UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                   FORM 13F

                              FORM 13F COVER PAGE

     INFORMATION REQUIRED OF INSTITUTIONAL INVESTMENT MANAGERS PURSUANT
TO SECTION 13(f) OF THE SECURITIES EXCHANGE ACT OF 1934 AND RULES THEREUNDER

Report for the Calendar Year or Quarter Ended:    September 30, 2006
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Check Here if Amendment / /; Amendment Number:
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   This Amendment (Check only one.):    / / is a restatement.
                                        / / adds new holdings entries.

Institutional Investment Manager Filing this Report:

   Name:         White Mountains Insurance Group, Ltd.
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   Address:      Harborside Financial Center, Plaza 5
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                 Jersey City, New Jersey 07311-1114
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                 U.S.A.
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Form 13F File Number: 028-01681
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The institutional investment manager filing this report and the person by
whom it is signed hereby represent that the person signing the report is
authorized to submit it, that all information contained herein is true,
correct and complete, and that it is understood that all required items,
statements, schedules, lists, and tables, are considered integral parts of
this form.

Person Signing this Report on Behalf of Reporting Manager:

Name:    J. Brian Palmer
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Title:   Chief Accounting Officer
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Phone:   (617) 640-2200
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Signature, Place, and Date of Signing:

       /s/ J. Brian Palmer       Boston, Massachusetts    November 13, 2006
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            [Signature]              [City, State]             [Date]

Report Type (Check only one.):

/ / 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
    manager are reported in this report.)

/X/ 13F NOTICE. (Check here if no holdings reported are in this report,
    and all holdings are reported by other reporting manager(s).)

/ / 13F COMBINATION REPORT. (Check here if a portion of the holdings for this
    reporting manager are reported in this report and a portion are reported by
    other reporting manager(s).)

List of Other Managers Reporting for this Manager:

    Form 13F File Number        Name

         028-00470                White Mountains Advisors LLC
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