<PAGE>   1
                                UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM 10-Q
(Mark One)

[X]      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

For the Quarterly Period Ended September 30, 1997
                               ------------------
[ ]      TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

For the transition period from _________ to __________

Commission File Number 001-11462
                       ---------



                        DELPHI FINANCIAL GROUP, INC.
--------------------------------------------------------------------------------
           (Exact name of registrant as specified in its charter)


<TABLE>
<S>                                                    <C>                                       <C>
        Delaware                                        (302) 478-5142                                       13-3427277          
--------------------------------               --------------------------------------             ------------------------------
(State or other jurisdiction of                  (Registrant's telephone number,                  (I.R.S. Employer Identification
incorporation or organization)                         including area code)                                  Number)
</TABLE>


<TABLE>
<S>                                                                                                         <C>
         1105 North Market Street, Suite 1230, Wilmington, Delaware                                            19899            
--------------------------------------------------------------------------------------------------------------------------------
                 (Address of principal executive offices)                                                    (Zip Code)
</TABLE>

Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports) and (2) has been subject to
filing requirements for the past 90 days:

         Yes   X                                       No      
             -----                                        -----


            As of October 24, 1997, the Registrant had 12,808,921
            shares of Class A Common Stock and 6,156,787 shares of
                      Class B Common Stock outstanding.
<PAGE>   2
                          DELPHI FINANCIAL GROUP, INC.

                                   FORM 10-Q

                                     INDEX


<TABLE>
<CAPTION>
                                                                                                                     Page
                                                                                                                     ----
<S>                                                                                                                  <C>
PART I.  FINANCIAL INFORMATION

         Consolidated Statements of Income for the Three and Nine   
             Months Ended September 30, 1997 and 1996  . . . . . . . . . . . . . . . . . . . . . . . .                3
                                                                    
         Consolidated Balance Sheets at September 30, 1997 and      
             December 31, 1996 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .                4
                                                                    
         Consolidated Statements of Cash Flows for the              
             Nine Months Ended September 30, 1997 and 1996   . . . . . . . . . . . . . . . . . . . . .                5
                                                                    
         Notes to Consolidated Financial Statements  . . . . . . . . . . . . . . . . . . . . . . . . .                6
                                                                    
         Management's Discussion and Analysis of Financial          
             Condition and Results of Operations   . . . . . . . . . . . . . . . . . . . . . . . . . .                8

PART II. OTHER INFORMATION   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .               12
</TABLE>





                                      -2-
<PAGE>   3
                         PART I. FINANCIAL INFORMATION

                 DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
                       CONSOLIDATED STATEMENTS OF INCOME
                 (DOLLARS IN THOUSANDS, EXCEPT PER SHARE DATA)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                                           Three Months Ended           Nine Months Ended
                                                                              September 30,               September 30,             
                                                                       ---------------------------   --------------------------
                                                                           1997          1996           1997           1996 
                                                                        ----------     ---------      ---------      ---------
<S>                                                                     <C>            <C>            <C>            <C>
Revenue:
    Insurance premiums and policyholder fees  . . . . . . . . . . .     $   89,848     $   85,430     $  267,658     $ 244,305
    Net investment income   . . . . . . . . . . . . . . . . . . . .         40,428         43,966        124,948       112,958
    Net realized investment gains (losses)  . . . . . . . . . . . .          5,214           (666)         9,577        (5,934)
                                                                        ----------     ----------     ----------     ---------- 
                                                                           135,490        128,730        402,183       351,329
                                                                        ----------     ----------     ----------     ---------
Benefits and expenses:
    Benefits, claims and interest credited to policyholders.  . . .         72,762         71,674        220,231       204,469
    Commissions . . . . . . . . . . . . . . . . . . . . . . . . . .          6,932          5,972         19,944        17,623
    Amortization of cost of business acquired   . . . . . . . . . .          7,177         10,390         21,557        22,653
    Premium and other taxes, licenses and fees  . . . . . . . . . .          3,077          3,173          9,284         8,765
    Other operating expenses  . . . . . . . . . . . . . . . . . . .         10,968          9,896         31,921        26,468
                                                                        ----------     ----------     ----------     ---------
                                                                           100,916        101,105        302,937       279,978
                                                                        ----------     ----------     ----------     ---------
         Income from continuing operations before interest
                   and income tax expense and dividends on
                   Capital Securities of Delphi Funding L.L.C.  . .         34,574         27,625         99,246        71,351

