Transaction in Own Shares during Close Period

LANCASHIRE HOLDINGS LIMITED                          

2 July 2010
Hamilton, Bermuda

                 Transaction in own shares during close period                 

Lancashire Holdings Limited ("the Company"), announces that, as the Company
will shortly be entering a close period, in connection with its share buy-back
programme which was approved by the shareholders at the 2010 Annual General
Meeting held on 4 May 2010 (the "Repurchase Programme") the Company has entered
into an irrevocable non-discretionary arrangement with Macquarie Capital
(Europe) Limited ("Macquarie") to repurchase on its behalf and within certain
pre-set parameters, Common Shares of US$0.50 each in the Company from 6 July
2010 until the earlier of the completion of the Repurchase Programme or the
Company's announcement of its Q2 2010 results which is scheduled for release on
5 August 2010.

Macquarie has been granted the authority to repurchase shares up to an
aggregate value, including costs, of $35 million. The repurchased shares will
be cancelled.

Based on the level of liquidity of the Shares on the London Stock Exchange, the
Company's brokers have received approval from the Financial Services Authority
and the Company hereby announces that it may purchase more than the threshold
of 25% of the average daily volume traded of the Shares over the 20 trading
days preceding the date of purchase ("Volume") up to a maximum of 50% of the
Volume.

This arrangement is in accordance with Rules 12.2.1R and 12.4.4R of the Listing
Rules and the Company's general authority to repurchase shares.

The Company confirms that it currently has no unpublished price sensitive
information.

For further information, please contact:

Lancashire Holdings                    + 44 (0)20 7264 4066                  
Jonny Creagh-Coen                                                            
Greg Lunn                                                                    
                                                                             
Macquarie Capital (Europe) Limited     [phone]                   
Simon Law                                                                    
                                                                             
Haggie Financial                       [phone]                   
Peter Rigby                                                                  
Henny Breakwell                                                              

This announcement does not constitute an invitation or offer to buy any
securities of the Company. None of the securities referred to in this
announcement shall be sold, issued, exchanged or transferred in any
jurisdiction in contravention of applicable laws.

Macquarie Capital (Europe) Limited, which is regulated in the United Kingdom by
the Financial Services Authority, is acting exclusively for Lancashire Holdings
Limited and no one else in relation to the Repurchase Programme, will not
regard any other person as a client in relation to the Repurchase Programme and
will not be responsible to anyone other than Lancashire Holdings Limited for
providing the protections afforded to Lancashire Holdings Limited nor for
providing advice in relation to the Repurchase Programme and/or any other
matter referred to in this announcement.

Macquarie Capital (Europe) Limited is not an authorised deposit-taking
institution for the purposes of the Banking Act 1959 (Commonwealth of
Australia), and its obligations do not represent deposits or other liabilities
of Macquarie Bank Limited ABN 46 008 583 542. Macquarie Bank Limited does not
guarantee or otherwise provide assurance in respect of the obligations of
Macquarie Capital (Europe) Limited.

This announcement is not an offer in or into the United States.

About Lancashire

Lancashire, through its UK and Bermuda-based insurance subsidiaries, is a
global provider of specialty insurance products. Its insurance subsidiaries
carry the Lancashire group rating of A minus (Excellent) from A.M. Best with a
stable outlook. Lancashire has capital in excess of $1 billion and its Common
Shares trade on the main market of the London Stock Exchange under the ticker
symbol LRE. Lancashire is headquartered at Power House, 7 Par-la-Ville Road,
Hamilton HM 11, Bermuda. The mailing address is Lancashire Holdings Limited,
P.O. Box HM 2358, Hamilton HM HX, Bermuda. For more information on Lancashire,
visit the Company's website at www.lancashiregroup.com.

NOTE REGARDING FORWARD-LOOKING STATEMENTS:

CERTAIN STATEMENTS AND INDICATIVE PROJECTIONS (WHICH MAY INCLUDE MODELED LOSS
SCENARIOS) MADE THAT ARE NOT BASED ON CURRENT OR HISTORICAL FACTS ARE
FORWARD-LOOKING IN NATURE INCLUDING WITHOUT LIMITATION, STATEMENTS CONTAINING
THE WORDS 'BELIEVES', 'ANTICIPATES', 'PLANS', 'PROJECTS', 'FORECASTS',
'GUIDANCE', 'INTENDS', 'EXPECTS', 'ESTIMATES', 'PREDICTS', 'MAY', 'CAN',
'WILL', 'SEEKS', 'SHOULD', OR, IN EACH CASE, THEIR NEGATIVE OR COMPARABLE
TERMINOLOGY. ALL STATEMENTS OTHER THAN STATEMENTS OF HISTORICAL FACTS
INCLUDING, WITHOUT LIMITATION, THOSE REGARDING THE GROUP'S FINANCIAL POSITION,
RESULTS OF OPERATIONS, LIQUIDITY, PROSPECTS, GROWTH, CAPITAL MANAGEMENT PLANS,
BUSINESS STRATEGY, PLANS AND OBJECTIVES OF MANAGEMENT FOR FUTURE OPERATIONS
(INCLUDING DEVELOPMENT PLANS AND OBJECTIVES RELATING TO THE GROUP'S INSURANCE
BUSINESS) ARE FORWARD-LOOKING STATEMENTS. SUCH FORWARD-LOOKING STATEMENTS
INVOLVE KNOWN AND UNKNOWN RISKS, UNCERTAINTIES AND OTHER IMPORTANT FACTORS THAT
COULD CAUSE THE ACTUAL RESULTS, PERFORMANCE OR ACHIEVEMENTS OF THE GROUP TO BE
MATERIALLY DIFFERENT FROM FUTURE RESULTS, PERFORMANCE OR ACHIEVEMENTS EXPRESSED
OR IMPLIED BY SUCH FORWARD-LOOKING STATEMENTS.

