<PAGE>
 
                                                                      Exhibit 11

                           MUTUAL RISK MANAGEMENT LTD.
                        COMPUTATION OF EARNINGS PER SHARE

<TABLE>
<CAPTION>
                                                                     Quarter Ended Sept, 30         Nine Months Ended Sept, 30
                                                                      1998             1997            1998            1997

                                                                       (in thousands except share and per share amounts)
<S>                                                               <C>             <C>             <C>             <C>         
Basic
-----

Income Available to Common Shareholders                           $     16,188    $     13,084    $     45,256    $     34,895
                                                                  ============    ============    ============    ============

Weighted Average Common Shares outstanding                          39,783,739      37,422,524      39,042,380      37,298,504
                                                                  ------------    ------------    ------------    ------------

Basic earnings per Common Share                                   $       0.41    $       0.35    $       1.16    $       0.94
                                                                  ============    ============    ============    ============


Diluted
-------

Income Available to Common Shareholders                           $     16,188    $     13,084    $     45,256    $     34,895
Debenture interest                                                       1,634           1,632           4,967           4,840
                                                                  ------------    ------------    ------------    ------------
                                                                  $     17,822    $     14,716    $     50,223    $     39,735
                                                                  ============    ============    ============    ============

Weighted Average Common Shares outstanding                          39,783,739      37,422,524      39,042,380      37,298,504
                                                                  ------------    ------------    ------------    ------------

Common share equivalents associated with options, 
     Redeemable Common Shares and Convertible Debentures:
           Options                                                   4,008,252       3,824,704       4,008,252       3,824,704
           Redeemable Common Shares                                          0         937,168               0         937,168
           Convertible Debentures                                    6,580,804       6,978,800       6,580,804       6,978,800
                                                                  ------------    ------------    ------------    ------------
                                                                    10,589,056      11,740,672      10,589,056      11,740,672
Common Shares purchased with proceeds from
   Options exercised                                                (1,879,797)     (2,112,426)     (1,462,033)     (2,459,066)
                                                                  ------------    ------------    ------------    ------------
                                                                     8,709,259       9,628,246       9,127,023       9,281,606
                                                                  ------------    ------------    ------------    ------------

Total Weighted Average Common Shares                                48,492,998      47,050,770      48,169,403      46,580,110
                                                                  ============    ============    ============    ============

Diluted earnings per Common Share                                 $       0.37    $       0.31    $       1.04    $       0.85
                                                                  ============    ============    ============    ============
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