Interest expense. . . . . . . . . . . . . . . . . . . . . . . . . .          3,562          5,772         11,399        13,816
                                                                        ----------     ----------     ----------     ---------
         Income from continuing operations before income
                   tax expense and dividends on Capital Securities
                   of Delphi Funding L.L.C.   . . . . . . . . . . .         31,012         21,853         87,847        57,535
Income tax expense. . . . . . . . . . . . . . . . . . . . . . . . .          9,660          7,341         28,550        19,444
                                                                        ----------     ----------     ----------     ---------
         Income from continuing operations before dividends
                   on Capital Securities of  Delphi Funding L.L.C. .        21,352         14,512         59,297        38,091

Dividends on Capital Securities of Delphi Funding L.L.C.  . . . . .          1,513              -          3,143             -
                                                                        ----------     ----------     ----------     ---------

         Income from continuing operations  . . . . . . . . . . . .         19,839         14,512         56,154        38,091

Discontinued operations, net of income tax benefit:
    Loss from operations .  . . . . . . . . . . . . . . . . . . . .              -              -              -          (765)
    Loss on disposal  . . . . . . . . . . . . . . . . . . . . . . .              -              -              -        (5,836)
                                                                        ----------     ----------     ----------     ---------

         Net income . . . . . . . . . . . . . . . . . . . . . . . .     $   19,839     $   14,512     $   56,154     $  31,490
                                                                        ==========     ==========     ==========     =========
Results per share of common stock:
    Income from continuing operations   . . . . . . . . . . . . . .     $     0.99     $     0.73     $     2.80     $    2.03
    Loss from discontinued operations, net of
      income tax benefit:
         Loss from operations . . . . . . . . . . . . . . . . . . .              -              -              -         (0.04)
         Loss on disposal . . . . . . . . . . . . . . . . . . . . .              -              -              -         (0.31)
                                                                        ----------     ----------     ----------     --------- 
    Net income. . . . . . . . . . . . . . . . . . . . . . . . . . .     $     0.99     $     0.73     $     2.80     $    1.68
                                                                        ==========     ==========     ==========     =========

Weighted average shares outstanding (in thousands)  . . . . . . . .         20,054         19,970         20,032        18,788
</TABLE>


                See notes to consolidated financial statements.





                                      -3-
<PAGE>   4
                 DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
                          CONSOLIDATED BALANCE SHEETS
                             (DOLLARS IN THOUSANDS)
                                  (UNAUDITED)


<TABLE>
<CAPTION>
                                                                                                  September 30,    December 31,
                                                                                                       1997             1996    
                                                                                                  -------------    -------------
<S>                                                                                               <C>              <C>
Assets:
          Investments:
            Fixed maturity securities, available for sale   . . . . . . . . . . . . . . . .       $ 2,071,223      $ 1,891,512
            Cash and cash equivalents . . . . . . . . . . . . . . . . . . . . . . . . . . .            56,841           89,711
            Other investments   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .           434,807          313,784
                                                                                                  -----------      -----------
                                                                                                    2,562,871        2,295,007
          Cost of business acquired . . . . . . . . . . . . . . . . . . . . . . . . . . . .            92,307           94,594
          Reinsurance receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . .           225,225          214,529
          Other assets  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .           166,261          174,157
          Assets held in separate account . . . . . . . . . . . . . . . . . . . . . . . . .            73,710           79,619
                                                                                                  -----------      -----------
            Total assets  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .       $ 3,120,374      $ 2,857,906
                                                                                                  ===========      ===========


Liabilities and Shareholders' Equity:
          Future policy benefits  . . . . . . . . . . . . . . . . . . . . . . . . . . . . .       $   431,217      $   416,854
          Unpaid claims and claim expenses  . . . . . . . . . . . . . . . . . . . . . . . .           549,564          509,720
          Policyholder account balances . . . . . . . . . . . . . . . . . . . . . . . . . .           717,074          719,229
          Corporate debt  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .           178,829          231,004
          Advances from Federal Home Loan Bank  . . . . . . . . . . . . . . . . . . . . . .           201,023          201,055
          Other liabilities and policyholder funds  . . . . . . . . . . . . . . . . . . . .           427,857          341,181
          Liabilities related to separate account . . . . . . . . . . . . . . . . . . . . .            64,955           71,898
                                                                                                  -----------      -----------
            Total liabilities   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .         2,570,519        2,490,941
                                                                                                  -----------      -----------

