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CORRESP
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corresp

Mr. Jim B. Rosenberg

Senior Assistant Chief Accountant

Division of Corporation Finance

United States Securities and Exchange Commission

Washington, DC 2054

United States of America

October 19, 2005

    Re:

    Converium Holding AG

    Form 20-F for the fiscal year Ended December 31, 2004

    File Number: 333-14106

Dear Mr. Rosenberg:

Thank you for your letter dated September 16, 2005, relating to your review of our Annual Report on
Form 20-F for the fiscal year ended December 31, 2004 (the “Form 20-F”).

As requested in your letter, the numbered paragraphs below correspond to the numbered comments set
forth in your letter. For your convenience, we have reproduced each of the comments from your
letter immediately before our response. We will also ensure that this letter of response is filed
on EDGAR under the form label CORRESP, as requested.

Form 20-F for the year ended December 31, 2004

Item 4. Information on the Company

B. Business Overview

Our Business

Structured/finite, page 23

    1.

    We note from your disclosures that all of your operating segments offer
structured/finite solutions. It is unclear from your filing what types of “solutions” you
offer. As such please tell us supplementally the types of reinsurance protection offered
(i.e. excess of loss or finite reinsurance), whether the protection is prospective or
retrospective, how losses attach to your contracts and/or treaties and any other
provisions in the contracts and/or treaties that are not usually included in a standard
reinsurance contract. In addition please tell us the economic benefit that you are
attempting to provide to the reinsurer. The intent of the comment is to first understand
your business and then provide suggested disclosures that help provide greater
transparency into your business.

    Converium response:

    We have historically offered structured/finite business solutions on a proportional and
excess of loss basis, both prospectively and retrospectively.

    The structured/finite products that we have offered have several features that differ from
traditional reinsurance products. The following features were included in such
structured/finite reinsurance products: (i) premium refunds based on actual loss
experience; (ii) loss sharing provisions; (iii) additional premiums
based on actual loss experience, (iv) sliding scale commission rates, (v) non-refundable
reinsurer’s margins; and (vi) underwriting terms that limit the maximum aggregate exposure.
Certain of these solutions have been provided on a funds withheld basis.

    In terms of the economic benefit provided by these products we state on page 22 of the 2004
20-F filing, within the Business Overview section, that “Non-traditional reinsurance
involves structured reinsurance solutions tailored to meet individual client’s strategic
and financial objectives”. Also on page 22 we state that, “Often these

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    reinsurance
solutions provide reinsurance protection across a company’s entire insurance portfolio.
Because of the constantly changing industry and regulatory framework, as well as the
changing market demands facing insurance companies, the approaches utilized in
structure/finite programs are constantly evolving and will continue to do so". On page 23,
we further emphasize that, “We seek to provide client specific solutions". Accordingly we
believe that we have emphasized that clients buy this type of product for reasons that are
unique to their business, which may potentially include the need to provide reinsurance
protection over multiple years or multiple lines of business on a prospective or
retrospective basis as part of their risk management and capital management strategies.

    We would also note that the importance of structured/finite business has declined over the
last few years, particularly following our decision to put our North American operations
into run-off. See the table on page 22 of the 2004 20-F filing and our response to comment (2)
below.

Non-Life Operations

Standard Property & Casualty Reinsurance, page 25

    2.

    We note that your Structured/Finite line of business has loss ratios of 162.7%,
188.2% and 228.4% for the years ended December 31, 2004, 2003 and 2002, respectively. Due
to the fact that the loss ratios for the line of business are significantly higher than
your other lines of business, please disclose the reasons for the high loss ratios and any
related known trends and/or uncertainties.

    Converium response:

    Please note that the loss ratio for structured/finite in the Standard Property & Casualty
segment in respect of the 2002 year is 64.0% as stated in the table on page 25 of the 2004
20-F filing. The loss ratio for 2002 is in line with the loss ratios for the remainder of
the lines of business within the Standard Property & Casualty segment.

    The loss ratios for the 2004 and 2003 years have been impacted by the significantly reduced
earned premium levels as compared to the 2002 year, coupled with loss reserve strengthening
from prior underwriting years in a small number of North American client accounts. The
loss reserve strengthening in 2004 was a direct result of the findings of the internal and
external actuarial reviews conducted on the North American Standard Property & Casualty
portfolio of business.

    As stated on page 23 of the 2004 20-F filing, within the Business Overview section, “Some
structured/finite markets are rating-sensitive and due to our recent downgrades we expect
written premium volume in this area to reduce significantly". Additionally in view of the
decision to put our North American operations into run-off we do not expect to write any
structured/finite business in the North American marketplace, which has historically been
the market with the strongest demand for this type of product in the Standard Property &
Casualty segment.

    Earned premiums for the structured/finite business within the Standard Property & Casualty
Reinsurance segment were US$ 35.7 million, US$ 34.7 million and US$ 124.4 million for the
years ended December 31, 2004, 2003 and 2002, respectively, which represents 2.3%, 2.1% and
8.9% of total net premiums earned for the segment during these years.

