
|Weighted average                            |  | 2002 |      | 2001 |  | 2000
|Discount rate                               |  |      | 3.85 | %    |  |      | 4.30 | % |  |  | 4.39 | %
|Expected long-term rate of return on assets |  |      | 6.00 | %    |  |      | 5.25 | % |  |  | 5.25 | %
|Future salary increases                     |  |      | 2.16 | %    |  |      | 2.57 | % |  |  | 2.65 | %
|Future pension increases                    |  |      | 0.91 | %    |  |      | 1.36 | % |  |  | 1.37 | %

|                                               |  |      |       |      |  |      |       |  |  |  |      | 
|---------------------------------------------- |  | ---- | ----- | ---- |  | ---- | ----- |  |  |  | ---- | 
|Table 12.2                                     |  |      |       |      |  |      |       |  |  |  |      | 
|(US$ million)                                  |  |      |       |      |  |      |       |  |  |  |      | 
|                                               |  | 2002 |       | 2001 |  | 2000
|                                               |  |      |       |      |  |     
|Projected benefit obligation                   |  |      |       |      |  |      |       |  |  |  |      | 
|Projected benefit obligation as of January 1   |  |      | 43.6  |      |  |      | 42.4  |  |  |  | 41.7 | 
|Service cost                                   |  |      | 5.0   |      |  |      | 2.9   |  |  |  | 2.7  | 
|Interest cost                                  |  |      | 2.1   |      |  |      | 1.8   |  |  |  | 1.7  | 
|Plan amendments                                |  |      |      |      |  |      | 1.6  |  |  |  |     | 
|Actuarial losses (gains)                       |  |      | 4.5   |      |  |      | 0.2  |  |  |  | 2.4 | 
|Foreign currency translation effects           |  |      | 9.8   |      |  |      | 1.4  |  |  |  | 0.7  | 
|Benefits paid                                  |  |      | 0.1  |      |  |      | 0.3  |  |  |  | 2.0 | 
|                                               |  |      |       |      |  |      |       |  |  |  |      | 
|Projected benefit obligation as of December 31 |  |      | 64.9  |      |  |      | 43.6  |  |  |  | 42.4 | 
|                                               |  |      |       |      |  |      |       |  |  |  |      | 
|Fair value of plan assets                      |  |      |       |      |  |      |       |  |  |  |      | 
|Fair value of plan assets as of January 1      |  |      | 23.6  |      |  |      | 32.5  |  |  |  | 30.0 | 
|Actual return on plan assets                   |  |      | 0.9  |      |  |      | 1.7  |  |  |  | 1.5  | 
|Employee contributions                         |  |      | 1.8   |      |  |      | 1.1   |  |  |  | 1.0  | 
|Employer contributions                         |  |      | 5.9   |      |  |      | 2.6   |  |  |  | 2.2  | 
|Net transfer adjustment from the Transactions  |  |      |      |      |  |      | 9.5  |  |  |  |     | 
|Foreign currency translation effects           |  |      | 5.3   |      |  |      | 1.1  |  |  |  | 0.2 | 
|Benefits paid                                  |  |      | 0.1  |      |  |      | 0.3  |  |  |  | 2.0 | 
|                                               |  |      |       |      |  |      |       |  |  |  |      | 
|Fair value of plan assets as of December 31    |  |      | 35.6  |      |  |      | 23.6  |  |  |  | 32.5 | 
|                                               |  |      |       |      |  |      |       |  |  |  |      | 
|Funded status                                  |  |      |       |      |  |      |       |  |  |  |      | 
|Funded status                                  |  |      | 29.3 |      |  |      | 20.0 |  |  |  | 9.9 | 
|Unrecognized transition obligation             |  |      | 2.8   |      |  |      | 1.0   |  |  |  | 1.5  | 
|Unrecognized net actuarial losses (gains)      |  |      | 8.2   |      |  |      | 2.0   |  |  |  | 1.3 | 
|Unrecognized prior service cost                |  |      | 1.7  |      |  |      | 1.6  |  |  |  |     | 
|Additional plan liabilities                    |  |      | 1.1  |      |  |      |      |  |  |  |     | 
|                                               |  |      |       |      |  |      |       |  |  |  |      | 
|Accrued benefit liability                      |  |      | 21.1 |      |  |      | 18.6 |  |  |  | 9.7 | 
|                                               |  |      |       |      |  |      |       |  |  |  |      | 
|Amounts recognized in the balance sheet        |  |      |       |      |  |      |       |  |  |  |      | 
|Accrued benefit liability                      |  |      | 21.1 |      |  |      | 18.6 |  |  |  | 9.7 | 

|                                      |  |      |      |      |  |      |      |  |  |  |      | 
|------------------------------------- |  | ---- | ---- | ---- |  | ---- | ---- |  |  |  | ---- | 
|Table 12.3                            |  |      |      |      |  |      |      |  |  |  |      | 
|Net periodic benefit expense          |  |      |      |      |  |      |      |  |  |  |      | 
|For the years ended December 31       |  |      |      |      |  |      |      |  |  |  |      | 
|(US$ million)                         |  | 2002 |      | 2001 |  | 2000
|                                      |  |      |      |      |  |     
|Service cost                          |  |      | 5.0  |      |  |      | 2.9  |  |  |  | 2.7  | 
|Interest cost                         |  |      | 2.1  |      |  |      | 1.8  |  |  |  | 1.7  | 
|Expected return on plan assets        |  |      | 1.7 |      |  |      | 1.7 |  |  |  | 1.0 | 
|Employee contributions                |  |      | 1.8 |      |  |      | 1.1 |  |  |  | 1.0 | 
|Amortization of transition obligation |  |      | 0.5  |      |  |      | 0.5  |  |  |  | 0.5  | 
|Amortization of past service cost     |  |      | 0.2 |      |  |      |     |  |  |  |     | 
|                                      |  |      |      |      |  |      |      |  |  |  |      | 
|Net periodic benefit expense          |  |      | 3.9  |      |  |      | 2.4  |  |  |  | 2.9  | 
|                                      |  |      |      |      |  |      |      |  |  |  |      | 

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                              |  |      |       |      |  |      |       |  |  |  |      | 
|--------------------------------------------- |  | ---- | ----- | ---- |  | ---- | ----- |  |  |  | ---- | 
|Table 12.4                                    |  |      |       |      |  |      |       |  |  |  |      | 
|Accrued benefit liability                     |  |      |       |      |  |     
|(US$ million)                                 |  |      |       |      |  |     
|As of December 31                             |  | 2002 |       | 2001 |  | 2000
|                                              |  |      |       |      |  |     
|Balance at January 1                          |  |      | 18.6 |      |  |      | 9.7  |  |  |  | 9.4 | 
|Current year expense                          |  |      | 3.9  |      |  |      | 2.4  |  |  |  | 2.9 | 
|Contributions paid                            |  |      | 5.9   |      |  |      | 2.6   |  |  |  | 2.2  | 
|Net transfer adjustment from the Transactions |  |      |      |      |  |      | 9.5  |  |  |  |     | 
|Foreign currency translation effects          |  |      | 3.4  |      |  |      | 0.4   |  |  |  | 0.4  | 
|Additional plan liabilities                   |  |      | 1.1  |      |  |      |      |  |  |  |     | 
|                                              |  |      |       |      |  |      |       |  |  |  |      | 
|Balance at December 31                        |  |      | 21.1 |      |  |      | 18.6 |  |  |  | 9.7 | 
|                                              |  |      |       |      |  |      |       |  |  |  |      | 

As part of the finalization of the Transactions in respect of employee
benefits, there was a transfer of pension fund assets and benefit
obligations from the Zurich Financial Services pension funds to the pension
fund of Converium Ltd. Under US GAAP, the net impact of this transfer
resulted in an increase in the liabilities of Converium Ltd to its pension
fund and a corresponding reduction of equity of US$ 9.5 million.

Converium Reinsurance (North America) Inc. sponsors various qualified
defined contribution plans. Substantially all employees of Converium
Reinsurance (North America) Inc. are eligible for participation in these
plans. The plans provide for voluntary contributions by employees, which
typically range from 0% to 25% of annual salaries up to a calendar year
maximum. Contributions by the employer are typically another 10% (matching
or otherwise). In addition, various supplemental, non-qualified deferred
compensation plans allow members of management to defer certain amounts of
compensation and receive specified contributions. Converium Reinsurance
(North America) Inc.s contributions under these plans amounted to US$ 2.8
million, US$ 2.4 million and US$ 1.8 million in 2002, 2001 and 2000,
respectively.

13.     Share compensation and incentive plans

Converium Group has various incentive and share-based compensation plans to
attract, retain and motivate management and employees, to reward them for
their contributions to the performance of Converium Group and encourage
employee share ownership.

(a)  Cash-based incentive plans

Various Converium Group entities operate short-term incentive programs for
executives, management and in some cases employees. Awards are made in cash
based on the accomplishment of both organizational and individual
performance objectives. The compensation expense incurred in 2002, 2001 and
2000 in connection with these plans was US$ 7.4 million, US$ 16.4 million
and US$ 7.8 million, respectively.

(b)  Converium Group share-based plans

Share-based compensation plans include all plans under which shares or
options to purchase shares are awarded. The grant of shares and options to
purchase shares in Converium Holding Ltd is at the discretion of the
Remuneration Committee of the Board of Directors. The most significant of
these plans are described below.

Employee Stock Purchase Plan

Converium Group adopted an Employee Stock Purchase Plan (the ESPP) on
January 1, 2002. The ESPP has two offering periods beginning January 1 and
July 1 of each year. Substantially all employees meeting specified service
requirements are eligible to participate in the ESPP. Participants may
contribute between 1% and 15% of base salary towards the purchase of
Converium Holding Ltd shares, up to certain limits. Employees who enroll in
the ESPP purchase Converium Holding Ltd shares at 85% of the lower of the
stocks fair market value on the first or last day of the offering period.

Share plan

Converium Group adopted a share plan (the Share Plan) for selected
executives. Generally, the size of a participants award is based on their
level of responsibility and position, market conditions and the extent of
the executives prior participation in other Converium Group plans. Under
the Share Plan, 29,732 shares and 21,099 shares were awarded to executives
in 2002 and 2001, respectively, and 2,863 shares and nil shares were
forfeited, respectively. These shares vest in their entirety after six
years and are subject to acceleration after three years based on the
achievement of certain performance objectives.

Retention awards and IPO share grant

In conjunction with the Transactions, Converium Group granted retention
awards to certain employees in the form of 355,432 shares in Converium
Holding Ltd, of which 161,449 shares vested in 2002, 35,908 shares were

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

forfeited during 2002, and 158,075 shares will vest in 2003. Employees other
than those who were granted retention awards received, in conjunction with the
Transactions, 120,370 shares in Converium Holding Ltd, of which 54,222 shares
vested in 2002, 11,345 and 426 shares were forfeited during 2002 and 2001,
respectively, and 54,377 shares will vest in 2003.

Stock option plan

Under the Stock Option Plan (the Stock Option Plan), certain employees were
awarded 420,785 options to purchase shares in Converium Holding Ltd in 2002.
The exercise prices were equal to the market value of the shares or ADSs on the
grant date. Of the options awarded under the Stock Option Plan, 25% vested
immediately on the grant dates of April 1, 2002 and October 1, 2002 and 25%
will vest each year thereafter. The options expire 10.5 years after the date of
grant.

During 2001, 312,329 options to purchase shares in Converium Holding Ltd were
awarded. The exercise prices were equal to the market value of the shares or
ADSs on the grant date. Of the options awarded under the Stock Option Plan,
25% vested immediately on the grant date of December 11, 2001, and 25% will
vest each year thereafter. The options expire 10.5 years after the date of
grant.

Executive IPO option plan

In connection with the Transactions, Converium Group granted certain executives
options to purchase shares in Converium Holding Ltd (the Executive IPO Option
Plan). Under the Executive IPO Option Plan, 420,000 options to purchase shares
in Converium Holding Ltd were awarded in 2001. The exercise prices were equal
to the market value of the shares or ADSs on the grant date. Of the options
awarded under the Executive IPO Option Plan, 25% vested immediately on the
grant date of December 11, 2001, and 25% will vest each year thereafter. The
options expire 10.5 years after the date of grant.

Table 13.1 summarizes the status of Converium Groups outstanding stock options
for 2002 and 2001.

|                                 |  |         |           |                |  |                  |       |                |   |  |         |                  |   |           |       | 
|-------------------------------- |  | ------- | --------- | -------------- |  | ---------------- | ----- | -------------- | - |  | ------- | ---------------- | - | --------- | ----- | 
|Table 13.1                       |  |         |           |                |  | 2002             |       |                |   |  |         | 2001            
|                                 |  |         |           |                |  | Weighted average |       |                |   |  |         | Weighted average
|                                 |  | Options |           | exercise price |  | Options          |       | exercise price
|                                 |  |         |           |                |  |                  |       |               
|                                 |  |         |           |                |  |                  |       |                |   |  |         |                  |   |           |       | 
|Outstanding at beginning of year |  |         | 732,329   |                |  | CHF 82.00        |       |                |  |  |         |                  |  |          
|Granted                          |  |         | 442,514   |                |  |                  | 74.66 |                |   |  | 732,329 |                  |   | CHF 82.00
|Exercised                        |  |         | 3,574    |                |  |                  | 78.85 |                |   |  |        |                  |   |           |      | 
|Forfeited                        |  |         | 55,845   |                |  |                  | 80.40 |                |   |  |        |                  |   |           |      | 
|                                 |  |         |           |                |  |                  |       |                |   |  |         |                  |   |           |       | 
|Outstanding at end of year       |  |         | 1,115,424 |                |  |                  | 79.28 |                |   |  | 732,329 |                  |   |           | 82.00 | 
|Options exercisable end of year  |  |         | 423,509   |                |  |                  | 80.47 |                |   |  | 183,082 |                  |   |           | 82.00 | 

The fair value of options granted was estimated on the date of grant using the
Black-Scholes option pricing model with the following weighted average
assumptions used for grants in 2002 and 2001, respectively: risk-free rate of
1.87% and 3.21%, expected lives of three years, expected volatility of 31.27%
and 32.67% and a dividend yield of 0.8% and 0.8%. The weighted average fair
value of Converium Group stock options granted for the years ended December 31,
2002 and 2001 were US$ 12.15 and US$ 12.08, respectively.