          Company-obligated mandatorily redeemable Capital Securities of Delphi
            Funding L.L.C. holding solely junior subordinated deferrable interest
            debentures of the Company   . . . . . . . . . . . . . . . . . . . . . . . . . .           100,000                -
                                                                                                  -----------      -----------

          Shareholders' equity: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
            Preferred Stock, $.01 par; 10,000,000 shares authorized   . . . . . . . . . . .                 -                -
            Class A Common Stock, $.01 par; 40,000,000 shares authorized;
               12,602,840 and 11,813,064 shares issued and outstanding, respectively  . . .               126              118
            Class B Common Stock, $.01 par; 20,000,000 shares authorized;
               6,156,787 and 6,258,944 shares issued and outstanding, respectively  . . . .                62               63
            Additional paid-in capital  . . . . . . . . . . . . . . . . . . . . . . . . . .           256,983          240,203
            Net unrealized appreciation (depreciation) on investments   . . . . . . . . . .             5,726          (17,949)
            Retained earnings   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .           186,958          144,530
                                                                                                  -----------      -----------
               Total shareholders' equity . . . . . . . . . . . . . . . . . . . . . . . . .           449,855          366,965
                                                                                                  -----------      -----------
                   Total liabilities and shareholders' equity   . . . . . . . . . . . . . .       $ 3,120,374      $ 2,857,906
                                                                                                  ===========      ===========
</TABLE>





                See notes to consolidated financial statements.





                                      -4-
<PAGE>   5
                 DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
                     CONSOLIDATED STATEMENTS OF CASH FLOWS
                             (DOLLARS IN THOUSANDS)
                                  (UNAUDITED)


<TABLE>
<CAPTION>
                                                                                                      Nine Months Ended
                                                                                                         September 30,             
                                                                                                   --------------------------
                                                                                                        1997           1996 
                                                                                                    ----------      ---------
<S>                                                                                                   <C>            <C>
Operating activities:
          Net income  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .       $   56,154     $  31,490
          Adjustments to reconcile net income to net cash provided by operating activities:
            Change in future policy benefits, unpaid claims and claim expenses,
               reinsurance receivables and policyholder accounts  . . . . . . . . . . . . . . .           40,245        39,493
            Amortization, principally the cost of business acquired and investments   . . . . .           15,166        19,456
            Deferred costs of business acquired   . . . . . . . . . . . . . . . . . . . . . . .          (24,724)      (21,503)
            Net realized (gains) losses on investments  . . . . . . . . . . . . . . . . . . . .           (9,577)        5,934
            Net change in trading account activities  . . . . . . . . . . . . . . . . . . . . .              231        (6,912)
            Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .          (13,862)        4,443
                                                                                                      ----------     ---------
               Net cash provided by operating activities  . . . . . . . . . . . . . . . . . . .           63,633        72,401
                                                                                                      ----------     ---------

Investing activities:
          Securities available for sale:  . . . . . . . . . . . . . . . . . . . . . . . . . . .
            Purchases of investments and loans made   . . . . . . . . . . . . . . . . . . . . .       (1,023,969)   (1,096,566)
            Sales of investments and receipts from repayment of loans   . . . . . . . . . . . .          804,911     1,139,974
            Maturities of investments   . . . . . . . . . . . . . . . . . . . . . . . . . . . .           25,925        24,267
          Cash acquired in the SIG Merger, net of consideration paid  . . . . . . . . . . . . .                -        37,313
          Change in deposit in separate account . . . . . . . . . . . . . . . . . . . . . . . .           (1,033)         (986)
                                                                                                      ----------     --------- 
            Net cash (used) provided by investing activities  . . . . . . . . . . . . . . . . .         (194,166)      104,002
                                                                                                      ----------     ---------

Financing activities:
          Deposits to policyholder accounts . . . . . . . . . . . . . . . . . . . . . . . . . .           53,114        47,271
          Withdrawals from policyholder accounts  . . . . . . . . . . . . . . . . . . . . . . .          (50,352)      (58,774)
          Proceeds from issuance of common stock and exercise of stock options  . . . . . . . .            3,061           658
          Proceeds from issuance of Capital Securities  . . . . . . . . . . . . . . . . . . . .           98,750             -
          Borrowings under Credit Agreement . . . . . . . . . . . . . . . . . . . . . . . . . .                -        64,000
          Principal payments under Credit Agreement . . . . . . . . . . . . . . . . . . . . . .          (52,000)      (11,000)
          Change in amounts due to brokers and other short-term financing . . . . . . . . . . .                -        (5,000)
          Change in liability under reverse repurchase agreements . . . . . . . . . . . . . . .           45,090      (149,629)
                                                                                                      ----------     ---------- 
            Net cash provided (used) by financing activities  . . . . . . . . . . . . . . . . .           97,663      (112,474)
                                                                                                      ----------     --------- 