THESE FACTORS INCLUDE, BUT ARE NOT LIMITED TO: THE NUMBER AND TYPE OF INSURANCE
AND REINSURANCE CONTRACTS THAT WE WRITE; THE PREMIUM RATES AVAILABLE AT THE
TIME OF SUCH RENEWALS WITHIN OUR TARGETED BUSINESS LINES; THE LOW FREQUENCY OF
LARGE EVENTS; UNUSUAL LOSS FREQUENCY; THE IMPACT THAT OUR FUTURE OPERATING
RESULTS, CAPITAL POSITION AND RATING AGENCY AND OTHER CONSIDERATIONS HAVE ON
THE EXECUTION OF ANY CAPITAL MANAGEMENT INITIATIVES; THE POSSIBILITY OF GREATER
FREQUENCY OR SEVERITY OF CLAIMS AND LOSS ACTIVITY THAN OUR UNDERWRITING,
RESERVING OR INVESTMENT PRACTICES HAVE ANTICIPATED; THE RELIABILITY OF, AND
CHANGES IN ASSUMPTIONS TO, CATASTROPHE PRICING, ACCUMULATION AND ESTIMATED LOSS
MODELS; LOSS OF KEY PERSONNEL; A DECLINE IN OUR OPERATING SUBSIDIARIES' RATING
WITH A.M. BEST COMPANY AND/OR OTHER RATING AGENCIES; INCREASED COMPETITION ON
THE BASIS OF PRICING, CAPACITY, COVERAGE TERMS OR OTHER FACTORS; A CYCLICAL
DOWNTURN OF THE INDUSTRY; THE IMPACT OF A DETERIORATING CREDIT ENVIRONMENT
CREATED BY THE FINANCIAL MARKETS; A RATING DOWNGRADE OF, OR A MARKET DECLINE
IN, SECURITIES IN OUR INVESTMENT PORTFOLIO; CHANGES IN GOVERNMENTAL REGULATIONS
OR TAX LAWS IN JURISDICTIONS WHERE LANCASHIRE CONDUCTS BUSINESS; LANCASHIRE OR
ITS BERMUDIAN SUBSIDIARY BECOMING SUBJECT TO INCOME TAXES IN THE UNITED STATES
OR THE UNITED KINGDOM; AND THE EFFECTIVENESS OF OUR LOSS LIMITATION METHODS.
ANY ESTIMATES RELATING TO LOSS EVENTS INVOLVE THE EXERCISE OF CONSIDERABLE
JUDGEMENT AND REFLECT A COMBINATION OF GROUND-UP EVALUATIONS, INFORMATION
AVAILABLE TO DATE FROM BROKERS AND INSUREDS, MARKET INTELLIGENCE, INITIAL AND/
OR TENTATIVE LOSS REPORTS AND OTHER SOURCES. JUDGEMENTS IN RELATION TO LOSS
ARISING FROM NATURAL CATASTROPHE AND MAN MADE EVENTS INVOLVE COMPLEX FACTORS
POTENTIALLY CONTRIBUTING TO THESE TYPES OF LOSS, AND WE CAUTION AS TO THE
PRELIMINARY NATURE OF THE INFORMATION USED TO PREPARE ANY SUCH ESTIMATES.

THESE FORWARD-LOOKING STATEMENTS SPEAK ONLY AS AT THE DATE OF PUBLICATION.
LANCASHIRE HOLDINGS LIMITED EXPRESSLY DISCLAIMS ANY OBLIGATION OR UNDERTAKING
(SAVE AS REQUIRED TO COMPLY WITH ANY LEGAL OR REGULATORY OBLIGATIONS (INCLUDING
THE RULES OF THE LONDON STOCK EXCHANGE)) TO DISSEMINATE ANY UPDATES OR
REVISIONS TO ANY FORWARD-LOOKING STATEMENTS TO REFLECT ANY CHANGES IN THE
GROUP'S EXPECTATIONS OR CIRCUMSTANCES ON WHICH ANY SUCH STATEMENT IS BASED.