Table 13.2 summarizes information about stock options outstanding at December
31, 2002:

|                |  |             |           |                  |  |                     |      |             |  |                  |       |                     |        |  |         |           |  |  |       | 
|--------------- |  | ----------- | --------- | ---------------- |  | ------------------- | ---- | ----------- |  | ---------------- | ----- | ------------------- | ------ |  | ------- | --------- |  |  | ----- | 
|Table 13.2      |  |             |           |                  |  | Options outstanding |      |            
|                |  |             |           |                  |  | Weighted aver-      |      |             |  |                  |       | Options exercisable
|Range of        |  | Number      |           | age remaining    |  | Weighted average    |      | Number      |  | Weighted average
|exercise prices |  | outstanding |           | contractual life |  | exercise price      |      | Exercisable |  | exercise price  
|                |  |             |           |                  |  |                     |      |             |  |                 
|CHF 62.50       |  |             | 198,806   |                  |  |                     | 10.3 |             |  | CHF 62.50        |       |                     | 43,362 |  |         | CHF 62.50
|CHF 82.00-89.10 |  |             | 916,618   |                  |  |                     | 9.4  |             |  |                  | 82.92 |                     |        |  | 380,147 |           |  |  | 82.52 | 
|CHF 62.50-89.10 |  |             | 1,115,424 |                  |  |                     | 9.6  |             |  |                  | 79.28 |                     |        |  | 423,509 |           |  |  | 80.47 | 

(c)  Zurich Financial Services share-based plans

Prior to the Transactions, employees of Converium Group participated in various
share compensation and incentive plans of Zurich Financial Services. After the
Transactions, Converium Group established a number of independent share-based
plans for its employees and certain Zurich Financial Services share based plans
were converted into Converium Group shares and options.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Share plans

Certain Converium Group employees participated in long-term incentive plans
operated by Zurich Financial Services. The outstanding share awards to
Converium Group employees under the Zurich Financial Services long-term
performance share plans were converted into 209,790 shares of Converium Holding
Ltd, of which 83,531 shares vested in 2002, 24,636 shares were forfeited during
2002, and 101,623 shares vest in 2003.

Share option plans

Under the Global Share Option Plan, certain executives were awarded options
annually to purchase shares of Zurich Financial Services. The outstanding
options to purchase shares of Zurich Financial Services were converted into
14,769 options to purchase shares in Converium Holding Ltd. The expiration and
term of the Converium Holding Ltd options is the same as the options from
which they were converted.

(d)  Compensation expense

The compensation expense charged to income under both the Converium Group and
Zurich Financial Services share and share option plans was US$ 24.4 million,
US$ 11.0 million and US$ 0.8 million in 2002, 2001 and 2000, respectively.

14.     Shareholders equity

(a)  Issued share capital

Upon incorporation on June 19, 2001, Converium Holding Ltd had share capital of
CHF 100,000 divided into 10,000 fully paid registered shares with a nominal
value of CHF 10 each, all of which were entitled to receive dividends. On
September 24, 2001, the extraordinary general meeting of the shareholders
passed two resolutions to increase the ordinary share capital to CHF 400
million, divided into 40 million fully paid registered shares with a nominal
value of CHF 10 each, all of which are entitled to receive dividends.

(b)  Conditional share capital

Pursuant to Converium Holding Ltds Articles of Incorporation, share capital
can be increased by the issuance of a maximum of four million fully paid
registered shares of CHF 10 nominal value each, amounting to a maximum of CHF
40 million, in conjunction with Converium Groups obligations to employees and
members of the Board of Directors under various compensation plans. At
December 31, 2002 CHF 62,170 of the conditional share capital, or 6,217
ordinary shares have been exercised.

(c)  Dividend restrictions and capital and solvency requirements

Converium Holding Ltd is subject to legal restrictions on the amount of
dividends it may pay to its shareholders under the Swiss Code of Obligations.
The Swiss Code of Obligations provides that 5% of the annual profit must be
allocated to the general reserve until such reserve in the aggregate has
reached 20% of the paid-in share capital. Similarly, the company laws of
countries in which Converium Group entities operate may restrict the amount of
dividends payable by such entities to their parent companies.

Other than by operation of the restrictions mentioned above, the ability of
Converium Group entities to pay dividends may be restricted or, while dividend
payments per se may be legally permitted, may be indirectly influenced by
minimum capital and solvency requirements that are imposed by insurance, bank
and other regulators in the countries in which the entities operate as well as
by other limitations existing in certain of these countries (e.g. foreign
exchange control restrictions).

In Switzerland, insurance supervisory regulations require entities to fund
their statutory reserves at a minimum level of 20% of net profits until the
statutory reserve fund reaches an amount equal to 50%
of the statutory share capital, including freely disposable reserves, if any.
In the United States, restrictions on payment of dividends are imposed by the
Insurance Commissioner of the state of domicile. For Converium Reinsurance
(North America) Inc., dividends are payable only from earned surplus and are
limited annually to the greater of 10% of the previous years policyholders
surplus or 100% of the previous years statutory net income. Dividends paid in
excess of these limitations require prior approval of the Insurance
Commissioner of the state of domicile. In addition, Converium Reinsurance
(North America) Inc. may not, for a period of two years from the date of change
in control, make any dividend to its shareholders without the prior approval of
the Connecticut Commissioner. In Germany, the minimum amount of statutory
capital required is 10% of the nominal value of the common stock. If the 10%
criterion is met, dividends of 100% of current year surplus can be paid. If the
10% criterion is not met, dividends are limited to a maximum of 95% of current
year surplus less the prior year loss carryover. Under German law, an entitys
supervisory board has the authority to reclassify up to 100% of the current
year surplus to retained earnings, thereby not allowing dividends to be
calculated on this amount.

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##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Converium Ltd may pay a maximum dividend, net of withholding tax, to Converium
Holding Ltd without regulatory approval of approximately US$ 192.1 million as
of December 31, 2002. The maximum dividend that Converium Holding Ltd is able
to pay in 2003, before withholding tax, is approximately US$ 192.9 million as
of December 31, 2002.

Statutory capital and surplus for Converium Ltd was CHF 2,524.1 million at
December 31, 2001, the date of its most recent statutory report. This amount
includes its holdings in Converium Reinsurance (North America) Inc. and
Converium Rückversicherung (Deutschland) AG, which had aggregate statutory
capital and surplus of approximately US$ 738.7 million at December 31, 2002,
computed under local statutory accounting principles. As of December 31, 2002,
Converium Groups entities were in compliance with all applicable regulatory
capital adequacy requirements.

15. Transactions with Zurich Financial Services

Converium Group has entered into various transactions with Zurich Financial
Services and its subsidiaries, the most significant of which are described
below.

Converium Group utilizes Zurich Financial Services affiliates as fronting
vehicles. For example, Zurich American Insurance Company fronts Converium Group
for the USAIG aviation pool. Eagle Star Insurance Company Limited fronts
Converium Group for the Global Aerospace Underwriting Managers Pool.
Additionally, beginning in 2001, Zurich Specialties London Ltd fronts Converium
Group for the SATEC space pool. Gross assumed premiums under all of these
transactions were US$ 120.4 million, US$ 44.0 million and US$ 35.8 million for
2002, 2001 and 2000, respectively.

During 2000, Converium Group entered into a significant modified life
coinsurance agreement to assume certain assets and liabilities of Zurich
International, Bermuda Branch. The quota share on these deposits and deposit
liabilities totaled US$ 430.3 million as of December 31, 2002 and 2001 and are
presented net on the balance sheet. The contract can be cancelled and withdrawn
after five years.

Converium Reinsurance (North America) Inc. had an intra-Converium aggregate
excess of loss reinsurance agreement in place since July 1, 1997 (1997
Aggregate Excess of Loss Agreement). This agreement provided protection to
Converium Reinsurance (North America) Inc. for losses that exceeded a net
retention after amounts recoverable from its outside retrocessionaires. Because
the 1997 Aggregate Excess of Loss Agreement pre-dated the Transactions, ZIC was
the formal counterparty to Converium Reinsurance (North America) Inc. In
October 2001, the 1997 Aggregate Excess of Loss Agreement was amended as
follows:



| |  | Converium Reinsurance (North America) Inc.s coverage for net losses of
US$ 320.4 million with respect to all Amerisafe business retroceded to
the Unicover Pool remains in effect, with ZIC as counterparty,
|- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| 
| |  | Converium Reinsurance (North America) Inc.s coverage for net losses of US$
307.5 million from the September 11th terrorist attacks that exceed US$ 58.2
million remains in effect, with ZIC as counterparty,
| 
| |  | the remainder of the
coverage under the agreement is commuted.                                                                                                                                               

See Notes 3, 6, 8, 9, 11, 12, 13, 16, 17 and 19 for other transactions with
Zurich Financial Services.

16.     Related party transactions

There were no unpaid loans, including guarantee commitments, granted to the
Converium Group directors and members of the Converium Group Executive
Committee as of December 31, 2002.

In May 2000, Converium Group entered into a strategic alliance with the
Medical Defence Union that resulted in a 49.9% participation in MDU Services
Ltd. MDU Services Ltd distributes medical malpractice insurance policies to
the members of the Medical Defence Union that are issued by Zurich Financial
Services entities, and are 100% reinsured by Converium Group. Gross assumed
premiums under this transaction were US$ 140.0 million, US$ 57.0 million and
US$ 30.2 million for 2002, 2001 and 2000, respectively.

In 2001, Converium acquired a 40% participation in SATEC, a leading global
space underwriting agency based in Venice, Italy. This participation was
increased to 48% in 2002. Gross assumed premiums through the pool managed by
SATEC were US$ 5.0 million and US$ 3.2 million for 2002 and 2001,
respectively.

In November 2002, Converium signed an agreement to take a 25% shareholding in
Global Aerospace Underwriting Managers Limited (GAUM), a leading international
aviation managing underwriting agent, and agreed to become a member of the
pools managed by it with a 25% share, commencing January 1, 2003. Completion
of the acquisition is subject to various regulatory approvals.

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

17. Supplemental cash flow disclosures

Significant non-cash financing activity included a net transfer to Zurich
Financial Services of US$ 94.0 million in 2000.

Beginning in 2002, the change in the Funds Withheld Asset is reported as a
component of cash provided by operating activities, as movements in its balance
consist solely of operating activities subsequent to the Transactions.

|                                   |  |      |       |      |  |      |       |  |  |  |       | 
|---------------------------------- |  | ---- | ----- | ---- |  | ---- | ----- |  |  |  | ----- | 
|Table 17.1                         |  |      |       |      |  |      |       |  |  |  |       | 
|                                   |  |      |       |      |  |      |       |  |  |  |       | 
|Supplemental cash flow disclosures |  |      |       |      |  |      |       | 
|                                   |  |      |       |      |  |      |       | 
|(US$ million)                      |  | 2002 |       | 2001 |  | 2000
|                                   |  |      |       |      |  |     
|Income taxes paid                  |  |      | 2.3  |      |  |      | 46.4 |  |  |  | 46.7 | 
|Interest expense paid              |  |      | 16.4 |      |  |      | 22.1 |  |  |  | 17.1 | 

18. Fair value of financial instruments

The methods and assumptions used by Converium Group in estimating the fair
value of financial instruments are:



| |  | fixed maturities securities: fair values are generally based upon quoted
market prices. Where market prices are not readily available, fair values are
estimated using either values obtained from independent pricing services or
quoted market prices of comparable investments.
|- |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| 
| |  | equity securities: fair values are based on quoted market prices.                                                                                                                                                                                                                 
| 
| |  | Funds Withheld Asset: carrying value of the Funds Withheld Asset approximates fair value.                                                                                                                                                                                         
| 
| |  | other investments for which quoted market prices are not readily available,
are not fair valued and are not significant to Converium Group.                                                                                                                                       
| 
| |  | cash and short-term investments: carrying amounts
approximate fair value.                                                                                                                                                                                                         
| 
| |  | debt: fair values are
generally based upon quoted market prices.                                                                                                                                                                                                                  

Table 18.1lists the estimated fair values and carrying values of Converium
Groups financial instruments as of December 31, 2002 and 2001.

|                                          |  |       |         |          |  |       |         |          |  |  |         |  |  |  |         | 
|----------------------------------------- |  | ----- | ------- | -------- |  | ----- | ------- | -------- |  |  | ------- |  |  |  | ------- | 
|Table 18.1                                |  | Total |         | Total    |  | Total |         | Total   
|Fair value of financial instruments       |  | fair  |         | carrying |  | fair  |         | carrying
|(US$ million)                             |  | value |         | value    |  | value |         | value   
|                                          |  | 2002  |         | 2002     |  | 2001  |         | 2001    
|                                          |  |       |         |          |  |       |         |         
|Fixed maturities                          |  |       | 3,443.1 |          |  |       | 3,443.1 |          |  |  | 2,331.4 |  |  |  | 2,331.4 | 
|Equity securities                         |  |       | 530.8   |          |  |       | 530.8   |          |  |  | 701.4   |  |  |  | 701.4   | 
|Other investments (excluding real estate) |  |       | 9.4     |          |  |       | 9.4     |          |  |  | 51.8    |  |  |  | 51.8    | 
|Short-term investments                    |  |       | 318.0   |          |  |       | 318.0   |          |  |  | 89.5    |  |  |  | 89.5    | 
|Funds Withheld Asset                      |  |       | 1,648.1 |          |  |       | 1,648.1 |          |  |  | 1,598.5 |  |  |  | 1,598.5 | 
|Cash and cash equivalents                 |  |       | 361.5   |          |  |       | 361.5   |          |  |  | 420.5   |  |  |  | 420.5   | 
|Debt                                      |  |       | 375.1  |          |  |       | 390.4  |          |  |  | 194.1  |  |  |  | 197.0  | 

19. Commitments and contingencies

Converium Group has provided guarantees or commitments to external parties.
These arrangements include commitments under certain conditions to make capital
contributions, or
provide equity financing. Converium Groups guarantees were US$ 50.0 million as
of December 31, 2002. Converium knows of no event that would require it to
satisfy these guarantees.

To secure certain assumed reinsurance contracts, irrevocable letters of credit
of US$ 372.4 million were outstanding at December 31, 2002. Investments of US$
266.4 million are pledged as collateral related to certain of these letters of
credit. A parental guarantee of US$ 120.0 million has been issued related to
certain of these letters of credit. See Note 22 for additional information on
guarantees.

Converium Group has entered into various operating leases as lessee for office
space and certain computer and other equipment. Rental expenses for these
items totaled US$ 14.8 million, US$ 10.8 million and US$ 10.3 million for the
years ending December 31, 2002, 2001 and 2000, respectively.

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Table 19.1 lists minimum future payments under operating leases with terms in excess of one year.

|                                               |  |          |      | 
|---------------------------------------------- |  | -------- | ---- | 
|Table 19.1                                     |  |          |      | 
|Minimum future payments under operating leases |  | Rental  
|(US$ million)                                  |  | payments
|                                               |  |         
|2003                                           |  |          | 11.9 | 
|2004                                           |  |          | 11.5 | 
|2005                                           |  |          | 11.2 | 
|2006                                           |  |          | 11.1 | 
|2007                                           |  |          | 11.1 | 
|2008 and thereafter                            |  |          | 34.2 | 
|Total                                          |  |          |      | 
|Total                                          |  |          | 91.0 | 
|Total                                          |  |          |      | 

Converium Ltd leases office space from Zurich Financial Services. The lease
term is fixed until 2006, with two renewal options for three-year terms each.
The lease payments are fixed with annual rent escalations based on a cost of
living index. Converium Rückversicherung (Deutschland) AG leases office space
from Zurich Financial Services. The lease term is for a period of ten years,
with an option to renew for up to two additional ten-year terms. The lease
payments are fixed through 2003 with bi-annual rent escalations based on
changes in local real estate price indices.