(Decrease) increase in cash and cash equivalents  . . . . . . . . . . . . . . . . . . . . . . .          (32,870)       63,929
Cash and cash equivalents at beginning of period  . . . . . . . . . . . . . . . . . . . . . . .           89,711        16,685
                                                                                                      ----------     ---------
            Cash and cash equivalents at end of period  . . . . . . . . . . . . . . . . . . . .       $   56,841     $  80,614
                                                                                                      ==========     =========
</TABLE>





                See notes to consolidated financial statements.





                                      -5-
<PAGE>   6
                 DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
                                  (UNAUDITED)



NOTE A - SIGNIFICANT ACCOUNTING POLICIES

The financial statements included herein were prepared in conformity with
generally accepted accounting principles for interim financial information and
with the instructions to Form 10-Q and Article 10 of Regulation S-X.
Accordingly, they do not include all of the information and footnotes required
by generally accepted accounting principles for complete financial statements.
Such principles were applied on a basis consistent with those reflected in the
Company's report on Form 10-K for the year ended December 31, 1996.  The
information furnished includes all adjustments and accruals of a normal
recurring nature which are, in the opinion of management, necessary for a fair
presentation of results for the interim periods.  Operating results for the
nine months ended September 30, 1997 are not necessarily indicative of the
results that may be expected for the year ended December 31, 1997.  Certain
reclassifications have been made in the 1996 financial statements to conform
with the 1997 presentation.  For further information refer to the consolidated
financial statements and footnotes thereto included in the Company's report on
Form 10-K for the year ended December 31, 1996.  Capitalized terms used herein
without definition have the meanings ascribed to them in the Company's report
on Form 10-K for the year ended December 31, 1996.

NOTE B - CAPITAL SECURITIES

On March 25, 1997, Delphi Funding L.L.C. ("Delphi Funding"), a subsidiary of
the Company, issued $100.0 million liquidation amount of 9.31% Series A Capital
Securities (the "Capital Securities") in a public offering.  In connection with
the issuance of the Capital Securities and the related purchase by the Company
of all of the common limited liability company interests in Delphi Funding (the
"Common Securities" and, collectively with the Capital Securities, the "L.L.C.
Securities"), the Company issued to Delphi Funding $103.1 million principal
amount of 9.31% junior subordinated deferrable interest debentures, Series A,
due 2027 (the "Junior Debentures").  Interest on the Junior Debentures is
payable semiannually on March 25 and September 25 of each year, but may be
deferred at any time or from time to time for a period not exceeding five years
with respect to each deferral period.  The distribution and other payment dates
on the L.L.C. Securities correspond to the interest and other payment dates on
the Junior Debentures.  The Junior Debentures are not redeemable prior to March
25, 2007, but the Company has the right to dissolve Delphi Funding at any time
and distribute the Junior Debentures to the holders of the L.L.C. Securities in
exchange for the Capital Securities upon the liquidation of Delphi Funding.
The Company has fully and unconditionally guaranteed all payments due on the
Capital Securities.  The Junior Debentures and the Common Securities purchased
by the Company are eliminated in the Consolidated Balance Sheet.  Dividends on
the Capital Securities are presented net of a tax benefit in the Consolidated
Statement of Income.

NOTE C - MERGER

The SIG Merger was consummated on March 5, 1996 and was accounted for using the
purchase accounting method with the results of SIG included in the Company's
results from the date of the SIG Merger.  The pro forma operating results for
the nine months ended September 30, 1996, which treat the SIG Merger as if it
had occurred at the beginning of 1996, are as follows:  total revenue of $369.7
million, which includes realized investment losses of $6.0 million, or $0.19
per share after taxes, income from continuing operations of $40.7 million and
earnings per share from continuing operations of $2.02.  Pro forma net income,
after losses from discontinued operations of $6.6 million, or $0.33 per share,
would be $34.1 million, or $1.69 per share, for the nine months ended September
30, 1996.  In preparing the pro forma data, adjustments have been made to
reflect the purchase accounting adjustments and interest expense on the
additional borrowings under the Credit Agreement that would have occurred.  The
pro forma weighted average numbers of shares outstanding of 20.2 million used
in calculating the pro forma per share data assume that all of the outstanding
SIG Options were exercised at the beginning of the period.  The pro forma
information does not purport to be indicative of the operating results that
actually would have been achieved had the SIG Merger been consummated as of the
date indicated and should not be construed as representative of future
operating results.





