WASHINGTON, D.C. 20549

                                   FORM 13F

                              FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended:    March 31, 2006

Check Here if Amendment / /; Amendment Number:
This Amendment (Check only one.):        / / is a restatement.
                                        / /  adds new holdings entries.

Institutional Investment Manager Filing this Report:

   Name:         White Mountains Insurance Group, Ltd.
   Address:      Harborside Financial Center, Suite 1720, 17th Floor,
                 Jersey City, New Jersey 07311-1114

Form 13F File Number: 28-01681

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
Title:   Chief Accounting Officer
Phone:   (603) 640-2200

Signature, Place, and Date of Signing:

   /s/ J. Brian Palmer                Boston, Massachusetts      May 12, 2006
   -------------------------------    ---------------------      -------------
           [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

    28-00470                 White Mountains Advisors LLC
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                             FORM 13F SUMMARY PAGE

Report Summary:

Number of Other Included Managers:

Form 13F Information Table Entry Total:

Form 13F Information Table Value Total:

List of Other Included Managers:

Provide a numbered list of the name(s) and Form 13F file number(s) of all
institutional investment managers with respect to which this report is filed,
other than the manager filing this report.

  No.      Form 13F File Number      Name

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