Converium Reinsurance (North America) Inc. entered into a sublease with ZC
Resource LLC (ZC Resource), a subsidiary of Zurich Financial Services in July
2001. The sublease has a term of approximately eleven years, ending in 2012. As
part of the Transactions, Converium Reinsurance (North America) Inc. entered
into an agreement to indemnify Global Asset Holdings Limited (GAHL) (an
indirect parent of ZC Resource and a co-guarantor of the prime lease) for
losses under the prime lease or the guaranty caused by Converium Reinsurance
(North America) Inc.s default under the sublease that results in a default
under the prime lease; GAHL, in turn, will indemnify Converium Reinsurance
(North America) Inc. for any losses under the guaranty caused by a default by
ZC Resource under the prime lease. Centre Insurance Company, a subsidiary of
Zurich Financial Services, will guaranty the punctual payment of all amounts
due by GAHL under the guaranty and all expenses incurred by Converium
Reinsurance (North America) Inc. enforcing the guaranty.

Converium Holding Ltd and its subsidiaries are continuously involved in other
legal proceedings, claims and litigation arising, for the most part, in the
ordinary course of its business operations as a reinsurer. The outcome of such
current legal proceedings, claims and litigation could have a material effect
on operating results or cash flows when resolved in a future period. However,
in the opinion of management these matters are not material to Converium
Groups financial position, with the exception of the matters described below:

Unicover Litigation

The Seattle, Washington litigation and the New York Supreme Court litigation
among Converium Reinsurance (North America) Inc., (CRNA), the members of the
Unicover Occupational Accident Reinsurance Pool (the Pool), Guy Carpenter &
Company Inc. (Guy Carpenter) and Cragwood Managers, LLC have been settled. On
the basis of this settlement and the aggregate excess of loss protection from
Zurich Insurance Company (see Notes 9 and 15), CRNA believes that it is fully
protected through reinsurance agreements for all potential liability in respect
of cessions assumed by CRNA from Amerisafe.

The March 2001 litigation initiated by Amerisafe against CRNA, Guy Carpenter
and Zurich Financial Services Group (ZFS) in the United States District Court
for the Western District of Louisiana is scheduled for trial in August 2003.
ZFS has been dismissed from the suit, and documentary and
deposition discovery is proceeding. Amerisafe contends that CRNA acted in bad
faith in making certain loss payments pursuant to a reservation of rights and
in initiating an arbitration and naming Amerisafe as a party in the Seattle,
Washington litigation referred to above. Amerisafe seeks damages in an unstated
amount. CRNA has moved for dismissal/summary judgment on the merits, which
motion was denied. CRNA has counterclaimed against Amerisafe seeking damages
and/or avoidance of future losses on the basis that Amerisafe failed to adhere
to underwriting guidelines. Based on the limited amount of information
available to date, we are unable to predict CRNAs chances of prevailing in
this action. On the basis of the aggregate excess of loss protection from
Zurich Insurance Company (see Notes 9 and 15), CRNA believes that it is fully
protected through reinsurance agreements for all potential liability in respect
of any judgment or settlement of this action. In addition, as part of the
settlement of the Seattle, Washington action, the members of the Pool agreed to
indemnify CRNA for 62% of up to US$ 5 million in legal expenses incurred in
connection with this litigation; this indemnity does not apply to any amounts
which may be paid to Amerisafe pursuant to a judgment or settlement.

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

Since late fall of 2000, CRNA has received a series of inquires from the
Louisiana Department of Insurance (LDI) investigating CRNAs disputes with
Amerisafe in response to a complaint filed by Amerisafe. We believe we have
fully and completely responded to all such inquires and the LDI has taken no
action against CRNA. The last inquiry to which CRNA responded was received in
August 2002, and since then CRNA has heard nothing further from the LDI.

Superior National Matters

After the purchase by Centre Solutions Holdings (Delaware) Limited, a
subsidiary of Zurich Financial Services, of Centre Insurance Company, or CIC,
from the Superior National Insurance Group, Inc., or SNIG, in December 1998,
CIC was a ceding insurance carrier for certain SNIG subsidiaries with respect
to workers compensation insurance in California and other U.S. states. Under
certain contracts, various SNIG-related entities provided CIC with policy
administration, claims administration and reinsurance with respect to the ceded
business. Pursuant to a Partial Commutation and Settlement Agreement dated
December 31, 1999, which we refer to as the CIC Agreement, CIC received
approximately US$ 163 million of securities from a statutory deposit account
maintained by California Compensation Insurance Company, or CalComp, and
approximately US$ 22 million of cash from insurance company subsidiaries. Under
the CIC Agreement, among other things, CIC provided a release to CalComp and
Superior National Insurance Company from any liability of up to US$ 180 million
under the SNIG subsidiaries reinsurance of ceded business placed with CIC.

On or about March 6, 2000, the California Insurance Commissioner placed SNIGs
insurance subsidiaries in conservation. On September 26, 2000, the court placed
these companies in liquidation and named the California Insurance Commissioner,
referred to herein as the Commissioner, as liquidator of those entities,
referred to as the Superior National Insurance Companies in Liquidation, or
SNICIL. The remaining SNIG entities filed voluntary petitions for relief under
Chapter 11 of the United States Bankruptcy Code in April 2000.

On January 16, 2002, the Commissioner filed a complaint against CIC and
affiliates, as well as CRNA and Converium Insurance (North America) Inc.
(CINA), on behalf of SNICIL, in a proceeding in the Superior Court of the
State of California, County of Los Angeles. The complaint alleges several
counts, including voidable preferences and fraudulent transfers, seeking the
recovery of transfers totaling US$ 202.9 million, damages for breach of
contract in the amount of US$ 59.8 million, additional damages in an amount to
be proved at trial, and punitive damages. The overwhelming bulk of the damages
sought appear to arise out of CIC transactions, not CRNA or CINA transactions.
As part of the Transactions, Zurich Financial Services has agreed to indemnify
Converium for liabilities arising out of or related to the assets not assumed
by or transferred to Converium in the separation from Zurich Financial
Services. The principal claim brought against CRNA appears to arise from CRNAs
commutation of certain reinsurance obligations. In that connection, however,
while the Complaint does in fact reference the commutation, the payment
involved was a commutation payment made by CRNA, not to CRNA. The liquidator,
however, is apparently claiming that the amount paid by CRNA was inadequate
consideration for the reinsurance obligations commuted and thus, this
commutation constituted a fraudulent transfer. The liquidators pending
complaint in the SNICIL action does not assign a value to the reinsurance
obligations that were commuted, repeatedly stating that their value is
undetermined, however, he has indicated that he may seek to recover some
portion of the difference between the amount paid by CRNA (US$ 17.8 million)
and the amount purportedly owed under the commuted reinsurance contracts
(informally asserted by certain counsel for the liquidator to be approximately
US$ 41 million with no further clarification as to the basis for this amount).
CRNA has demurred to the Complaint, however, that demurrer has not yet been
heard. CRNA and CINA intend to defend this litigation vigorously and to assert
various setoffs. Based on the limited information available to date, we are
unable to predict CRNAs and CINAs chances of prevailing in this action. While
Converium believes that it has a strong case, at this stage of the proceedings
it is not possible to make any determination regarding the potential outcome of
the arbitration.

US Life Insurance Co. Arbitration

On November 29, 1999, US Life Insurance Company (US Life) initiated an
arbitration proceeding against SNICIL, ZC Insurance Company, now known as
Converium Insurance (North America) Inc., and CIC. US Life seeks to rescind a
multi-year quota share reinsurance contract effective May 1, 1998 on the basis
that material misrepresentations and omissions were made in procuring that
contract. Inception-to-date amounts ceded to the contract through December 31,
2002 are US$ 54.0 million premiums earned, US$ 18.1 million commissions earned
and US$ 110.8 million losses incurred. All discovery in this matter closed on
November 15, 2002, and arbitration hearings commenced on December 9, 2002 for a
two week period. Hearings resumed for another two-week period starting January
13, 2003. The arbitration has not concluded at this time and the arbitrators
have advised that additional dates necessary to conclude the matter likely will
not be available until 2004. Based on the limited information available to
date, we are unable to predict CINAs chances of prevailing in this action.
While Converium believes that it has a strong case against US Life for full
reinsurance coverage in accordance with the contract, at this stage of the
proceedings it is not possible to make any determination regarding the
potential outcome of the arbitration.

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

All American Life Insurance Company Arbitration

On December 23, 2002, CRNA and CINA initiated an arbitration against All
American Life Insurance Company (All American). The dispute arises from a
quota share reinsurance contract provided by All American. Because All American
has failed and refused to make payments under the quota share contract, CRNA
and CINA demanded arbitration to collect all outstanding balances due under the
contract. All American has not indicated a definitive reason for their
non-payment of losses. Inception-to-date amounts ceded to the contract through
December 31, 2002 are US$ 41.1 million premiums earned, US$ 14.2 million
commissions earned and US$ 62.5 million losses incurred. As of this date, the
parties have not yet appointed arbitrators in this matter. Based on the limited
information available to date, we are unable to predict CRNAs and CINAs
chances of prevailing in this action. While Converium believes that it has a
strong case against All American for full reinsurance coverage in accordance
with the contract, at this stage of the proceedings it is not possible to make
any determination regarding the potential outcome of the arbitration.

Continental Casualty Company Arbitration

On December 16, 2002, Continental Casualty Company (Continental) and CRNA
served cross demands for arbitration on each other. The dispute arises from a
retrocessional contract pursuant to which Continental reinsured CRNA for 50% of
the accident and health exposures CRNA assumed from a third-party insurer
pursuant to a reinsurance agreement. In October 2002, Continental advised CRNA
that it had identified issues concerning the third-party insurer business that
Continental believes might give rise to defenses under the reinsurance
agreement. CRNA offered to permit Continental to assert those defenses directly
against the third-party insurer and, in addition, advised Continental that, if
Continental did not agree to do so, CRNA would conduct its own investigation
with respect to the putative defenses identified by Continental. However,
Continental instead asserted that CRNA has somehow breached a duty of utmost
good faith to Continental, which justifies rescission of the retrocessional
contract. At arbitration, CRNA is seeking enforcement of the retrocessional
contract and Continental is seeking rescission of the same contract.
Inception-to-date amounts ceded to the contract through December 31, 2002 are
US$ 20.8 million premiums earned, no commissions earned and US$ 53.4 million
losses incurred. The parties have each selected their party-appointed
arbitrators and the arbitrators are in the process of selecting an umpire.
Based on the limited information available to date, we are unable to predict
CRNAs chances of prevailing in this action. While Converium believes that it
has a strong case against Continental for full reinsurance coverage in
accordance with the contract, at this stage of the proceedings it is not
possible to make any determination regarding the potential outcome of the
arbitration.

Canada Life

On December 21, 2001, The Canada Life Assurance Company, Toronto (Canada
Life), brought action against Converium Rückversicherung (Deutschland) AG in
the U.S. District Court of the Southern District of New York. Canada Life
alleged that Converium breached certain quota share retrocession agreements
with Canada Life by failing to indemnify its full percentage of Canada Lifes
September 11th losses and by failing to post an US$ 82.4 million letter of
credit for its liability pursuant to the ISA facilities underlying
agreements. Converium is disputing this claim on the grounds that its
liability under the pertinent contracts is limited and is also raising other
contracts defenses. In its decision of April 11, 2002, the U.S. District Court
of the Southern District of New York dismissed Canada Lifes action, ruling
that The Air Transportation Safety and System Stabilization Act, which Canada
Life claimed to give the court jurisdiction over the subject matter, is not
applicable. The court ruled that the Act applies broadly to the actions filed
by individual victims of the September 11th attacks but does not apply to
disputes among reinsurers. As a result of this decision, Converium sent Canada
Life a request to arbitrate.

Converium has fully reserved this matter. However, arrangements entered into
with Zurich Financial Services provide for this matter to be covered by the
agreed-to cap for September 11th related
losses provided to Converium by Zurich Financial Services in conjunction with
Converiums global offering.

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Converium Group
Notes to the consolidated and historical combined financial statements
(continued)

20. Consolidated entities

A list of operating entities and other important holdings, together with the
country of incorporation, Converium Groups ownership interest and the share
capital of each entity, is set out below.

|                                            |  |               |  |             |       |         |  |      |  |  |             |  |  |  |  | 
|------------------------------------------- |  | ------------- |  | ----------- | ----- | ------- |  | ---- |  |  | ----------- |  |  |  |  | 
|                                            |  | Country of    |  | % of equity |       | Share  
|Entity                                      |  | incorporation |  | shares held |       | capital
|                                            |  |               |  |             |       |        
|Converium Rückversicherung (Deutschland) AG |  | Germany       |  |             | 98.63 |         |  | Euro |  |  | 4,601,627   | 
|Converium Finance S.A.                      |  | Luxembourg    |  |             | 100   |         |  | Euro |  |  | 31,000      | 
|Converium Holding Ltd                       |  | Switzerland   |  |             | 100   |         |  | CHF  |  |  | 400,062,170 | 
|Converium Ltd                               |  | Switzerland   |  |             | 100   |         |  | CHF  |  |  | 400,000,000 | 
|Converium Holdings (North America) Inc.     |  | US            |  |             | 100   |         |  | USD  |  |  | 1           | 
|Converium Reinsurance (North America) Inc.  |  | US            |  |             | 100   |         |  | USD  |  |  | 3,500,000   | 
|Converium Insurance (North America) Inc.    |  | US            |  |             | 100   |         |  | USD  |  |  | 5,000,000   | 
|Converium Holding (UK) Ltd                  |  | UK            |  |             | 100   |         |  | GBP  |  |  | 101         | 
|Converium (UK) Ltd                          |  | UK            |  |             | 100   |         |  | GBP  |  |  | 1           | 
|Converium Representatives Ltd               |  | UK            |  |             | 100   |         |  | GBP  |  |  | 1,000       | 
|Converium Underwriting Ltd                  |  | UK            |  |             | 100   |         |  | GBP  |  |  | 2           | 

Converiums interest in Converium Rückversicherung (Deutschland) AG increased
to 100% in January 2003.

Converiums interest in HVAG Hamburger Versicherungs-Aktiengesellschaft was
sold for approximately US$ 0.7 million in January 2003.

21.     Earnings per share

The following table shows the average shares outstanding:

For the years ended December 31

|                                           |  |      |        |      |  |      |        |  |  |  |        | 
|------------------------------------------ |  | ---- | ------ | ---- |  | ---- | ------ |  |  |  | ------ | 
|                                           |  | 2002 |        | 2001 |  | 2000
|                                           |  |      |        |      |  |     
|Average shares outstanding (000s)         |  |      | 39,911 |      |  |      | 40,000 |  |  |  | 40,000 | 
|Average diluted shares outstanding (000s) |  |      | 40,483 |      |  |      | 40,000 |  |  |  | 40,000 | 

Earnings per share data for 2001 and 2000 is calculated based on 40 million
registered shares of Converium Holding Ltd issued and outstanding as of
December 31, 2001 as if these shares were outstanding for the years ended
December 31, 2001 and 2000. Diluted earnings per share data is computed similar
to basic earnings per share data except that the weighted average shares
outstanding is increased to include potential common shares, such as shares
from non-vested stock grants and the assumed exercise of stock options, if
dilutive.

22.     Subsidiary issuer information

Presented below are the consolidating balance sheets of Converium Holding Ltd
(the parent guarantor), Converium Ltd (the subsidiary guarantor) (together
the guarantor companies), and Converium Finance S.A. (the subsidiary
issuer), for whom the Guaranteed Subordinated Notes are guaranteed, as of
December 31, 2002 and 2001 and the related condensed consolidating statements
of income and condensed consolidating statements of cash flows for each of the
three years in the period ended December 31, 2002. The subsidiary issuer and
subsidiary guarantor are direct, wholly-owned subsidiaries of the parent
guarantor.