                                      -6-
<PAGE>   7
                 DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
            NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (CONTINUED)
                                  (UNAUDITED)



NOTE D - INVESTMENTS

At September 30, 1997, the Company had fixed maturity securities available for
sale with a carrying value and a fair value of $2,071.2 million and an
amortized cost of $2,064.3 million.  At December 31, 1996, the Company had
fixed maturity securities available for sale with a carrying value and a fair
value of $1,891.5 million and an amortized cost of $1,936.2 million.

NOTE E - RESULTS PER SHARE OF COMMON STOCK

Results per share of common stock are computed by dividing net income by the
weighted average number of common shares outstanding for the applicable period,
adjusted for the incremental shares attributable to common stock equivalents.
Common stock equivalents include common stock options and deferred shares.

The Company's Board of Directors declared a 2% stock dividend on May 13, 1997,
which was distributed to stockholders on June 10, 1997.  The fair value of the
shares distributed of $13.7 million was transferred from retained earnings to
common stock and additional paid in capital.  The 1996 results per share and
applicable share amounts have been restated to reflect the stock dividend.

NOTE F - RECENTLY ISSUED ACCOUNTING STANDARDS

In February 1997, the Financial Accounting Standards Board issued Statement No.
128, "Earnings per Share," which is required to be adopted on December 31,
1997.  At that time, the Company will be required to change the method
currently used to compute per share results and to restate all prior periods.
Under the new requirements for calculating results per share of common stock,
the dilutive effect of stock options will be excluded.  The impact is expected
to result in an increase in net income per share of common stock of $0.22 and
$0.13 for the nine months ended September 30, 1997 and 1996, respectively, and
$0.08 and $0.06 for the three months ended September 30, 1997 and 1996,
respectively.  The impact of Statement No. 128 on the calculation of results
per share of common stock, assuming full dilution, is not expected to be
material.





                                      -7-
<PAGE>   8
                          DELPHI FINANCIAL GROUP, INC.
                    MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                 FINANCIAL CONDITION AND RESULTS OF OPERATIONS


GENERAL

The following is an analysis of the results of operations and financial
condition of Delphi Financial Group, Inc. (the "Company," which term includes
the Company and its consolidated subsidiaries unless the context specifies
otherwise).  This analysis should be read in conjunction with the Consolidated
Financial Statements and related notes included in this document, as well as
the Company's report on Form 10-K for the year ended December 31, 1996.
Capitalized terms used herein without definition have the meanings ascribed to
them in the Company's report on Form 10-K for the year ended December 31, 1996.

In connection with, and because it desires to take advantage of, the "safe
harbor" provisions of the Private Securities Litigation Reform Act of 1995, the
Company cautions readers regarding certain forward-looking statements in the
following discussion and elsewhere in this Form 10-Q and in any other statement
made by, or on behalf of, the Company, whether or not in future filings with
the Securities and Exchange Commission.  Forward-looking statements are
statements not based on historical information and which relate to future
operations, strategies, financial results or other developments.  Some
forward-looking statements may be identified by the use of terms such as
"expects," "believes," "anticipates" or "intends."  Forward-looking statements
are necessarily based upon estimates and assumptions that are inherently
subject to significant business, economic and competitive uncertainties and
contingencies, many of which are beyond the Company's control and many of
which, with respect to future business decisions, are subject to change.
Examples of such uncertainties and contingencies include, among other important
factors, those affecting the insurance industry generally, such as legislative
and regulatory developments and market pricing and competitive trends, and
those relating specifically to the Company's business, such as the level of its
insurance premium production, the claims experience of its insurance products
and the performance of its investment portfolio.  These uncertainties and
contingencies can affect actual results and could cause actual results to
differ materially from those expressed in any forward-looking statements made
by, or on behalf of, the Company.  The Company disclaims any obligation to
update forward-looking information.


