try
    ...
except
    on EOne, ETwo, EThree do
        ...
    end;

function StringCaseSelect(const ASelector: string; const ACaseList: array of string): Integer;
var
  I: Integer;
begin
  for I := 0 to High(ACaseList) do
    if ACaseList[I] = ASelector then
    begin
      Result := Succ(I);
      Exit
    end;
  Result := 0
end;

procedure TForm3.FormCreate(Sender: TObject);
begin
  try
    raise EConvertError.Create('')
  except
    case StringCaseSelect(ExceptObject.ClassName, ['EDivByZero', 'EFilerError', 'EConvertError']) of
      1, 2, 3:
        ShowMessage('Caught');
      0:
        ShowMessage('Uncaught')
    end;
  end
end;