Investments in subsidiaries are accounted for by the guarantor companies under
the equity method for purposes of supplemental consolidating presentation as
of the effective date of the acquisition. Earnings of subsidiaries are
reflected in the investment accounts of the guarantor companies as of the
effective date of the acquisition. The guarantor companies have jointly and
severally guaranteed payments by the subsidiary issuer on these notes.

Information for the parent guarantor and the subsidiary issuer is only included
from the date of formation.

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Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                                             |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|------------------------------------------------------------ |  | --------- | ----- | --------- |  | ------- | -------- | --------- |  | ------------- | ---- | ------------ |  |  | -------- |  |  |  | ----- |  |  |  | -------- | 
|Condensed consolidating                                      |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Statements of income                                         |  | Converium |       |           |  |         |          | Converium |  | Non-          |      |              |  |  |          |  |  | 
|(US$ million)                                                |  | Holding   |       | Converium |  | Finance |          | Guarantor |  | Consolidating |      |              |  | 
|Year ended December 31, 2002                                 |  | Ltd       |       | Ltd       |  | S.A.    |          | Entities  |  | Adjustments   |      | Consolidated
|                                                             |  |           |       |           |  |         |          |           |  |               |      |             
|Revenues                                                     |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Net premiums written                                         |  |           |      |           |  |         | 1,829.6  |           |  |               |     |              |  |  | 1,492.6  |  |  |  |      |  |  |  | 3,322.2  | 
|                                                            
|Net premiums earned                                          |  |           |      |           |  |         | 1,622.4  |           |  |               |     |              |  |  | 1,543.1  |  |  |  |      |  |  |  | 3,165.5  | 
|Net investment income                                        |  |           | 12.6  |           |  |         | 117.0    |           |  |               | 0.1  |              |  |  | 135.8    |  |  |  | 13.7 |  |  |  | 251.8    | 
|Net realized capital (losses) gains                          |  |           |      |           |  |         | 13.9    |           |  |               |     |              |  |  | 3.6      |  |  |  |      |  |  |  | 10.3    | 
|Other (loss) income                                          |  |           | 0.5  |           |  |         | 11.9     |           |  |               |     |              |  |  | 2.5     |  |  |  | 10.1 |  |  |  | 1.2     | 
|                                                             |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Total revenues                                               |  |           | 12.1  |           |  |         | 1,737.4  |           |  |               | 0.1  |              |  |  | 1,680.0  |  |  |  | 23.8 |  |  |  | 3,405.8  | 
|Benefits, losses and expenses                                |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Losses and loss adjustment
expenses and life benefits        |  |           |      |           |  |         | 1,178.7 |           |  |               |     |              |  |  | 1,313.3 |  |  |  |      |  |  |  | 2,492.0 | 
|Underwriting acquisition costs                               |  |           |      |           |  |         | 291.0   |           |  |               |     |              |  |  | 375.7   |  |  |  |      |  |  |  | 666.7   | 
|Other operating and
administration expenses                  |  |           | 20.7  |           |  |         | 98.6    |           |  |               | 0.2  |              |  |  | 95.6    |  |  |  |      |  |  |  | 173.3   | 
|Interest expense                                             |  |           | 10.7 |           |  |         | 1.2     |           |  |               | 0.3 |              |  |  | 28.0    |  |  |  | 23.8  |  |  |  | 16.4    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Total benefits, losses
and expenses                          |  |           | 10.0  |           |  |         | 1,569.5 |           |  |               | 0.1 |              |  |  | 1,812.6 |  |  |  | 23.8  |  |  |  | 3,348.4 | 
|                                                             |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Income (loss) before taxes                                   |  |           | 22.1  |           |  |         | 167.9    |           |  |               |     |              |  |  | 132.6   |  |  |  |      |  |  |  | 57.4     | 
|Income tax (expense) benefit                                 |  |           | 2.2  |           |  |         | 0.5      |           |  |               |     |              |  |  | 51.1     |  |  |  |      |  |  |  | 49.4     | 
|                                                             |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Income (loss) before equity
in income (loss) of subsidiaries |  |           | 19.9  |           |  |         | 168.4    |           |  |               |     |              |  |  | 81.5    |  |  |  |      |  |  |  | 106.8    | 
|Equity in income (loss)
of subsidiaries                      |  |           | 86.9  |           |  |         | 81.5    |           |  |               |     |              |  |  |         |  |  |  | 5.4  |  |  |  |         | 
|                                                             |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 
|Net income (loss)                                            |  |           | 106.8 |           |  |         | 86.9     |           |  |               |     |              |  |  | 81.5    |  |  |  | 5.4  |  |  |  | 106.8    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |      |              |  |  |          |  |  |  |       |  |  |  |          | 

F-36



---



##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |         | 
|--------------------------------------------------- | ----------------- | --------- | ------- | --------- |  | ------- | ------- | --------- |  | ------------- | ----- | ------------ |  |  | ------- | ------- |  |  | -------- | - |  |  | -------- | ------- | 
|Consolidating                                       |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Balance sheets                                      |                   | Converium |         |           |  |         |         | Converium |  | Non-          |       |              |  |  |         |         |  | 
|(US$ million)                                       |                   | Holding   |         | Converium |  | Finance |         | Guarantor |  | Consolidating |       |              |  | 
|December 31, 2002                                   |                   | Ltd       |         | Ltd       |  | S.A.    |         | Entities  |  | Adjustments   |       | Consolidated
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |             
|Assets                                              |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Invested Assets                                     |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Available-for-sale securities:                      |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|                                                    | Fixed maturities  |           |         |          |  |         |         | 640.1     |  |               |       |             |  |  |         | 2,803.0 |  |  |          |  |  |  |          | 3,443.1 | 
|                                                    | Equity securities |           |         |          |  |         |         | 228.2     |  |               |       |             |  |  |         | 302.6   |  |  |          |  |  |  |          | 530.8   | 
|Investment in subsidiaries                          |                   |           | 1,684.3 |           |  |         | 838.4   |           |  |               |      |              |  |  |        |         |  |  | 2,522.7 |   |  |  |         |        
|Notes receivable                                    |                   |           | 150.0   |           |  |         |        |           |  |               | 150.0 |              |  |  |        |         |  |  | 300.0   |   |  |  |         |        
|Short-term and other investments                    |                   |           | 26.8    |           |  |         | 435.6   |           |  |               | 42.7  |              |  |  | 13.4    |         |  |  | 23.2    |   |  |  | 495.3    |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Total investments                                   |                   |           | 1,861.1 |           |  |         | 2,142.3 |           |  |               | 192.7 |              |  |  | 3,119.0 |         |  |  | 2,845.9 |   |  |  | 4,469.2  |        
|Funds Withheld Asset                                |                   |           |        |           |  |         | 1,648.1 |           |  |               |      |              |  |  |        |         |  |  |         |   |  |  | 1,648.1  |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Total invested assets                               |                   |           | 1,861.1 |           |  |         | 3,790.4 |           |  |               | 192.7 |              |  |  | 3,119.0 |         |  |  | 2,845.9 |   |  |  | 6,117.3  |        
|Other Assets                                        |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Cash and cash equivalents                           |                   |           | 0.8     |           |  |         | 28.5    |           |  |               | 0.3   |              |  |  | 331.9   |         |  |  |         |   |  |  | 361.5    |        
|Premiums receivable                                 |                   |           |        |           |  |         | 1,276.3 |           |  |               |      |              |  |  | 517.8   |         |  |  | 72.8    |   |  |  | 1,721.3  |        
|Reinsurance assets                                  |                   |           |        |           |  |         | 942.8   |           |  |               |      |              |  |  | 1,507.2 |         |  |  | 582.4   |   |  |  | 1,867.6  |        
|Funds held by reinsureds                            |                   |           |        |           |  |         | 801.0   |           |  |               |      |              |  |  | 380.7   |         |  |  | 245.8   |   |  |  | 935.9    |        
|Deferred policy acquisition costs                   |                   |           |        |           |  |         | 174.1   |           |  |               |      |              |  |  | 90.8    |         |  |  |         |   |  |  | 264.9    |        
|Deferred income taxes                               |                   |           |        |           |  |         | 37.3    |           |  |               |      |              |  |  | 354.5   |         |  |  |         |   |  |  | 391.8    |        
|Other assets                                        |                   |           | 29.7    |           |  |         | 154.9   |           |  |               | 1.1   |              |  |  | 217.5   |         |  |  | 12.5    |   |  |  | 390.7    |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Total assets                                        |                   |           | 1,891.6 |           |  |         | 7,205.3 |           |  |               | 194.1 |              |  |  | 6,519.4 |         |  |  | 3,759.4 |   |  |  | 12,051.0 |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Liabilities and equity
Liabilities                  |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Losses and loss adjustment
expenses, gross          |                   |           |        |           |  |         | 3,724.9 |           |  |               |      |              |  |  | 3,553.5 |         |  |  | 457.1   |   |  |  | 6,821.3  |        
|Unearned premiums, gross                            |                   |           |        |           |  |         | 762.4   |           |  |               |      |              |  |  | 516.7   |         |  |  | 108.4   |   |  |  | 1,170.7  |        
|Future life benefits, gross                         |                   |           |        |           |  |         |        |           |  |               |      |              |  |  | 371.7   |         |  |  |         |   |  |  | 371.7    |        
|Other reinsurance liabilities                       |                   |           |        |           |  |         | 588.9   |           |  |               |      |              |  |  | 173.7   |         |  |  | 101.0   |   |  |  | 661.6    |        
|Funds held under reinsurance
contracts              |                   |           |        |           |  |         | 345.8   |           |  |               |      |              |  |  | 329.6   |         |  |  | 245.9   |   |  |  | 429.5    |        
|Deferred income taxes                               |                   |           |        |           |  |         | 37.8    |           |  |               |      |              |  |  | 96.1    |         |  |  |         |   |  |  | 133.9    |        
|Accrued expenses
and other liabilities              |                   |           | 3.6     |           |  |         | 61.2    |           |  |               | 0.4   |              |  |  | 293.0   |         |  |  | 24.3    |   |  |  | 333.9    |        
|Notes payable                                       |                   |           | 150.0   |           |  |         |        |           |  |               |      |              |  |  | 150.0   |         |  |  | 300.0   |   |  |  |         |        
|Debt                                                |                   |           |        |           |  |         |        |           |  |               | 193.4 |              |  |  | 197.0   |         |  |  |         |   |  |  | 390.4    |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Total liabilities                                   |                   |           | 153.6   |           |  |         | 5,521.0 |           |  |               | 193.8 |              |  |  | 5,681.3 |         |  |  | 1,236.7 |   |  |  | 10,313.0 |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Equity                                              |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Common stock and
additional paid-in capital         |                   |           | 1,580.6 |           |  |         | 1,546.1 |           |  |               |      |              |  |  | 960.9   |         |  |  | 2,507.0 |   |  |  | 1,580.6  |        
|Unearned stock compensation                         |                   |           | 10.0   |           |  |         |        |           |  |               |      |              |  |  |        |         |  |  |         |   |  |  | 10.0    |        
|Total accumulated other
comprehensive income (loss) |                   |           | 60.6    |           |  |         | 51.3    |           |  |               | 0.3   |              |  |  | 41.3   |         |  |  | 10.3    |   |  |  | 60.6     |        
|Retained earnings                                   |                   |           | 106.8   |           |  |         | 86.9    |           |  |               |      |              |  |  | 81.5   |         |  |  | 5.4     |   |  |  | 106.8    |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Total equity                                        |                   |           | 1,738.0 |           |  |         | 1,684.3 |           |  |               | 0.3   |              |  |  | 838.1   |         |  |  | 2,522.7 |   |  |  | 1,738.0  |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        
|Total liabilities and equity                        |                   |           | 1,891.6 |           |  |         | 7,205.3 |           |  |               | 194.1 |              |  |  | 6,519.4 |         |  |  | 3,759.4 |   |  |  | 12,051.0 |        
|                                                    |                   |           |         |           |  |         |         |           |  |               |       |              |  |  |         |         |  |  |          |   |  |  |          |        

F-37



---



##### Table of Contents



Converium Group
Notes to the consolidated and historical combined financial statements (continued)

|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|------------------------------------------------------------ |  | --------- | ----- | --------- |  | ------- | -------- | --------- |  | ------------- | ------ | ------------ |  |  | -------- |  |  |  | ------ |  |  |  | -------- | 
|Condensed consolidating                                      |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Statements of cash flows                                     |  | Converium |       |           |  |         |          | Converium |  | Non-          |        |              |  |  |          |  |  | 
|(US$ million)                                                |  | Holding   |       | Converium |  | Finance |          | Guarantor |  | Consolidating
|Year ended December 31, 2002                                 |  | Ltd       |       | Ltd       |  | S.A.    |          | Entities  |  | Adjustments   |        | Consolidated
|                                                             |  |           |       |           |  |         |          |           |  |               |        |             
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Cash provided by
operating activities                        |  |           | 2.0   |           |  |         | 635.2    |           |  |               | 1.1    |              |  |  | 232.1    |  |  |  |       |  |  |  | 870.4    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Cash flows from investing activities                         |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Proceeds from sales and maturities
of fixed maturities       |  |           |      |           |  |         | 476.6    |           |  |               |       |              |  |  | 4,096.7  |  |  |  |       |  |  |  | 4,573.3  | 
|Purchases of fixed maturities                                |  |           |      |           |  |         | 1,054.1 |           |  |               |       |              |  |  | 4,321.2 |  |  |  |       |  |  |  | 5,375.3 | 
|Proceeds from sales
of equity securities                     |  |           |      |           |  |         | 144.1    |           |  |               |       |              |  |  | 455.1    |  |  |  |       |  |  |  | 599.2    | 
|Purchases of equity securities                               |  |           |      |           |  |         | 284.1   |           |  |               |       |              |  |  | 367.0   |  |  |  |       |  |  |  | 651.1   | 
|Net (increase) decrease
in short-term investments            |  |           | 3.6  |           |  |         | 264.6   |           |  |               | 42.7  |              |  |  | 82.4     |  |  |  |       |  |  |  | 228.5   | 
|Purchase of note receivable                                  |  |           |      |           |  |         |         |           |  |               | 150.0 |              |  |  |         |  |  |  | 150.0  |  |  |  |         | 
|Investment in subsidiaries                                   |  |           |      |           |  |         | 104.8   |           |  |               |       |              |  |  |         |  |  |  | 104.8  |  |  |  |         | 
|All other investing activity                                 |  |           |      |           |  |         | 9.9     |           |  |               | 1.8   |              |  |  | 0.8      |  |  |  |       |  |  |  | 10.9    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Net cash (used in)
provided by investing activities          |  |           | 3.6  |           |  |         | 1,096.8 |           |  |               | 194.5 |              |  |  | 53.2    |  |  |  | 254.8  |  |  |  | 1,093.3 | 
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Cash flows from financing activities                         |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Issuance of guaranteed subordinated notes                    |  |           |      |           |  |         |         |           |  |               | 193.7  |              |  |  |         |  |  |  |       |  |  |  | 193.7    | 
|Sale of note payable                                         |  |           |      |           |  |         | 150.0    |           |  |               |       |              |  |  |         |  |  |  | 150.0 |  |  |  |         | 
|Capital contribution                                         |  |           |      |           |  |         |         |           |  |               |       |              |  |  | 104.8    |  |  |  | 104.8 |  |  |  |         | 
|Purchases of common shares                                   |  |           | 14.7 |           |  |         |         |           |  |               |       |              |  |  |         |  |  |  |       |  |  |  | 14.7    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Net cash (used in) provided
by financing activities          |  |           | 14.7 |           |  |         | 150.0    |           |  |               | 193.7  |              |  |  | 104.8    |  |  |  | 254.8 |  |  |  | 179.0    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Effect of exchange rate changes
on cash and cash equivalents |  |           |      |           |  |         | 0.6     |           |  |               |       |              |  |  | 14.5    |  |  |  |       |  |  |  | 15.1    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Change in cash and
cash equivalents                          |  |           | 16.3 |           |  |         | 312.2   |           |  |               | 0.3    |              |  |  | 269.2    |  |  |  |       |  |  |  | 59.0    | 
|Cash and cash equivalents
as of January 1                    |  |           | 17.1  |           |  |         | 340.7    |           |  |               |       |              |  |  | 62.7     |  |  |  |       |  |  |  | 420.5    | 
|                                                             |  |           |       |           |  |         |          |           |  |               |        |              |  |  |          |  |  |  |        |  |  |  |          | 
|Cash and cash equivalents
as of December 31                  |  |           | 0.8   |           |  |         | 28.5     |           |  |               | 0.3    |              |  |  | 331.9    |  |  |  |       |  |  |  | 361.5    | 