RESULTS OF OPERATIONS

Nine Months Ended September 30, 1997 Compared to
Nine Months Ended September 30, 1996

Insurance Premiums and Policyholder Fees.  Insurance premiums and policyholder
fees for the nine months ended September 30, 1997 were $267.7 million as
compared to $244.3 million for the nine months ended September 30, 1996, an
increase of 10%.  Premiums from the Company's excess workers' compensation
insurance product, which was acquired in March 1996 and included in the
Company's results from the date of the acquisition, totaled $47.6 million for
the first nine months of 1997 as compared to $39.9 million for the
corresponding period of 1996.  Growth in premiums from the Company's other
group employee benefit products, including the impact of certain price
increases, growth and development of the Company's distribution system and
normal growth in employment and salary levels for the Company's existing
customer base, also contributed to the increase in premiums.  Deposits from the
Company's single premium deferred annuity products, including the Company's
market value adjusted annuity product, were $47.7 million for the first nine
months of 1997 as compared to $45.9 million for the comparable period of 1996.
Deposits for these products, which are long-term in nature, are not recorded as
premiums; instead, the deposits are recorded as a liability.

Net Investment Income.  Net investment income for the nine months ended
September 30, 1997 was $124.9 million as compared to $113.0 million for the
nine months ended September 30, 1996, an increase of 11%.  The increase is
primarily due to an increase in average invested assets as a result of the SIG
Merger and the investment of a portion of the proceeds from the issuance of the
Capital Securities (as defined below) and net cash provided by operating
activities.  The weighted average annualized yield on invested assets,
excluding realized and unrealized investment gains and losses, was 8.1% on
average invested assets of $2,054.0 million in 1997 and 8.4% on average
invested assets of $1,800.8 million in 1996.





                                      -8-
<PAGE>   9
Net Realized Investment Gains (Losses).  Net realized investment gains were
$9.6 million for the nine months ended September 30, 1997 as compared to net
realized investment losses of $5.9 million for the nine months ended September
30, 1996.  The Company's investment strategy results in periodic sales of
securities and the recognition of realized investment gains and losses.

Benefits and Expenses.  Policyholder benefits and expenses for the nine months
ended September 30, 1997 were $302.9 million as compared to $280.0 million for
the nine months ended September 30, 1996, an increase of 8%.  During 1997,
benefits and expenses for group employee benefit products increased by $21.9
million as compared to 1996, primarily due to growth in these product lines.
Also contributing to the increase was the inclusion of the Company's excess
workers' compensation insurance product, which was acquired in March 1996, for
the full nine month period of 1997.  The combined ratio (loss ratio plus
expense ratio) for group employee benefit products was 96.6% for the nine
months ended September 30, 1997 and 1996.  Amortization of cost of business
acquired related to asset accumulation products was accelerated by $1.5 million
during 1997 and $3.7 million during 1996 due to better than expected investment
results.  The weighted average annualized crediting rate on asset accumulation
products for the nine months ended September 30, 1997 and 1996 was 5.3%.

Operating Income.  Income from continuing operations before interest and income
tax expense and dividends for the nine months ended September 30, 1997 was
$99.2 million as compared to $71.4 million for the nine months ended September
30, 1996, an increase of 39%.  The increase was primarily due to the inclusion
of excess workers' compensation insurance results for the entire period in
1997, an increase in average invested assets and realized investment gains in
1997 as compared to realized investment losses in 1996.

Interest Expense.  Interest expense for the nine months ended September 30,
1997 was $11.4 million as compared to $13.8 million for the nine months ended
September 30, 1996.  This decrease is primarily due to the repayment of $50.0
of borrowings under the Credit Agreement with the proceeds from the issuance of
the Capital Securities (as defined below), partially offset by the inclusion of
a full nine months of interest expense on the SIG Senior Notes in 1997.  In
addition, the 1996 period includes interest paid in connection with the
settlement of prior year federal income taxes.

Income Taxes.  Income tax expense for the nine months ended September 30, 1997
was $28.6 million as compared to $19.4 million for the nine months ended
September 30, 1996.  The increase was primarily due to the $27.8 million
increase in operating income partially offset by a decrease in the effective
tax rate from 33.8% for the nine months ended September 30, 1996 to 32.5% for
the nine months ended September 30, 1997 due to tax-exempt interest income.

Dividends on Capital Securities.  On March 25, 1997, Delphi Funding L.L.C.
("Delphi Funding"), a subsidiary of the Company,  issued $100.0 million
liquidation amount of 9.31% Series A Capital Securities (the "Capital
Securities") in a public offering.  See Note B to the Consolidated Financial
Statements.

