Pierre Wauthier was 53 years old and was based in Switzerland where the insurer is head-quartered.
He joined Zurich in 1996 and was appointed group CFO in 2011. Group controller Vibhu Sharma will take over as CFO on an interim basis.
Chief executive officer Martin Senn said: “The board of directors, group executive committee and all of our colleagues are deeply saddened and pass on our condolences to the family and relatives.”