|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|------------------------------------------------------------------ |  | ----------- | ---- | --------- |  | --------- | -------- | ------------- |  | ------------ | -------- |  |  |  | ---- |  |  |  | -------- | 
|Condensed consolidating                                            |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Statements of income                                               |  |             |      |           |  |           |          |               |  | Non-         |          |  |  |  |      |  |  | 
|(US$ million)                                                      |  | Converium   |      | Converium |  | Guarantor |          | Consolidating
|Year ended December 31, 2001                                       |  | Holding Ltd |      | Ltd       |  | Entities  |          | Adjustments   |  | Consolidated
|                                                                   |  |             |      |           |  |          
|Revenues                                                           |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Net premiums written                                               |  |             |     |           |  |           | 1,269.9  |               |  |              | 1,212.7  |  |  |  |     |  |  |  | 2,482.6  | 
|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Net premiums earned                                                |  |             |     |           |  |           | 1,118.2  |               |  |              | 1,177.0  |  |  |  |     |  |  |  | 2,295.2  | 
|Net investment income                                              |  |             | 1.5  |           |  |           | 88.5     |               |  |              | 139.0    |  |  |  | 0.3 |  |  |  | 228.7    | 
|Net realized capital gains (losses)                                |  |             |     |           |  |           | 2.5      |               |  |              | 20.9    |  |  |  |     |  |  |  | 18.4    | 
|Other income (loss)                                                |  |             |     |           |  |           | 3.9      |               |  |              | 9.0     |  |  |  | 0.7 |  |  |  | 5.8     | 
|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Total revenues                                                     |  |             | 1.5  |           |  |           | 1,213.1  |               |  |              | 1,286.1  |  |  |  | 1.0 |  |  |  | 2,499.7  | 
|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Benefits, losses and expenses                                      |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Losses and loss adjustment
expenses and life benefits              |  |             |     |           |  |           | 997.9   |               |  |              | 1,303.1 |  |  |  | 0.5  |  |  |  | 2,300.5 | 
|Underwriting acquisition costs                                     |  |             |     |           |  |           | 221.3   |               |  |              | 286.8   |  |  |  |     |  |  |  | 508.1   | 
|Other operating and administration expenses                        |  |             | 1.2 |           |  |           | 54.8    |               |  |              | 90.9    |  |  |  | 0.5  |  |  |  | 146.4   | 
|Interest expense, amortization of
goodwill and restructuring costs |  |             | 1.2 |           |  |           | 40.6    |               |  |              | 40.2    |  |  |  |     |  |  |  | 82.0    | 
|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Total benefits, losses and expenses                                |  |             | 2.4 |           |  |           | 1,314.6 |               |  |              | 1,721.0 |  |  |  | 1.0  |  |  |  | 3,037.0 | 
|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Loss before taxes                                                  |  |             | 0.9 |           |  |           | 101.5   |               |  |              | 434.9   |  |  |  |     |  |  |  | 537.3   | 
|Income tax benefit                                                 |  |             |     |           |  |           | 3.5      |               |  |              | 166.4    |  |  |  |     |  |  |  | 169.9    | 
|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 
|Net loss                                                           |  |             | 0.9 |           |  |           | 98.0    |               |  |              | 268.5   |  |  |  |     |  |  |  | 367.4   | 
|                                                                   |  |             |      |           |  |           |          |               |  |              |          |  |  |  |      |  |  |  |          | 

F-38



---



##### Table of Contents



Converium Holding Ltd
Notes to the consolidated and historical combined financial statements (continued)

|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|--------------------------------------------------- |  | ----------- | ------- | --------- |  | --------- | ------- | ------------- |  | ------------ | ------- |  |  |  | -------- |  |  |  | ------- | 
|Consolidating                                       |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Balance sheets                                      |  |             |         |           |  |           |         |               |  | Non-         |         |  |  |  |          |  |  | 
|(US$ million)                                       |  | Converium   |         | Converium |  | Guarantor |         | Consolidating |  |              |         | 
|Year ended December 31, 2001                        |  | Holding Ltd |         | Ltd       |  | Entities  |         | Adjustments   |  | Consolidated
|                                                    |  |             |         |           |  |           |         |               |  |             
|Assets                                              |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Invested Assets                                     |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Available-for-sale securities:                      |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Fixed maturities                                    |  |             |        |           |  |           | 67.2    |               |  |              | 2,264.2 |  |  |  |         |  |  |  | 2,331.4 | 
|Equity securities                                   |  |             |        |           |  |           | 180.8   |               |  |              | 520.6   |  |  |  |         |  |  |  | 701.4   | 
|Investment in subsidiaries                          |  |             | 1,560.0 |           |  |           | 739.6   |               |  |              |        |  |  |  | 2,299.6 |  |  |  |        | 
|Notes receivable                                    |  |             | 150.0   |           |  |           | 150.0   |               |  |              |        |  |  |  | 300.0   |  |  |  |        | 
|Short-term and other investments                    |  |             |        |           |  |           | 155.2   |               |  |              | 129.4   |  |  |  |         |  |  |  | 284.6   | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Total investments                                   |  |             | 1,710.0 |           |  |           | 1,292.8 |               |  |              | 2,914.2 |  |  |  | 2,599.6 |  |  |  | 3,317.4 | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Funds Withheld Asset                                |  |             |        |           |  |           | 1,598.5 |               |  |              |        |  |  |  |         |  |  |  | 1,598.5 | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Total invested assets                               |  |             | 1,710.0 |           |  |           | 2,891.3 |               |  |              | 2,914.2 |  |  |  | 2,599.6 |  |  |  | 4,915.9 | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Other Assets                                        |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Cash and cash equivalents                           |  |             | 17.1    |           |  |           | 340.7   |               |  |              | 62.7    |  |  |  |         |  |  |  | 420.5   | 
|Premiums receivable                                 |  |             |        |           |  |           | 688.0   |               |  |              | 281.8   |  |  |  | 45.3     |  |  |  | 1,015.1 | 
|Reinsurance assets                                  |  |             |        |           |  |           | 1,095.0 |               |  |              | 1,727.3 |  |  |  | 754.0   |  |  |  | 2,068.3 | 
|Funds held by reinsureds                            |  |             |        |           |  |           | 162.5   |               |  |              | 364.1   |  |  |  | 3.2     |  |  |  | 523.4   | 
|Deferred policy acquisition costs                   |  |             |        |           |  |           | 102.8   |               |  |              | 115.1   |  |  |  |         |  |  |  | 217.9   | 
|Deferred income taxes                               |  |             |        |           |  |           | 11.0    |               |  |              | 289.4   |  |  |  |         |  |  |  | 300.4   | 
|Other assets                                        |  |             | 1.1     |           |  |           | 95.4    |               |  |              | 146.1   |  |  |  | 2.4      |  |  |  | 245.0   | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Total assets                                        |  |             | 1,728.2 |           |  |           | 5,386.7 |               |  |              | 5,900.7 |  |  |  | 3,309.1 |  |  |  | 9,706.5 | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Liabilities and equity
Liabilities                  |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Losses and loss adjustment
expenses, gross          |  |             |        |           |  |           | 2,748.2 |               |  |              | 3,410.6 |  |  |  | 448.3   |  |  |  | 5,710.5 | 
|Unearned premiums, gross                            |  |             |        |           |  |           | 515.2   |               |  |              | 452.0   |  |  |  | 1.5      |  |  |  | 968.7   | 
|Future life benefits, gross                         |  |             |        |           |  |           |        |               |  |              | 252.0   |  |  |  |         |  |  |  | 252.0   | 
|Other reinsurance liabilities                       |  |             |        |           |  |           | 200.3   |               |  |              | 115.6   |  |  |  |         |  |  |  | 315.9   | 
|Funds held under reinsurance
contracts              |  |             |        |           |  |           | 308.3   |               |  |              | 375.2   |  |  |  | 252.7   |  |  |  | 430.8   | 
|Deferred income taxes                               |  |             |        |           |  |           | 25.5    |               |  |              | 81.0    |  |  |  |         |  |  |  | 106.5   | 
|Accrued expenses
and other liabilities              |  |             | 7.4     |           |  |           | 29.2    |               |  |              | 127.7   |  |  |  | 10.0    |  |  |  | 154.3   | 
|Notes payable                                       |  |             | 150.0   |           |  |           |        |               |  |              | 150.0   |  |  |  | 300.0   |  |  |  |        | 
|Debt                                                |  |             |        |           |  |           |        |               |  |              | 197.0   |  |  |  |         |  |  |  | 197.0   | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Total liabilities                                   |  |             | 157.4   |           |  |           | 3,826.7 |               |  |              | 5,161.1 |  |  |  | 1,009.5 |  |  |  | 8,135.7 | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Equity                                              |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Common stock and
additional paid-in capital         |  |             | 1,589.5 |           |  |           | 1,552.7 |               |  |              | 771.8   |  |  |  | 2,324.5 |  |  |  | 1,589.5 | 
|Unearned stock compensation                         |  |             | 27.1   |           |  |           |        |               |  |              |        |  |  |  |         |  |  |  | 27.1   | 
|Total accumulated other
comprehensive income (loss) |  |             | 8.4     |           |  |           | 7.3     |               |  |              | 32.2   |  |  |  | 24.9     |  |  |  | 8.4     | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Total equity                                        |  |             | 1,570.8 |           |  |           | 1,560.0 |               |  |              | 739.6   |  |  |  | 2,299.6 |  |  |  | 1,570.8 | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 
|Total liabilities and equity                        |  |             | 1,728.2 |           |  |           | 5,386.7 |               |  |              | 5,900.7 |  |  |  | 3,309.1 |  |  |  | 9,706.5 | 
|                                                    |  |             |         |           |  |           |         |               |  |              |         |  |  |  |          |  |  |  |         | 

F-38



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##### Table of Contents



Converium Holding Ltd
Notes to the consolidated and historical combined financial statements (continued)

|                                                             |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|------------------------------------------------------------ |  | ----------- | ------ | --------- |  | --------- | ------ | ------------- |  | ------------ | -------- |  |  |  | -------- |  |  |  | -------- | 
|Condensed consolidating                                      |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Statements of cash flows                                     |  |             |        |           |  |           |        |               |  | Non-         |          |  |  |  |          |  |  | 
|(US$ million)                                                |  | Converium   |        | Converium |  | Guarantor |        | Consolidating |  |              |          | 
|Year ended December 31, 2001                                 |  | Holding Ltd |        | Ltd       |  | Entities  |        | Adjustments   |  | Consolidated
|                                                             |  |             |        |           |  |           |        |               |  |             
|Cash provided by (used in) operating activities              |  |             | 5.9    |           |  |           | 421.3  |               |  |              | 120.5   |  |  |  | 4.8      |  |  |  | 311.5    | 
|Cash flows from investing activities                         |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Proceeds from sales and maturities of fixed maturities       |  |             |       |           |  |           | 100.0  |               |  |              | 1,792.2  |  |  |  |         |  |  |  | 1,892.2  | 
|Purchases of fixed maturities                                |  |             |       |           |  |           | 123.6 |               |  |              | 1,846.1 |  |  |  |         |  |  |  | 1,969.7 | 
|Proceeds from sales of equity securities                     |  |             |       |           |  |           | 38.1   |               |  |              | 250.5    |  |  |  |         |  |  |  | 288.6    | 
|Purchases of equity securities                               |  |             |       |           |  |           | 152.9 |               |  |              | 272.8   |  |  |  |         |  |  |  | 425.7   | 
|Net decrease (increase) in short-term investments            |  |             |       |           |  |           | 13.5   |               |  |              | 12.1     |  |  |  |         |  |  |  | 25.6     | 
|Net change in Funds Withheld Asset                           |  |             |       |           |  |           | 290.6 |               |  |              |         |  |  |  |         |  |  |  | 290.6   | 
|Purchase of real estate held for investment                  |  |             |       |           |  |           | 139.4 |               |  |              |         |  |  |  |         |  |  |  | 139.4   | 
|Issuance of note receivable                                  |  |             | 150.0 |           |  |           | 150.0 |               |  |              |         |  |  |  | 300.0    |  |  |  |         | 
|Investment in subsidiaries                                   |  |             | 822.9 |           |  |           |       |               |  |              |         |  |  |  | 822.9    |  |  |  |         | 
|All other investing activity                                 |  |             |       |           |  |           | 13.7  |               |  |              | 5.4      |  |  |  |         |  |  |  | 8.3     | 
|                                                             |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Net cash (used in) provided by investing activities          |  |             | 972.9 |           |  |           | 718.6 |               |  |              | 58.7    |  |  |  | 1,122.9  |  |  |  | 627.3   | 
|                                                             |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Cash flows from financing activities                         |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Issuance of note payable                                     |  |             | 150.0  |           |  |           |       |               |  |              | 150.0    |  |  |  | 300.0   |  |  |  |         | 
|Capital contribution                                         |  |             |       |           |  |           | 822.9  |               |  |              |         |  |  |  | 822.9   |  |  |  |         | 
|Net transfers from Zurich Financial Services                 |  |             | 834.1  |           |  |           | 9.5    |               |  |              | 17.6     |  |  |  |         |  |  |  | 861.2    | 
|Payable to Zurich Financial Services                         |  |             |       |           |  |           | 233.4 |               |  |              |         |  |  |  |         |  |  |  | 233.4   | 
|                                                             |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Net cash provided by (used in) financing activities          |  |             | 984.1  |           |  |           | 599.0  |               |  |              | 167.6    |  |  |  | 1,122.9 |  |  |  | 627.8    | 
|Effect of exchange rate changes on cash
and cash equivalents |  |             |       |           |  |           | 42.0  |               |  |              | 33.4     |  |  |  | 4.8     |  |  |  | 13.4    | 
|                                                             |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Change in cash and cash equivalents                          |  |             | 17.1   |           |  |           | 259.7  |               |  |              | 21.8     |  |  |  |         |  |  |  | 298.6    | 
|Cash and cash equivalents as of January 1                    |  |             |       |           |  |           | 81.0   |               |  |              | 40.9     |  |  |  |         |  |  |  | 121.9    | 
|                                                             |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 
|Cash and cash equivalents as of December 31                  |  |             | 17.1   |           |  |           | 340.7  |               |  |              | 62.7     |  |  |  |         |  |  |  | 420.5    | 
|                                                             |  |             |        |           |  |           |        |               |  |              |          |  |  |  |          |  |  |  |          | 

