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

                                    Form 13F

                               Form 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: September 30, 2004

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:    Alleghany Insurance Holdings LLC
Address: 375 Park Avenue
         New York, NY  10152

Form 13F File Number:

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:  Peter R. Sismondo
Title: Manager
Phone: 212-752-1356

Signature, Place, and Date of Signing:


     /s/ Peter R. Sismondo            New York, NY            November 9, 2004
--------------------------------------------------------------------------------
          [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

            28-1590             Alleghany Corporation