Discontinued Operations.  The Company disposed of its long-term care business,
which was discontinued in 1996, during the second quarter of 1997.  The
proceeds from the disposal were not material and the actual results for this
business subsequent to its discontinuance did not materially differ from the
loss of $5.8 million, net of a tax benefit of $3.2 million, provided for at
September 30, 1996 in connection with the discontinuance of this business.
Operating losses on this business totaled $0.8 million, net of a tax benefit of
$0.4 million, for the nine months ended September 30, 1996.


Three Months Ended September 30, 1997 Compared to
Three Months Ended September 30, 1996

Insurance Premiums and Policyholder Fees.  Insurance premiums and policyholder
fees for the three months ended September 30, 1997 were $89.8 million as
compared to $85.4 million for the three months ended September 30, 1996, an
increase of 5%.  Premiums from the Company's group employee benefit products,
excluding excess workers' compensation insurance, increased by $5.5 million
primarily due to the impact of certain price increases, growth and development
of the Company's distribution system and normal growth in employment and salary
levels for the Company's existing customer base.  Excess workers' compensation
insurance premiums decreased by $1.3 million primarily due to state mandated
reductions in premium rates and increased competition.  The Company does not
expect this reduction in premiums to have a material impact on the underwriting
results for this product as decreased benefit levels, also mandated by the
states, are expected to offset the decline in premiums.  Deposits from the
Company's single premium deferred annuity products, including the Company's
market value adjusted annuity product, were $11.6 million and $15.4 million for
the three months





                                      -9-
<PAGE>   10
ended September 30, 1997 and 1996, respectively.  Deposits for these products,
which are long-term in nature, are not recorded as premiums; instead, the
deposits are recorded as a liability.

Net Investment Income.  Net investment income for the three months ended
September 30, 1997 was $40.4 million as compared to $44.0 million for the three
months ended September 30, 1996.  A decrease in the weighted average annualized
yield was partially offset by an increase in average invested assets due to the
investment of a portion of the proceeds from the issuance of the Capital
Securities and net cash provided by operating activities.  The 1996 investment
results reflect strong performance by the Company's independent investment
managers program.  The weighted average annualized yield on invested assets,
excluding realized and unrealized investment gains and losses, was 7.6% on
average invested assets of $2,132.1 million in 1997 and 8.9% on average
invested assets of $1,973.7 million in 1996.

Net Realized Investment Gains (Losses).  Net realized investment gains were
$5.2 million for the three months ended September 30, 1997 as compared to net
realized investment losses of $0.7 million for the three months ended September
30, 1996.  The Company's investment strategy results in periodic sales of
securities and the recognition of realized investment gains and losses.

Benefits and Expenses.  Policyholder benefits and expenses for the three months
ended September 30, 1997 were $100.9 million as compared to $101.1 million for
the three months ended September 30, 1996.  The amortization of cost of
business acquired related to asset accumulation products was accelerated by
$3.1 million during the third quarter of 1996 due to better than expected
investment results.  There was no acceleration of amortization of cost of
business acquired during the corresponding period of 1997.  The weighted
average annualized crediting rate on asset accumulation products for the three
months ended September 30, 1997 and 1996 was 5.4% and 5.3%, respectively.
Benefits and expenses for group employee benefit products increased by $3.4
million primarily due to growth in the Company's group employee benefit
products.  The combined ratio (loss ratio plus expense ratio) for group
employee benefit products was 96.4% for the three months ended September 30,
1997 as compared to 97.2% for the three months ended September 30, 1996.

Operating Income.  Income from continuing operations before interest and income
tax expense and dividends for the three months ended September 30, 1997 was
$34.6 million as compared to $27.6 million for the three months ended September
30, 1996, an increase of 25%.  The increase was primarily due to realized
investment gains in 1997 as compared to realized investment losses in 1996.

Interest Expense.  Interest expense for the three months ended September 30,
1997 was $3.6 million as compared to $5.8 million for the three months ended
September 30, 1996.  This decrease is primarily due to the repayment of $50.0
of borrowings under the Credit Agreement with the proceeds from the issuance of
the Capital Securities.  In addition, the 1996 period includes interest paid in
connection with the settlement of prior year federal income taxes.

Income Taxes.  Income tax expense for the three months ended September 30, 1997
was $9.7 million as compared to $7.3 million for the three months ended
September 30, 1996.  The increase was primarily due to the $7.0 million
increase in operating income partially offset by a decrease in the effective
tax rate from 33.6% for the three months ended September 30, 1996 to 31.1% for
the three months ended September 30, 1997 due to tax-exempt interest income.

