Sullivan is leaving after three years at the helm and will be replaced by A.I.G. Chairman Robert Willumstad, a former president and chief operating officer of Citigroup, Inc.
A.I.G. also named former Hilton Hotels executive Stephen Bollenbach, as its lead independent director, a company statement said.
Sullivan took over after former CEO Maurice Greenberg was asked to leave in the midst of an accounting scandal, The New York Times reported Monday.
Regulators and the Justice Department are again investigating the company, where the mortgage crisis has helped push stock down more than 40 percent since December, the Times reported.
Exploding whale video goes viral on Internet
Gal Gadot cast as Wonder Woman for 'Batman vs. Superman'