|                                                      |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|----------------------------------------------------- |  | --------- | ------ | --------- |  | ------------- | -------- | ------------ |  |  | ------ |  |  |  | -------- | 
|Condensed consolidating                               |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|Statements of income                                  |  |           |        |           |  | Non-          |          |              |  |  |        |  |  | 
|(US$ million)                                         |  | Converium |        | Guarantor |  | Consolidating
|Year ended December 31, 2000                          |  | Ltd       |        | Entities  |  | Adjustments   |          | Consolidated
|                                                      |  |           |        |           |  |               |          |             
|Revenues                                              |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|Net premiums written                                  |  |           | 886.0  |           |  |               | 1,207.8  |              |  |  | 97.8  |  |  |  | 1,996.0  | 
|                                                     
|Net premiums earned                                   |  |           | 762.7  |           |  |               | 1,203.3  |              |  |  | 104.5 |  |  |  | 1,861.5  | 
|Net investment income                                 |  |           | 50.0   |           |  |               | 135.0    |              |  |  | 9.0   |  |  |  | 176.0    | 
|Net realized capital gains (losses)                   |  |           | 0.2    |           |  |               | 83.5     |              |  |  |       |  |  |  | 83.7     | 
|Other income (loss)                                   |  |           | 11.9   |           |  |               | 6.6      |              |  |  | 10.8   |  |  |  | 29.3     | 
|                                                      |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|Total revenues                                        |  |           | 824.8  |           |  |               | 1,428.4  |              |  |  | 102.7 |  |  |  | 2,150.5  | 
|                                                      |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|Benefits, losses and expenses                         |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|Losses and loss adjustment expenses and life benefits |  |           | 681.8 |           |  |               | 1,009.1 |              |  |  | 86.4   |  |  |  | 1,604.5 | 
|Underwriting acquisition costs                        |  |           | 155.7 |           |  |               | 315.0   |              |  |  | 16.3   |  |  |  | 454.4   | 
|Other operating and administration expenses           |  |           | 43.3  |           |  |               | 72.7    |              |  |  |       |  |  |  | 116.0   | 
|Interest expense and amortization of goodwill         |  |           | 3.0   |           |  |               | 21.4    |              |  |  |       |  |  |  | 24.4    | 
|                                                      |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|Total benefits, losses and expenses                   |  |           | 883.8 |           |  |               | 1,418.2 |              |  |  | 102.7  |  |  |  | 2,199.3 | 
|                                                      |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|(Loss) income before taxes                            |  |           | 59.0  |           |  |               | 10.2     |              |  |  |       |  |  |  | 48.8    | 
|Income tax (expense) benefit                          |  |           | 5.3   |           |  |               | 24.8     |              |  |  |       |  |  |  | 19.5     | 
|                                                      |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 
|Net (loss) income                                     |  |           | 64.3  |           |  |               | 35.0     |              |  |  |       |  |  |  | 29.3    | 
|                                                      |  |           |        |           |  |               |          |              |  |  |        |  |  |  |          | 

F-40



---



##### Table of Contents



Converium Holding Ltd
Notes to the consolidated and historical combined financial statements (continued)

|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|------------------------------------------------------------ |  | --------- | ------ | --------- |  | ------------- | ------ | ------------ |  |  | - |  |  |  | ------ | 
|Condensed consolidating                                      |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Statements of cash flows                                     |  |           |        |           |  | Non-          |        |              |  |  |   |  |  | 
|(US$ million)                                                |  | Converium |        | Guarantor |  | Consolidating
|Year ended December 31, 2000                                 |  | Ltd       |        | Entities  |  | Adjustments   |        | Consolidated
|                                                             |  |           |        |           |  |               |        |             
|Cash (used in) provided by operating activities              |  |           | 103.8 |           |  |               | 70.6   |              |  |  |  |  |  |  | 33.2  | 
|Cash flows from investing activities                         |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Proceeds from sales and maturities of fixed maturities       |  |           | 21.4   |           |  |               | 619.3  |              |  |  |  |  |  |  | 640.7  | 
|Purchases of fixed maturities                                |  |           | 30.7  |           |  |               | 683.8 |              |  |  |  |  |  |  | 714.5 | 
|Proceeds from sales of equity securities                     |  |           | 22.6   |           |  |               | 381.4  |              |  |  |  |  |  |  | 404.0  | 
|Purchases of equity securities                               |  |           | 62.7  |           |  |               | 417.0 |              |  |  |  |  |  |  | 479.7 | 
|Net (increase) decrease in short-term investments            |  |           | 17.9  |           |  |               | 13.4  |              |  |  |  |  |  |  | 31.3  | 
|Net change in Zurich Financing Agreement                     |  |           | 58.3   |           |  |               | 3.7    |              |  |  |  |  |  |  | 62.0   | 
|All other investing activity                                 |  |           | 21.8  |           |  |               | 9.9    |              |  |  |  |  |  |  | 11.9  | 
|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Net cash used in investing activities                        |  |           | 30.8  |           |  |               | 99.9  |              |  |  |  |  |  |  | 130.7 | 
|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Cash flows from financing activities                         |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Payable to Zurich Financial Services                         |  |           | 233.4  |           |  |               |       |              |  |  |  |  |  |  | 233.4  | 
|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Net cash provided by financing activities                    |  |           | 233.4  |           |  |               |       |              |  |  |  |  |  |  | 233.4  | 
|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Effect of exchange rate changes on cash
and cash equivalents |  |           | 42.8  |           |  |               | 27.1   |              |  |  |  |  |  |  | 15.7  | 
|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Change in cash and cash equivalents                          |  |           | 56.0   |           |  |               | 2.2   |              |  |  |  |  |  |  | 53.8   | 
|Cash and cash equivalents as of January 1                    |  |           | 25.1   |           |  |               | 43.0   |              |  |  |  |  |  |  | 68.1   | 
|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 
|Cash and cash equivalents as of December 31                  |  |           | 81.1   |           |  |               | 40.8   |              |  |  |  |  |  |  | 121.9  | 
|                                                             |  |           |        |           |  |               |        |              |  |  |   |  |  |  |        | 

23. Subsequent events

In January 2003, Converium experienced losses arising from an earthquake in
Mexico and fires in Australia. Official numbers of the economic or insured
losses are not yet available and we have received limited claims notifications
from our cedents. Based on such preliminary information, we estimate
Converiums pre-tax losses to be approximately US$ 5.0 million in total for
both events.

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CONVERIUM HOLDING AG
REPORT OF THE GROUP AUDITORS ON
THE FINANCIAL STATEMENT SCHEDULES

To the Board of Directors and Shareholders ofConverium Holding AG, Zug

Our audits of the consolidated and historical combined financial
statements referred to in our report dated February 5, 2003, also included an
audit of the financial statement schedules listed in Part III Item
[18(b)] of this Form 20-F. In our
opinion, these financial statement schedules present fairly, in all material
respects, the information set forth therein when read in conjunction with the
related consolidated and historical combined financial statements of Converium
Group.

PricewaterhouseCoopers Ltd.

|                |  |            
|--------------- |  | -----------
|Lukas Marbacher |  | Andrew Hill

Zurich, February 5, 2003

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Schedule I

|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |          |         | 
|--------------------------------------------- | --------------------------------------- | ----------------------- | ------- | ---------- | ------- | --------------- | ------- | ----------- | ------- | -------- | ------- | -------- | ------- | 
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         | Amount  
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         | at which
|                                              |                                         |                         |         | Cost or    |         |                 |         |             |         | shown in
|Summary of investments other than investments |                                         | amortized               |         |            |         |                 |         | the balance
|in related parties as of December 31, 2002    |                                         | cost                    |         | Fair value |         | sheet          
|                                              |                                         |                         |         |            |         |                
|                                              |                                         |                         |         |            |         | ($ in millions)
|Fixed maturities:                             |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|Bonds:                                        |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|                                              | U.S. government                         |                         | $       | 1,497.1    |         |                 | $       | 1,518.0     |         |          | $       | 1,518.0  |        
|                                              | Other government                        |                         |         | 383.8      |         |                 |         | 384.9       |         |          |         | 384.9    |        
|                                              | Public utilities                        |                         |         | 14.2       |         |                 |         | 15.0        |         |          |         | 15.0     |        
|                                              | Other corporate debt securities         |                         |         | 389.0      |         |                 |         | 391.6       |         |          |         | 391.6    |        
|                                              | Unit trust                              |                         |         | 303.7      |         |                 |         | 306.6       |         |          |         | 306.6    |        
|                                              | Mortgage and asset-backed securities    |                         |         | 821.5      |         |                 |         | 827.0       |         |          |         | 827.0    |        
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|                                              |                                         | Total fixed maturities  |         |            | 3,409.3 |                 |         |             | 3,443.1 |          |         |          | 3,443.1 | 
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|Equity securities:                            |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|Common stocks:                                |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|                                              | Public utilities                        |                         |         | 7.8        |         |                 |         | 7.1         |         |          |         | 7.1      |        
|                                              | Banks, trusts, and insurance companies  |                         |         | 56.8       |         |                 |         | 47.1        |         |          |         | 47.1     |        
|                                              | Industrial, miscellaneous and all other |                         |         | 456.6      |         |                 |         | 425.3       |         |          |         | 425.3    |        
|Unit-trust                                    |                                         |                         | 56.9    |            |         |                 | 45.0    |             |         |          | 45.0    |         
|Non-redeemable preferred stocks               |                                         |                         | 6.3     |            |         |                 | 6.3     |             |         |          | 6.3     |         
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|                                              |                                         | Total equity securities |         |            | 584.4   |                 |         |             | 530.8   |          |         |          | 530.8   | 
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|Mortgage loans                                |                                         |                         |        |            |         |                 |        |             |         |          |        |         
|Real estate                                   |                                         |                         | 175.6   |            |         |                 | 167.9   |             |         |          | 167.9   |         
|Policyholder, collateral and other loans      |                                         |                         | 0.3     |            |         |                 | 0.3     |             |         |          | 0.3     |         
|Other investments                             |                                         |                         | 9.1     |            |         |                 | 9.1     |             |         |          | 9.1     |         
|Short-term investments                        |                                         |                         | 318.0   |            |         |                 | 318.0   |             |         |          | 318.0   |         
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|                                              |                                         | Total investments       |         |            | 4,496.7 |                 |         |             | 4,469.2 |          |         |          | 4,469.2 | 
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|Funds Withheld Asset                          |                                         |                         | 1,648.1 |            |         |                 | 1,648.1 |             |         |          | 1,648.1 |         
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         
|                                              |                                         | Total invested assets   |         | $          | 6,144.8 |                 |         | $           | 6,117.3 |          |         | $        | 6,117.3 | 
|                                              |                                         |                         |         |            |         |                 |         |             |         |          |         |         

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Schedule II

Converium Holding AG
Statements of income

|                                                             |  |      |       |                   |  |                      |      | 
|------------------------------------------------------------ |  | ---- | ----- | ----------------- |  | -------------------- | ---- | 
|                                                             |  |      |       |                   |  | June 19, 2001 (date 
|                                                             |  |      |       |                   |  | of incorporation) to
|($ million)                                                  |  | 2002 |       | December 31, 2001
|                                                             |  |      |       |                  
|Revenues                                                     |  |      |       |                   |  |                      |      | 
|Net investment income                                        |  |      | 12.6  |                   |  |                      | 1.5  | 
|Other loss                                                   |  |      | -0.5  |                   |  |                      |     | 
|                                                             |  |      |       |                   |  |                      |      | 
|Total revenues                                               |  |      | 12.1  |                   |  |                      | 1.5  | 
|                                                             |  |      |       |                   |  |                      |      | 
|Expenses                                                     |  |      |       |                   |  |                      |      | 
|Other operating and administration
expenses                  |  |      | 20.7  |                   |  |                      | -1.2 | 
|Interest expense                                             |  |      | -10.7 |                   |  |                      | -1.2 | 
|                                                             |  |      |       |                   |  |                      |      | 
|Total expenses                                               |  |      | 10.0  |                   |  |                      | -2.4 | 
|                                                             |  |      |       |                   |  |                      |      | 
|Income (loss) before taxes                                   |  |      | 22.1  |                   |  |                      | -0.9 | 
|Income tax (expense) benefit                                 |  |      | -2.2  |                   |  |                      |     | 
|                                                             |  |      |       |                   |  |                      |      | 
|Income (loss) before equity in income
(loss) of subsidiaries |  |      | 19.9  |                   |  |                      | -0.9 | 
|Equity in income (loss) of subsidiaries                      |  |      | 86.9  |                   |  |                      |     | 
|                                                             |  |      |       |                   |  |                      |      | 
|Net income (loss)                                            |  |      | 106.8 |                   |  |                      | -0.9 | 
|                                                             |  |      |       |                   |  |                      |      | 

See notes to consolidated financial statements.

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Schedule II

Converium Holding AG
Balance sheets

|                                             |  |      |         |      |  |  |         | 
|-------------------------------------------- |  | ---- | ------- | ---- |  |  | ------- | 
|($ million)                                  |  |      |         |      |  |  |         | 
|Year ended December 31                       |  | 2002 |         | 2001
|                                             |  |      |         |     
|Assets                                       |  |      |         |      |  |  |         | 
|Invested assets                              |  |      |         |      |  |  |         | 
|Investment in subsidiaries                   |  |      | 1,684.3 |      |  |  | 1,560.0 | 
|Notes receivable                             |  |      | 150.0   |      |  |  | 150.0   | 
|Short-term and other investments             |  |      | 26.8    |      |  |  |        | 
|                                             |  |      |         |      |  |  |         | 
|Total invested assets                        |  |      | 1,861.1 |      |  |  | 1,710.0 | 
|                                             |  |      |         |      |  |  |         | 
|Other assets                                 |  |      |         |      |  |  |         | 
|Cash and cash equivalents                    |  |      | 0.8     |      |  |  | 17.1    | 
|Other assets                                 |  |      | 29.7    |      |  |  | 1.1     | 
|                                             |  |      |         |      |  |  |         | 
|Total assets                                 |  |      | 1,891.6 |      |  |  | 1,728.2 | 
|                                             |  |      |         |      |  |  |         | 
|Liabilities and shareholders equity         |  |      |         |      |  |  |         | 
|Liabilities                                  |  |      |         |      |  |  |         | 
|Accrued expenses and other liabilities       |  |      | 3.6     |      |  |  | 7.4     | 
|Notes payable                                |  |      | 150.0   |      |  |  | 150.0   | 
|                                             |  |      |         |      |  |  |         | 
|Total liabilities                            |  |      | 153.6   |      |  |  | 157.4   | 
|                                             |  |      |         |      |  |  |         | 
|Equity                                       |  |      |         |      |  |  |         | 
|Common stock                                 |  |      | 253.0   |      |  |  | 253.0   | 
|Additional paid-in capital                   |  |      | 1,330.9 |      |  |  | 1,336.5 | 
|Treasury stock                               |  |      | -3.3    |      |  |  |        | 
|Unearned stock compensation                  |  |      | -10.0   |      |  |  | -27.1   | 
|Total accumulated other comprehensive income |  |      | 60.6    |      |  |  | 8.4     | 
|Retained earnings                            |  |      | 106.8   |      |  |  |        | 
|                                             |  |      |         |      |  |  |         | 
|Total equity                                 |  |      | 1,738.0 |      |  |  | 1,570.8 | 
|                                             |  |      |         |      |  |  |         | 
|Total liabilities and equity                 |  |      | 1,891.6 |      |  |  | 1,728.2 | 
|                                             |  |      |         |      |  |  |         | 

See notes to consolidated financial statements.