Dividends on Capital Securities.  On March 25, 1997, Delphi Funding L.L.C., a
subsidiary of the Company,  issued $100.0 million liquidation amount of 9.31%
Series A Capital Securities (the "Capital Securities") in a public offering.
See Note B to the Consolidated Financial Statements.


LIQUIDITY AND CAPITAL RESOURCES

On March 25, 1997, Delphi Funding issued $100.0 million liquidation amount of
Capital Securities in a public offering pursuant to the Company's existing
shelf registration statement (see Note B to the Consolidated Financial
Statements).  The net proceeds from the offering were used to repay $50.0
million of borrowings under the Credit Agreement, and the remainder was
invested with selected independent investment managers.

The Company had approximately $203.5 million of financial resources available
at the holding company level at September 30, 1997 as compared to $117.2
million at December 31, 1996.  The increase in available financial resources
was primarily due to funds received from the Capital Securities offering and
earnings from the Company's non-insurance subsidiaries.  The financial
resources available at the holding company level are primarily comprised of
investments in fixed maturity





                                      -10-
<PAGE>   11
securities and the common stock of its non-insurance subsidiaries.  The assets
of these non-insurance subsidiaries are primarily invested in balances with
independent investment managers and marketable securities.  Substantially all
of the amounts invested with independent investment managers are withdrawable
at least annually, subject to applicable notice requirements.  A shelf
registration is also in effect under which up to $49.2 million in securities
may be issued by the Company.

Other sources of liquidity at the holding company level include interest and
principal payments made on the Surplus Debenture issued by RSLIC-Texas to the
Company, dividends paid from insurance subsidiaries, primarily generated from
operating cash flows and investments, and borrowings available under the Credit
Agreement.  The Company's insurance subsidiaries are permitted, without prior
regulatory or other approval,  to make dividend payments of $37.2 million
during 1997, of which $19.0 million has been paid during the first nine months
of the year.  Additional dividends may be paid with the requisite approvals.
Of the unused portion of the Credit Agreement facility of $152.0 million, $98.0
million is restricted for use in connection with, among other things,
acquisitions or the redemption of the SIG Senior Notes.

The Company's current liquidity needs, in addition to funding operating
expenses, include distributions on the Capital Securities (see Note B to the
Consolidated Financial Statements) and principal and interest payments on
outstanding borrowings under the Credit Agreement, the Senior Notes and the SIG
Senior Notes.  The Junior Debentures underlying the Capital Securities are not
redeemable prior to March 25, 2007, and, at the Company's current level of
borrowings, no principal repayments would be required under the Credit
Agreement until April 1, 2003.  The Senior Notes mature in their entirety on
October 1, 2003 and are not subject to any sinking fund requirements nor are
they redeemable prior to maturity.  The SIG Senior Notes amortize in $9.0
million annual installments beginning in May 1999.  Sources of liquidity
available to the Company and its subsidiaries are expected to exceed their cash
requirements on both a short-term and long-term basis.

A significant aspect of the Company's continued profitability is its ability to
manage risks associated with interest-sensitive assets and liabilities.  The
Company prices its annuity products based on assumptions concerning prevailing
and expected interest rates and other factors to achieve a positive difference,
or spread, between its expected return on investments and the crediting rate.
The Company achieves this spread by active portfolio management focusing on
matching the durations of invested assets and related liabilities to minimize
the exposure to fluctuations in interest rates and by the adjustment of the
crediting rate on annuity products.  The results of this asset/liability
matching are analyzed periodically through cash flow analysis under multiple
interest rate scenarios.  The Company believes that it will continue to achieve
a positive spread and that the amount of lapses and surrender rates will remain
consistent with those assumed in the pricing of the products.





                                      -11-
<PAGE>   12
                           PART II. OTHER INFORMATION


Item 6. Exhibits and Reports on Form 8-K

   (a)   Exhibits

         11  - Computation of Earnings Per Share of Common Stock
         27  - Financial Data Schedule

    (b)  Reports on Form 8-K

         None.



                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.


                 DELPHI FINANCIAL GROUP, INC. (Registrant)



                 /s/  ROBERT ROSENKRANZ                                       
                 -------------------------------------------------------------
                 Robert Rosenkranz
                 Chairman of the Board, President and Chief Executive Officer
                 (Principal Executive Officer)




                 /s/  JANE R. DUNLAP                                          
                 -------------------------------------------------------------
                 Jane R. Dunlap
                 Vice President and Treasurer
                 (Principal Accounting and Financial Officer)




Date: October 31, 1997





                                      -12-