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Derivative Instruments - Gross amounts of derivative fair values contained in the consolidated balance sheet (Details) - USD ($)
$ in Thousands
Mar. 31, 2017
Dec. 31, 2016
Derivatives, Fair Value [Line Items]    
Gross amounts recognized in balance sheet [1] $ 30,985 $ 107,496
Gross amounts recognized in balance sheet [1] 47,787 64,704
Collateral and counterparty netting, assets [1],[2] (8,565) (17,947)
Collateral and counterparty nettings, liabilities [1],[2] (8,565) (17,947)
Asset derivative fair value [1] 22,420 89,549
Liability derivative fair value [1] 39,222 46,757
Gross amounts not offset in the balance sheet - cash collateral [1],[3] (200) (36,980)
Derivative, Collateral, Right to Reclaim Cash [1],[3] (6,940) (5,810)
Derivative Asset [1] 22,220 52,569
Derivative Liability [1] 32,282 40,947
Derivatives designated as hedging instruments    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 775,340 1,396,801
Gross amounts recognized in balance sheet [1] 10,906 85,175
Liability derivative notional amount 856,298 583,722
Gross amounts recognized in balance sheet [1] 19,316 25,750
Derivatives designated as hedging instruments | Foreign currency exposure    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 775,340 1,396,801
Gross amounts recognized in balance sheet [1] 10,906 85,175
Liability derivative notional amount 856,298 583,722
Gross amounts recognized in balance sheet [1] 19,316 25,750
Derivatives not designated as hedging instruments    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 413,551 342,182
Gross amounts recognized in balance sheet 20,079 22,321
Liability derivative notional amount 4,467,392 4,472,756
Gross amounts recognized in balance sheet 28,471 38,954
Derivatives not designated as hedging instruments | Investment related derivatives | Interest rate exposure    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 0 0
Gross amounts recognized in balance sheet [1] 0 0
Liability derivative notional amount 1,282 0
Gross amounts recognized in balance sheet [1] 0 0
Derivatives not designated as hedging instruments | Investment related derivatives | Foreign currency exposure    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 79,971 10,049
Gross amounts recognized in balance sheet [1] 433 190
Liability derivative notional amount 311,054 273,767
Gross amounts recognized in balance sheet [1] 2,392 12,137
Derivatives not designated as hedging instruments | Investment related derivatives | Credit exposure    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 32,500 32,500
Gross amounts recognized in balance sheet [1] 717 1,077
Liability derivative notional amount 72,500 82,500
Gross amounts recognized in balance sheet [1] 7,682 6,978
Derivatives not designated as hedging instruments | Investment related derivatives | Financial market exposure    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 5 5
Gross amounts recognized in balance sheet [1] 2 5
Liability derivative notional amount 0 0
Gross amounts recognized in balance sheet [1] 0 0
Derivatives not designated as hedging instruments | Other non-investment derivatives | Foreign currency exposure    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 181,300 181,300
Gross amounts recognized in balance sheet [1] 367 1,208
Liability derivative notional amount 0 0
Gross amounts recognized in balance sheet [1] 0 0
Derivatives not designated as hedging instruments | Other non-investment derivatives | Other credit derivatives    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 24,978 0
Gross amounts recognized in balance sheet [1] 163 0
Liability derivative notional amount 0 24,490
Gross amounts recognized in balance sheet [1] 0 340
Derivatives not designated as hedging instruments | Other non-investment derivatives | Guaranteed minimum income benefit contract    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 40,516 43,553
Gross amounts recognized in balance sheet [1] 18,397 19,499
Liability derivative notional amount 40,516 43,553
Gross amounts recognized in balance sheet [1] 18,397 19,499
Derivatives not designated as hedging instruments | Other non-investment derivatives | Modified coinsurance funds withheld contract    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount [4] 54,281 59,775
Gross amounts recognized in balance sheet [1],[4] 0 0
Liability derivative notional amount [4] 4,042,040 4,048,446
Gross amounts recognized in balance sheet [1],[4] 0 0
Derivatives not designated as hedging instruments | Other non-investment derivatives | Other    
Derivatives, Fair Value [Line Items]    
Asset derivative notional amount 0 15,000
Gross amounts recognized in balance sheet [1] 0 342
Liability derivative notional amount 0 0
Gross amounts recognized in balance sheet [1] $ 0 $ 0
[1] Derivative instruments in an asset or liability position are included within Other assets or Other liabilities, respectively, in the balance sheets on a net basis where the Company has both a legal right of offset and the intention to settle the contracts on a net basis. The Company often enters into different types of derivative contracts with a single counterparty and these contracts are covered under netting agreements.
[2] Other assets and other liabilities include derivative instruments. The derivative balances included in each category are reported on a gross basis by level with a netting adjustment presented separately in the Collateral and Counterparty Netting column. The fair values of the individual derivative contracts are reported gross in their respective levels based on the fair value hierarchy. For further details regarding derivative fair values and associated collateral received or paid, see Note 5, "Derivative Instruments.
[3] At March 31, 2017, the Company held cash collateral related to foreign currency derivative positions and certain other derivative positions of $0.2 million for derivatives in an asset position and paid cash collateral of $6.9 million for derivatives in a liability position. At December 31, 2016, the Company held cash collateral related to a foreign currency derivative position and certain other derivative positions of $37.0 million for derivatives in an asset position and paid cash collateral of $5.8 million for derivatives in a liability position. The assets and liabilities related to the net collateral paid or held were recorded as Other assets and Other liabilities within the unaudited consolidated balance sheets as the collateral and derivative positions are not intended to be settled on a net basis.
[4] The fair value movements in derivative assets and liabilities relating to modified coinsurance funds withheld contracts are included within the associated asset or liability at each period end on the face of the balance sheets. Notional amounts associated with reinsurance agreements under which the Company assumes reinsurance risk are recorded as asset derivative notional amounts. Notional amounts associated with the GreyCastle Life Retro Arrangements under which the Company cedes reinsurance risk are recorded as liability derivative notional amounts. Included in the liability derivative notional amount at March 31, 2017 is the cumulative net realized and unrealized loss on the life retrocession embedded derivative of $977.9 million