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Schedule II

Converium Holding AG
Statements of cash flows
($ million)

|                                                                 |  |      |       |      |  |                     |        | 
|---------------------------------------------------------------- |  | ---- | ----- | ---- |  | ------------------- | ------ | 
|                                                                 |  |      |       |      |  | June 19, 2001 (date
|                                                                 |  |      |       |      |  | of incorporation)  
|                                                                 |  |      |       |      |  | to December 31,    
|                                                                 |  | 2002 |       | 2001
|                                                                 |  |      |       |     
|Cash flows from operating activities                             |  |      |       |      |  |                     |        | 
|Net income (loss) before equity in income
(loss) of subsidiaries |  |      | 19.9  |      |  |                     | -0.9   | 
|Changes in other assets and liabilities                          |  |      | -17.9 |      |  |                     | 6.8    | 
|                                                                 |  |      |       |      |  |                     |        | 
|Cash provided by operating activities                            |  |      | 2.0   |      |  |                     | 5.9    | 
|                                                                 |  |      |       |      |  |                     |        | 
|Cash flows from investing activities                             |  |      |       |      |  |                     |        | 
|Issuance of note receivable                                      |  |      |      |      |  |                     | -150.0 | 
|Investment in Converium AG                                       |  |      |      |      |  |                     | -822.9 | 
|Net increase in short term investments                           |  |      | -3.6  |      |  |                     |       | 
|                                                                 |  |      |       |      |  |                     |        | 
|Net cash (used in) investing activities                          |  |      | -3.6  |      |  |                     | -972.9 | 
|                                                                 |  |      |       |      |  |                     |        | 
|Cash flows from financing activities                             |  |      |       |      |  |                     |        | 
|Net transfer from Zurich Financial Services                      |  |      |      |      |  |                     | 834.1  | 
|Issuance of note payable                                         |  |      |      |      |  |                     | 150.0  | 
|Purchases of common shares                                       |  |      | -14.7 |      |  |                     |       | 
|                                                                 |  |      |       |      |  |                     |        | 
|Net cash (used in) provided by financing
activities              |  |      | -14.7 |      |  |                     | 984.1  | 
|                                                                 |  |      |       |      |  |                     |        | 
|Change in cash and cash equivalents                              |  |      | -16.3 |      |  |                     | 17.1   | 
|Cash and cash equivalents, beginning of period                   |  |      | 17.1  |      |  |                     |       | 
|                                                                 |  |      |       |      |  |                     |        | 
|Cash and cash equivalents, end of period                         |  |      | 0.8   |      |  |                     | 17.1   | 
|                                                                 |  |      |       |      |  |                     |        | 

See notes to consolidated financial statements.

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Schedule IV

|                                             |      |        |       |           |                |           |                    |            |   |     |                 |         |            |  |   |         |  |  |             |       |  
|-------------------------------------------- | ---- | ------ | ----- | --------- | -------------- | --------- | ------------------ | ---------- | - | --- | --------------- | ------- | ---------- |  | - | ------- |  |  | ----------- | ----- | -
|                                             |      |        |       |           |                |           |                    |            |   |     |                 |         |            |  |   |         |  |  | % of amount
|                                             |      |        | Gross |           | Ceded to other |           | Assumed from other |            |   |     |                 |         | assumed to
|Reinsurance                                  |      | Amount |       | companies |                | companies |                    | Net amount |   | net
|                                             |      |        |       |           |                |           |                    |            |   |    
|                                             |      |        |       |           |                |           |                    |            |   |     | ($ in millions) |         |            |  |   |         |  |  |            
|Insurance premiums
and other
considerations: |      |        |       |           |                |           |                    |            |   |     |                 |         |            |  |   |         |  |  |             |      
|                                             | 2002 |        | $     | 88.0      |                |           |                    | ($213.6    | ) |     | $               | 3,447.8 |            |  | $ | 3,322.2 |  |  |             | 103.8 | %
|                                             | 2001 |        |       | 124.9     |                |           |                    | (398.6     | ) |     |                 | 2,756.3 |            |  |   | 2,482.6 |  |  |             | 111.0 | %
|                                             | 2000 |        |       | 169.9     |                |           |                    | (569.8     | ) |     |                 | 2,395.9 |            |  |   | 1,996.0 |  |  |             | 120.0 | %

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GLOSSARY OF SELECTED
INSURANCE AND REINSURANCE TERMS

|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|----------------------------------------------- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Annuity                                         |  | A contract that pays a periodic income benefit for
the life of a person (the annuitant) or for a
specified number of years, or a combination of the
two, in return for a single premium payment.
Immediate annuities provide income from the date
the policy is taken out and deferred annuities
provide income at a future specified date.                                                                        
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Cede; ceding insurer;
cession                   |  | When an insurer reinsures its risk with another
insurer (a cession), it cedes business and is
referred to as the ceding insurer.                                                                                                                                                                                                                                                                             
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Co-insurance                                    |  | Also referred to as original terms reinsurance,
and refers to reinsurance contracts in which the
reinsurer receives a portion of the premiums paid
to the ceding company on the policies. Reinsurance
premiums under a co-insurance contract will
normally have the same premium arrangement as the
original insurance policies, which may extend over
several years.                                              
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Combined ratio                                  |  | The sum of the loss ratio and the expense ratio
for a non-life insurance company or a reinsurance
company. A combined ratio below 100 generally
indicates profitable underwriting. A combined
ratio over 100 generally indicates unprofitable
underwriting. An insurance company with a combined
ratio over 100 may be profitable to the extent net
investment results exceed underwriting losses.                 
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Expense ratio                                   |  | The ratio of non-life insurance or reinsurance
operating expenses (i.e., acquisition costs and
profit participation net of reinsurance
commissions) to net premiums earned plus
administration expenses to net premiums written.                                                                                                                                                                                   
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Facultative reinsurance                         |  | The reinsurance of part or all of the insurance
provided by a single policy negotiated on a
contract-by-contract basis.                                                                                                                                                                                                                                                                                            
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Finite risk                                     |  | Insurance and reinsurance policies under which the
aggregate risk to the insurer or reinsurer is
capped at a finite limit. Typically, such policies
have maturities of several years and provide for
sharing profits arising from the policy with the
client at the policy maturity. The policy
limit-to-premium ratio is frequently significantly
lower than under traditional insurance and
reinsurance policies.
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Gross premiums written                          |  | Total premiums (whether or not earned) for
insurance contracts written or assumed (including
deposits for contracts with an insignificant
amount of mortality or morbidity risk) during a
specific period, without deduction for premiums
ceded.                                                                                                                                                                   
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                    
|Incurred but not yet
reported (IBNR) reserves |  | Reserves for estimated losses and LAE which have
been incurred but not yet reported to the insurer
or reinsurer, including future development of
claims which have been reported to the insurer or
reinsurer but where the                                                                                                                                                                                         

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|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|----------------------------------------------- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|                                                |  | established reserves may
ultimately prove to be inadequate.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Lapse                                           |  | Termination of a policy because of surrender,
failure to pay a premium or lack of sufficient
cash value to maintain in-force status.                                                                                                                                                                                                                                                                                                                                                                                                                                
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Loss                                            |  | An insured event that is the basis for submission
or payment of a benefit under an insurance policy.
Losses may be covered, limited or excluded from
coverage, depending on the terms of the policy.                                                                                                                                                                                                                                                                                                                                                                
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Loss adjustment expenses
(LAE)                |  | The expenses of investigating and settling claims,
including certain legal and other fees, and the
expenses of administering the claims adjustment
process.                                                                                                                                                                                                                                                                                                                                                                                                         
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Loss ratio                                      |  | The ratio of a non-life insurance or reinsurance
companys net incurred losses and LAE to net
premiums earned.                                                                                                                                                                                                                                                                                                                                                                                                                                                      
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Loss reserves                                   |  | Reserves established by an insurer or reinsurer
and reflected on its balance sheet to reflect the
estimated cost of payments for claims for which
the insurer or reinsurer ultimately will be
required to indemnify insureds or reinsureds in
the future in respect of losses occurring on or
prior to the balance sheet date on insurance or
reinsurance it has written and that has been
earned. Loss reserves are composed of individual
case reserves for reported claims and IBNR
reserves.                                                                    
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Modified co-insurance                           |  | A form of reinsurance which differs from
co-insurance only in that reserves are retained by
the ceding company while the risk remains with the
reinsurer. The ceding company normally pays
interest to replace the interest the reinsurer
would have earned if it had held the assets
corresponding to the reserves in its own
investment portfolio. We principally use the term
to refer to a proportional reinsurance product
offered by our Converium Life operations to
clients to finance their initial acquisition costs
such as agent and broker commissions.
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|National Association of
Insurance Commissioners |  | An association of the top insurance regulatory
officials of all 50 states and the District of
Columbia organized to promote consistency of
regulatory practice and statutory accounting
standards throughout the United States.                                                                                                                                                                                                                                                                                                                                     
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Net premiums written                            |  | Gross premiums less premiums ceded for reinsurance.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Non-proportional
reinsurance                    |  | Reinsurance under which the reinsurers
participation in a claim depends on the size of
the claim. Also known as excess reinsurance.                                                                                                                                                                                                                                                                                                                                                                                                                              
|                                                |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|Participating contracts                         |  | Insurance in which the policyholder is entitled to
participate in the earnings or surplus of the
insurance enterprise. The participation occurs
through the distribution of dividends to
policyholders.                                                                                                                                                                                                                                                                                                                                                             

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|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|-------------------------- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Premiums earned            |  | That portion of gross premiums written in current
and past periods applying to the expired portion
of the policy period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Proportional reinsurance   |  | Arrangement whereby the insurer cedes to the
reinsurer an agreed fixed percentage of premiums
and claims and other liabilities for each policy
covered on a pro rata basis.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Reinsurance                |  | The practice whereby one insurer, called the
reinsurer, in consideration for premiums received,
agrees to indemnify the ceding insurer for all or
a portion of the risk under a policy or policies
of insurance issued by the ceding insurer. The
legal rights of the insured generally are not
affected by the reinsurance transaction, and the
insurance enterprise issuing the insurance
contract remains liable to the insured for payment
of policy benefits.                                                                                                                                                                                                                                                              
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Reserves                   |  | Liabilities established by insurers and reinsurers
to reflect the estimated cost of claims payments,
benefits payments and the related expenses that
the insurer or reinsurer will ultimately be
required to pay in accordance with the insurance
or reinsurance it has written.                                                                                                                                                                                                                                                                                                                                                                                                                                                
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Retention                  |  | The amount or portion of risk which a ceding
insurer retains for its own account. Losses and
loss expenses paid by the ceding insurer in excess
of the retention level are then reimbursed to the
insurer by the reinsurer. In proportional
insurance, the retention may be a percentage of
the original policys limit. In non-proportional
insurance, the retention is an amount of loss, a
loss ratio or a percentage.                                                                                                                                                                                                                                                                                                       
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Retrocessional
Reinsurance |  | An arrangement under which a reinsurer cedes to
another reinsurer (the retrocessionaire) all or
a portion of the insurance risks reinsured by the
first reinsurer. Retrocessional reinsurance
generally does not legally discharge the ceding
reinsurer from its liability to the original
ceding company.                                                                                                                                                                                                                                                                                                                                                                                                                    
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Separate account           |  | Investment account established and maintained by
an insurer to which funds have been allocated for
certain insurance policies or contracts of the
insurer. The income, gains and losses realized
from assets allocated to the account are, in
accordance with the insurance policies or
contracts, credited to or charged against the
account without regard to other income, gains or
losses of the company or the companys other
separate accounts. Separate accounts cannot
generally be charged with the liabilities of the
general account. Products meeting this definition
are often referred to as investment linked or
unit linked products. The policyholders bear all
of the investment risk for these products.
|                           |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|Survival Ratio             |  | An industry measure of the number of years it
would take a company to exhaust its A&E reserves
for losses and loss expenses based on that
companys current level of A&E claims payments.
The ratio is derived by dividing the current
ending losses and loss expense reserves by the
average                                                                                                                                                                                                                                                                                                                                                                                                                                   

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|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|------------------------ |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|                         |  | annual payments for the prior three years.
The ratio is computed based on the ending reserves
for losses and loss expenses over the respective
claims settlements during the fiscal year.                                                                                                                                                                                    
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Surrender                |  | Many life insurance products permit the insured to
withdraw a portion of the cash surrender value of
the contract. Future benefits are reduced
accordingly.                                                                                                                                                                                                                  
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Tail                     |  | The period of time that elapses between the
incurrence and settlement of losses under a
policy. A short-tail insurance product is one
where ultimate losses are known and settled
comparatively quickly; ultimate losses under a
long-tail insurance product are sometimes not
known and settled for many years.                                                         
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Term life insurance      |  | Life insurance protection for a limited period
which expires without maturity value if the
insured survives the period specified in the
policy.                                                                                                                                                                                                                              
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Treaty reinsurance       |  | A type of reinsurance whereby the ceding company
automatically cedes and the reinsurer
automatically assumes a predetermined portion or
category of specified risks underwritten by the
ceding company.                                                                                                                                                                      
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Underwriting             |  | The process whereby an insurer or reinsurer
reviews applications submitted for insurance or
reinsurance coverage and determines whether it
will provide all or part of the coverage being
requested for an agreed premium.                                                                                                                                                   
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Underwriting results     |  | The pre-tax profit or loss experienced by a
non-life insurance company or reinsurance company
after deducting incurred losses and loss expenses
and operating expenses from premiums earned. This
profit and loss calculation includes reinsurance
assumed and ceded but excludes investment income.                                                                         
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Unit linked              |  | See Separate account.                                                                                                                                                                                                                                                                                                                                                      
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Unit trust               |  | Unit trusts can be invested in stocks, shares,
government securities and other investment
instruments. The fund is divided into units, which
fluctuate in value, depending on the value of the
overall fund. The unit trust is an open ended fund
which means it has a variable number of units in
issue at any one time. Units are bought from and
sold to the fund manager.
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Universal life insurance |  | A life insurance product under which premiums are
generally flexible, the level of death benefits
may be adjusted and expenses and other charges are
specifically disclosed to the policyholder and
deducted from their account balance.                                                                                                                                     
|                         |  |                                                                                                                                                                                                                                                                                                                                                                              
|Whole life insurance     |  | A permanent life insurance product offering
guaranteed death benefits and guaranteed cash
values.                                                                                                                                                                                                                                                                            

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SIGNATURES

The registrant hereby certifies that it has reasonable grounds to believe
that it meets all of the requirements for filing on Form 20-F and has duly
caused this Annual Report to be signed on its behalf by the undersigned,
thereunto duly authorized, in the city of Zurich, Switzerland on
April 17, 2003.

