Insurers' principal function–underwriting–is to assess and price customer risk. Economic theory suggests that insurers should prioritize underwriting over investment as a source of income. We find that many US non-life insurers conform to theory: they consistently earn high returns on underwriting and have relatively low-risk investment portfolios. A subset of insurers, however, do the opposite: they consistently earn low returns on underwriting and have relatively high-risk investment portfolios. This appears to be a strategic choice, as the differences in underwriting profitability and investment portfolio composition persist over time. Our findings represent an empirical puzzle, as none of the potential reasons we consider–the random nature of insurance losses, differences in business mix, and firm characteristics–explains the persistent differences in underwriting profitability.