    Losses for the structured/finite business within the Standard Property & Casualty
Reinsurance segment were US$ 58.2 million, US$ 65.3 million and US$ 79.6 million, for the
years ended December 31, 2004, 2003 and 2002, respectively, which represents 4.7%, 5.9% and
7.5% of total losses for the segment during these years.

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    In view of the relative size and declining importance of the structured/finite business to
the financial performance of the Standard Property & Casualty segment, we believe that our
disclosures in the 2004 20-F filing are adequate.

Item 5. Operating and Financial Review and Prospects

A. Operating Results

Critical Accounting Estimates

Non-life and loss adjustment reserves, page 56

    3.

    We believe your disclosure in Management’s Discussion and Analysis regarding the
reserve for loss and loss adjustment expenses could be improved to better explain the
judgements and uncertainties surrounding this estimate and the potential impact on your
financial statements. We believe that disclosures explaining the likelihood that
materially different amounts would be reported under different conditions or using
different assumptions is consistent with the objective of Management’s Discussion and
Analysis. Accordingly, please revise MD&A to include the following information for each
of your lines of business.

    a.

    Please disclose the range of loss reserve estimates as determined by your actuaries.
Discuss the key assumptions used to arrive at management’s best estimate of loss reserves
within that range and what specific factors led management to believe this amount rather
than any other amount within the range represented the best estimate of incurred losses.
In addition include quantified and narrative disclosure of the impact that reasonably
likely changes in one or more of the variables (i.e. actuarially method and/or assumptions
used) would have on reported results, financial position and liquidity.

    Converium response:

    The reserving methodology followed by our actuaries does not derive aggregated loss reserve
ranges. The essence of our process is that best estimates are derived
at the contract level,
using the most appropriate method as determined by the actuary. Such a process does not
lend itself to the determination of aggregated ranges to the business segment or
consolidated level as any accumulation would not be on a like-for-like basis and would not
take account of diversification effects. We determine a best estimate as opposed to a range
of estimates.

    b.

    If you do not calculate a range around your loss reserve, but instead use point
estimates please include the following disclosures:

    •

    Disclose the various methods considered and the method that was selected to
calculate the reserves. If multiple point estimates are generated, include the range
of these point estimates. Include a discussion of why the method selected was more
appropriate over the other methods.

    •

    Discuss how management determined the most appropriate point estimate and why the
other point estimates were not chosen. Also clarify whether the company actually
records to the point estimate or if not, how the point estimate is used.

Converium response:

The following response addresses the first two bullet points of 3(b), regarding our
reserving methodology and the determination of our point estimate. Our methodology does not
determine multiple point estimates from which management determines the most appropriate
point estimate.

In establishing loss reserves, we utilize an integrated, multi-disciplinary approach. After
an initial analysis by reserving actuaries, preliminary results are shared with appropriate
underwriters, pricing actuaries, claims and finance professionals and senior management.
On page 56 of the 2004 20-F filing, within the Critical

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Accounting Policies section, we
describe our reserving process as follows:

“We estimate our loss and loss adjustment reserves on the basis of facts reported to us by
ceding companies, and in conjunction with actuarial estimates and methodologies 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.”

On page 36 of the 2004 20-F filing, within the Business Overview section, we state the
following, “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 data and pricing information and statistical models
as well as our pricing analyses. We revise reserves as additional information becomes
available and as claims are reported and paid.”

Furthermore, on page 37 of the 2004 20-F filing, within the Business Overview section, we
state, “Our reserving tool 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. We aggregate the reserves indicated for each
transaction to arrive at the total reserve requirement (“bottom-up approach”).”

We included the following more detailed, technical disclosure on pages 34 and 35 of our
2003 20-F filling.

“Every reinsurance contract is assigned to a reserving group referred to as a Reserve
Equity Cell or 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 or non-proportional); 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 our 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, 2003) is less than 50% of the ultimate loss that will eventually be reported)
when the actual loss experience is not yet deemed

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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 expected loss / expected loss ratio above)

• revise the expected paid loss and / or expected reporting loss
patterns

“The indicated ultimate loss is intended to represent the expected ultimate loss for the
full exposure of each contract at the reserving date (e.g. December 31, 2003). Additional
reserve provisions can be added for known losses (notified) that have not been recorded yet
in our system.

“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 a 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.”

We elected to abbreviate this information in 2004, as we did not consider
that it added to a reader of the 20-F document’s understanding of our reserving approach.
Accordingly, we believe our 2004 20-F disclosure appropriately discloses our methodology
and processes. Therefore, we currently do not intend to re-insert this disclosure in our 2005 20-F filing. However, if the Staff believes that the more detailed, technical disclosure
in our 2003 20-F filing is useful to a reader of the 20-F document, we would re-insert it in our 2005 20-F filing.

    •

    Include quantified and narrative disclosure of the impact that reasonably likely
changes in one or more of the variables (i.e. actuarially method and/or assumptions
used) would have on reported results, financial position and liquidity.

    Converium response:

    On page 56 of the 2004 20-F filing, within the Critical Accounting Policies section