CONVERIUM HOLDING AG

| |  |    |  |                                                                                 
| |  | -- |  | --------------------------------------------------------------------------------
| |  | By |  | /s/ Dirk Lohmann                                                                
| |  |    |  |                                                                                 
| |  |    |  | Name: Dirk Lohmann
Title: Group Chief Executive Officer, Converium Holding AG   
| |  |    |  |                                                                                 
| |  | By |  | /s/ Martin A. Kauer                                                             
| |  |    |  |                                                                                 
| |  |    |  | Name: Martin A. Kauer
Title: Group Chief Financial Officer, Converium Holding AG

CERTIFICATIONS

I, Dirk Lohmann, certify that:

1.     I have reviewed this annual report on Form 20-F of Converium Holding AG.

2.     Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this annual
report;

3.     Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this annual report;

4.     The registrants other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

a) designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which this annual report is being prepared;

b) evaluated the effectiveness of the registrants disclosure controls and
procedures as of a date within 90 days prior to the filing date of this annual
report (the Evaluation Date); and

c) presented in this annual report our conclusions about the effectiveness
of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;

5.     The registrants other certifying officers and I have disclosed, based
on our most recent evaluation, to the registrants auditors and the audit
committee of registrants board of directors (or persons performing the
equivalent function):

a) all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrants ability to record,
process, summarize and report financial data and have identified for the
registrants auditors any material weaknesses in internal controls; and

b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrants
internal controls; and

6.     The registrants other certifying officers and I have indicated in this
annual report whether or not there were significant changes in

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##### Table of Contents



internal controls or in other factors that could significantly affect internal
controls subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

Date: April 17, 2003

By: /s/ Dirk Lohmann
Dirk LohmannGroup Chief Executive Officer, Converium Holding AG

I, Martin Kauer, certify that:

1.     I have reviewed this annual report on Form 20-F of Converium Holding AG.

2.     Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this annual
report;

3.     Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this annual report;

4.     The registrants other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

a) designed such disclosure controls and procedures to ensure that
material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which this annual report is being prepared;

b) evaluated the effectiveness of the registrants disclosure controls and
procedures as of a date within 90 days prior to the filing date of this annual
report (the Evaluation Date); and

c) presented in this annual report our conclusions about the effectiveness
of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;

5.     The registrants other certifying officers and I have disclosed, based
on our most recent evaluation, to the registrants auditors and the audit
committee of registrants board of directors (or persons performing the
equivalent function):

a) all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrants ability to record,
process, summarize and report financial data and have identified for the
registrants auditors any material weaknesses in internal controls; and

b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrants internal controls;
and

6.     The registrants other certifying officers and I have indicated in this
annual report whether or not there were significant changes in
internal controls or in other factors that could significantly affect internal
controls subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

Date: April 17, 2003

By: /s/ Martin A. Kauer
Martin A. KauerGroup Chief Financial Officer, Converium Holding AG

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INDEX TO EXHIBITS

|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|------- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Exhibit |  |                                                                                                                                                                                                                                                                                                                                                                                        
|Number  |  | Description                                                                                                                                                                                                                                                                                                                                                                            
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|1.1     |  | Articles of Incorporation of Converium Holding AG, adopted November 8, 2001.*                                                                                                                                                                                                                                                                                                          
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|1.2     |  | Bylaws of Converium Holding AG, adopted November 16, 2001.*                                                                                                                                                                                                                                                                                                                            
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|1.3     |  | Articles of
Incorporation of Converium Holding AG, revised February 5, 2003.                                                                                                                                                                                                                                                                                                           
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|2.1     |  | Form of Deposit Agreement among Converium Holding AG, The Bank of New York,
as Depositary, and all owners and beneficial owners from time to time of
ADSs issued thereunder (including the form of ADS), incorporated by
reference from the Registration Statement on Form F-6 of Converium Holding
AG (File No. 333-14108), initially filed with the Commission on November
19, 2001.*
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|2.2     |  | Indenture, dated as of October 20, 1993 between Zurich Reinsurance Centre
Holdings, Inc. and The Bank of New York, as Trustee, relating to
$200,000,000 principal amount of 7 1/8% Senior Notes due 2023 (and assumed
by Converium Holdings (North America) Inc. pursuant to the Supplement
Indenture included as Exhibit 2.3 hereto).* (Previously filed as Exhibit 3.1)              
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|2.3     |  | First Supplemental Indenture among Zurich Reinsurance Centre Holdings, Inc.,
as Issuer, Converium Holdings (North America) Inc., as Guarantor, and The
Bank of New York, as Trustee, dated as of November 20, 2001.* (Previously filed as Exhibit 3.2)                                                                                                                                 
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|2.4     |  | Form of Indenture between Converium Finance, S.A., as Issuer, Converium AG and Converium Holding AG as Guarantors and
JPMorgan Chase Bank as Trustee, Calculation Agent and Paying
Agent.+                                                                                                                                                                                             
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|2.5     |  | Form of the $200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes Due 2032
(included in Exhibit 2.4 hereto).+                                                                                                                                                                                                                                                           
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|2.6     |  | Subordinated
Guarantee by Converium Holding AG and Converium AG relating to
$200,000,000 principal amount of 8.25% Guaranteed Subordinated Notes
Due 2032.                                                                                                                                                                                                                             
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|2.7     |  | Indenture, dated December 23, 2002 between Converium Finance S.A.,
Converium Holding AG, Converium AG and JP
Morgan Chase Bank, as trustee, relating to $200,000,000 principal
amount of 8.25% Guaranteed Subordinated Notes Due 2032.                                                                                                                                                 
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.1     |  | Master Agreement by and among Zurich Financial Services and Converium
Holding AG, dated December 1, 2001.*                                                                                                                                                                                                                                                                             
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.2     |  | Stock Purchase Agreement between Zurich Reinsurance Centre Holdings, Inc.
and Converium Holdings (North America) Inc., dated as of October 1, 2001.*                                                                                                                                                                                                                                   
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.3     |  | Agreement for the Sale and Transfer of Shares in Zürich Rückversicherung
(Köln) Aktiengesellschaft, dated September 28, 2001.*                                                                                                                                                                                                                                                         
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.4     |  | Quota Share Retrocession Agreement between Zurich Insurance Company
(including its Singapore, Labuan and Bermuda branches) and Converium AG,
dated October 1, 2001 (and effective as of July 1, 2001).*                                                                                                                                                                                
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.5     |  | Quota Share Retrocession Agreement between Zurich International (Bermuda)
Ltd. and Converium AG, dated October 1, (and effective as of July 1,
2001).*                                                                                                                                                                                                                                 
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.6     |  | Asset Purchase and Assumption of Liability Agreement between Zurich
Insurance Company and Converium AG, dated September 28, 2001.*                                                                                                                                                                                                                                                     
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.7     |  | Indemnity Agreement (Unicover) between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                                            
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.8     |  | Indemnity Agreement (September 11th Cessions) between Zurich Reinsurance
(North America), Inc. and Zurich Insurance Company, dated as of October 1,
2001.*                                                                                                                                                                                                                             
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.9     |  | Indemnity Agreement (September 11th Losses) between Zürich Rückversicherung
(Köln) Aktiengesellschaft and Zurich Insurance Company, dated as of October
1, 2001.*                                                                                                                                                                                                                      
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.10    |  | Partial Commutation Agreement between Zurich Reinsurance (North America),
Inc. and Zurich Insurance Company, dated as of October 1, 2001.*                                                                                                                                                                                                                                             
|        |  |                                                                                                                                                                                                                                                                                                                                                                                        
|4.11    |  | Master Novation and Indemnity Reinsurance Agreement among Zurich Reinsurance
(North America), Inc., Centre Insurance Company, Centre Solutions (U.S.)                                                                                                                                                                                                                                  





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|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|---- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|     |  | Limited and Zurich Insurance Company, Bermuda Brach, dated as of October 1,
2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.12 |  | Group Reinsurance Business Master Novation and Indemnity Reinsurance
Agreement by and among Zurich Reinsurance (North America), Inc., Zurich
Insurance Company and Zurich International (Bermuda) Ltd., dated as of
October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.13 |  | Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance
Agreement effective January 1, 1991 through December 31, 1993) between
Zurich Reinsurance (North America), Inc. and Centre Reinsurance Limited,
dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.14 |  | Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance
Agreement effective January 1, 1994 through December 31, 1994) between
Zurich Reinsurance (North America), Inc. and Centre Reinsurance
International Company, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                  
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.15 |  | Commutation Agreement (covering the Aggregate Excess of Loss Reinsurance
Agreement effective January 1, 1995) between Zurich Reinsurance (North
America), Inc. and Centre Reinsurance Limited, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|4.16 |  | Commutation Agreement (covering the Obligatory Surplus Share Reinsurance
Agreement effective October 1, 1995) between Zurich Reinsurance (North
America), Inc. and Centre Reinsurance Limited, dated as of October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.17 |  | Commutation Agreement (covering the Obligatory Surplus Share Reinsurance
Agreement effective November 6, 1992) between Zurich Reinsurance (North
America), Inc. and Centre Reinsurance International Company, dated as of
October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.18 |  | Agreement Amending and Terminating Centre Reinsurance Dublin Affiliated
Group Tax Allocation Agreement among Orange Stone Delaware Holdings Limited,
Orange Stone Reinsurance, Centre Reinsurance Holdings (Delaware) Limited,
Centre Reinsurance (U.S.) Limited, Zurich Reinsurance Centre Holdings, Inc.,
Zurich Reinsurance (North America), Inc., ZC Insurance Company, ZC Specialty
Insurance Company, Centre Risk Advisors, Inc., Constellation Reinsurance
Company, Centre Re Services, Inc., Zurich Global Assets LLC, formerly known
as BDA/US Services Limited, ZC Management Corporation, ZC Resource LLC, ZC
Property Management, Inc. and Claims Solutions Group, dated October 1,
2001.*
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.19 |  | Catastrophe Cover Retrocession Agreement by and between Converium AG and
Zurich Insurance Company, dated December 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.20 |  | Stock Purchase Agreement between Zurich Reinsurance (North America), Inc.
and Centre Strategic Investments Holdings Limited, dated August 23, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.21 |  | Run-off Services and Management Agreement between Zurich Insurance Company
and Converium AG, dated December 3, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.22 |  | Tax Sharing and Indemnification Agreement among Zurich Reinsurance Centre
Holdings, Inc., Orange Stone Delaware Holdings Limited, Converium Holdings
(North America) Inc., Zurich Reinsurance (North America), Inc. and Zurich
Insurance Company, dated as of October 1, 2001. *                                                                                                                                                                                                                                                                                                                                                                                                                      
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.23 |  | Tax Sharing and Indemnification Agreement between Zurich Financial Services,
Zurich Insurance Company, Converium Holding AG and Converium AG dated
December 3, 2001. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.24 |  | Form of Converium Standard Stock Option Plan for Non-U.S. Employees. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.25 |  | Form of Converium Standard Stock Purchase Plan for Non-U.S. Employees. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.26 |  | Omnibus Share Plan for U.S. Employees. *                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.27 |  | Converium Employee Stock Purchase Plan for U.S. Subsidiaries.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.28 |  | Form of Converium Annual Incentive Deferral Plan.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.29 |  | Lease, between Zurich Insurance Company and Converium AG, dated August 29,
2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.30 |  | Sublease Support Agreement among Zurich Reinsurance (North America), Inc.,
Global Asset Holdings Limited and Centre Insurance Company, dated as of
October 1, 2001.*                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  
|     |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|4.31 |  | Sublease between ZC Resource LLC and Zurich Reinsurance (North America),                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              





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|     |  |                                                                                                                                                                                                                                                                                                        
|---- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|     |  | Inc., dated as of June 20, 2001.*                                                                                                                                                                                                                                                                      
|     |  |                                                                                                                                                                                                                                                                                                        
|4.32 |  | Form of Letter Agreement between Converium Holding AG and The Bank of New
York, relating to the pre-release of the ADRs, incorporated by reference
from the Registration Statement on Form F-6 of Converium Holding AG (File
No. 333-14108), initially filed with the Commission on November 19, 2001.*
|     |  |                                                                                                                                                                                                                                                                                                        
|4.33 |  | Agreement dated September 2, 2002, between Converium AG and MDU Investments
Ltd, regarding subscription of up to 20 million shares at
£1 each.                                                                                                                                                         
|     |  |                                                                                                                                                                                                                                                                                                        
|4.34 |  | Share Purchase Agreement dated November 27, 2002, between Converium AG and
Northern States Agency Inc., Munich Re, Aviva and Royal and Sun Alliance
regarding Global Aerospace Underwriting Managers Limited (GAUM).                                                                                   
|     |  |                                                                                                                                                                                                                                                                                                        
|4.35 |  | Shareholders Agreement dated March 12, 2003, between Converium AG and Northern
States Agency Inc., Munich Re, Aviva and Royal and Sun Alliance regarding Global
Aerospace Underwriting Managers Limited (GAUM).                                                                                       
|     |  |                                                                                                                                                                                                                                                                                                        
|4.36 |  | Sale and Purchase Agreement and Assignment between Converium AG and Converium
Finance S.A. regarding the transfer of a $150 million loan granted to Converium
Holding AG.                                                                                                                              
|     |  |                                                                                                                                                                                                                                                                                                        
|4.37 |  | Amendment to Share Purchase Agreement dated November 27, 2002 between
Converium AG and Northern States Agency Inc., Munich Re, Aviva and
Royal Sun Alliance regarding Global Aerospace Underwriting Managers
Limited (GAUM).                                                                           
|     |  |                                                                                                                                                                                                                                                                                                        
|7.1  |  | Computation of ratio of earnings to fixed charges.                                                                                                                                                                                                                                                     
|     |  |                                                                                                                                                                                                                                                                                                        
|8.1  |  | Subsidiaries of the Registrant.                                                                                                                                                                                                                                                                        
|     |  |                                                                                                                                                                                                                                                                                                        
|12.1 |  | Consent of PricewaterhouseCoopers Ltd, independent accountants.                                                                                                                                                                                                                                        
|     |  |                                                                                                                                                                                                                                                                                                        
|12.2 |  | Certification of Chief Executive Officer.                                                                                                                                                                                                                                                              
|     |  |                                                                                                                                                                                                                                                                                                        
|12.3 |  | Certification of Chief Financial Officer.                                                                                                                                                                                                                                                              

|  |  |                                                                                                           
|- |  | ----------------------------------------------------------------------------------------------------------
|* |  | Incorporated by reference to the Companys Registration Statement
filed on Form F-1, on December 10, 2001.
|+ |  | Incorporated by reference to the Companys Registration Statement
filed on Form F-1, on December 18, 2002.