<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 March 31, 2001

[  ] 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, P.O. Box 8985, 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 April 30, 2001, the Registrant had 15,751,658 shares of Class A Common
        Stock and 4,537,522 shares of Class B Common Stock outstanding.




<PAGE>   2


                          DELPHI FINANCIAL GROUP, INC.
                                    FORM 10-Q
                   INDEX TO CONSOLIDATED FINANCIAL STATEMENTS
                              AND OTHER INFORMATION


<TABLE>
<CAPTION>
                                                                                 Page
PART I.           FINANCIAL INFORMATION
<S>               <C>                                                            <C>
                  Consolidated Statements of Income for the Three
                      Months Ended March 31, 2001 and 2000......................     3

                  Consolidated Balance Sheets at March 31, 2001 and
                      December 31, 2000.........................................     4

                  Consolidated Statements of Shareholders' Equity for the
                      Three Months Ended March 31, 2001 and 2000................     5

                  Consolidated Statements of Cash Flows for the
                      Three Months Ended March 31, 2001 and 2000................     6

                  Notes to Consolidated Financial Statements....................     7

                  Management's Discussion and Analysis of Financial
                      Condition and Results of Operations.......................     9


PART II.          OTHER INFORMATION.............................................    11
</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
                                                                                                                   March 31,
                                                                                                         ---------------------------
                                                                                                            2001              2000
                                                                                                         ---------        ---------
<S>                                                                                                      <C>              <C>
Revenue:
  Premium and fee income ........................................................................        $ 123,305        $ 112,759
  Net investment income .........................................................................           39,066           50,676
  Net realized investment gains (losses) ........................................................              451           (1,547)
                                                                                                         ---------        ---------
                                                                                                           162,822          161,888
                                                                                                         ---------        ---------
Benefits and expenses:
  Benefits, claims and interest credited to policyholders .......................................           89,699           85,771
  Commissions ...................................................................................            9,435            9,271
  Amortization of cost of business acquired .....................................................            8,616            6,172
  Other operating expenses ......................................................................           23,016           22,003
                                                                                                         ---------        ---------
                                                                                                           130,766          123,217
                                                                                                         ---------        ---------

       Operating income .........................................................................           32,056           38,671

Interest expense ................................................................................            3,809            5,359
                                                                                                         ---------        ---------

       Income before income tax expense, dividends on Capital Securities
        of Delphi Funding L.L.C. and extraordinary gain .........................................           28,247           33,312

Income tax expense ..............................................................................            9,139           10,505
                                                                                                         ---------        ---------

       Income before dividends on Capital Securities of Delphi Funding L.L.C.
           and extraordinary gain ...............................................................           19,108           22,807

Dividends on Capital Securities of Delphi Funding L.L.C. ........................................            1,480            1,513
                                                                                                         ---------        ---------

       Income before extraordinary gain .........................................................           17,628           21,294

Extraordinary gain on repurchase of Capital Securities, net of income taxes .....................            3,017             --
                                                                                                         ---------        ---------

       Net income ...............................................................................        $  20,645        $  21,294
                                                                                                         =========        =========


Basic results per share of common stock:
  Income before extraordinary gain excluding net realized investment gains (losses) .............        $    0.84        $    1.09
  Income before extraordinary gain ..............................................................             0.85             1.04
  Net income ....................................................................................             1.01             1.04

Diluted results per share of common stock:
  Income before extraordinary gain excluding net realized investment gains (losses) .............        $    0.82        $    1.06
  Income before extraordinary gain ..............................................................             0.83             1.01
  Net income ....................................................................................             0.98             1.01

Dividend paid per share of common stock .........................................................        $    0.07              $--
</TABLE>




                See notes to consolidated financial statements.


                                      -3-
<PAGE>   4



                  DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
                           CONSOLIDATED BALANCE SHEETS
                  (DOLLARS IN THOUSANDS, EXCEPT PER SHARE DATA)
                                   (UNAUDITED)

<TABLE>
<CAPTION>
                                                                                                      March 31,         December 31,
                                                                                                        2001              2000
                                                                                                     -----------        -----------
<S>                                                                                                 <C>                <C>
Assets:
   Investments:
       Fixed maturity securities, available for sale .........................................       $ 2,075,167        $ 2,010,634
       Cash and cash equivalents .............................................................           142,303             56,093
       Other investments .....................................................................           172,695            421,562
                                                                                                     -----------        -----------
                                                                                                       2,390,165          2,488,289
   Cost of business acquired .................................................................           159,315            156,556
   Reinsurance receivables ...................................................................           440,887            437,844
   Other assets ..............................................................................           312,098            289,433
   Assets held in separate account ...........................................................            70,750             67,888
                                                                                                     -----------        -----------
       Total assets ..........................................................................       $ 3,373,215        $ 3,440,010
                                                                                                     ===========        ===========


Liabilities and Shareholders' Equity:
   Future policy benefits ....................................................................       $   536,852        $   523,911
   Unpaid claims and claim expenses ..........................................................           652,466            646,233
   Policyholder account balances .............................................................           794,548            782,452
   Corporate debt ............................................................................           117,733            267,770
   Advances from Federal Home Loan Bank ......................................................           142,906            149,409
   Other liabilities and policyholder funds ..................................................           416,561            374,292
   Liabilities related to separate account ...................................................            60,629             57,750
                                                                                                     -----------        -----------
       Total liabilities .....................................................................         2,721,695          2,801,817
                                                                                                     -----------        -----------

   Company-obligated mandatorily redeemable Capital Securities of Delphi
       Funding L.L.C. holding solely junior subordinated deferrable interest
       debentures of the Company .............................................................            78,750            100,000
                                                                                                     -----------        -----------

   Shareholders' equity:
       Preferred Stock, $.01 par; 10,000,000 shares authorized ...............................              --                 --
       Class A Common Stock, $.01 par; 40,000,000 shares authorized;
           17,187,048 and 16,844,982 shares issued and outstanding, respectively .............               172                168
       Class B Common Stock, $.01 par; 20,000,000 shares authorized;
           4,537,522 and 4,839,072 shares issued and outstanding, respectively ...............                45                 48
       Additional paid-in capital ............................................................           367,534            366,834
       Net unrealized depreciation on investments ............................................           (38,971)           (53,622)
       Retained earnings .....................................................................           293,285            274,060
       Treasury stock, at cost; 1,435,390 shares of Class A Common Stock .....................           (49,295)           (49,295)
                                                                                                     -----------        -----------
           Total shareholders' equity ........................................................           572,770            538,193
                                                                                                     -----------        -----------
               Total liabilities and shareholders' equity ....................................       $ 3,373,215        $ 3,440,010
                                                                                                     ===========        ===========
</TABLE>




                 See notes to consolidated financial statements.




                                      -4-
<PAGE>   5



                  DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
                 CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY
                             (DOLLARS IN THOUSANDS)
                                   (UNAUDITED)

<TABLE>
<CAPTION>
                                                                                      Net
                                                                                   Unrealized
                                               Class A     Class B     Additional Depreciation
                                                Common     Common       Paid-in        on        Retained     Treasury
                                                Stock       Stock        Capital  Investments    Earnings      Stock         Total
                                              ---------   ---------    ---------   ---------    ---------    ---------    ---------
<S>                                           <C>         <C>          <C>         <C>          <C>          <C>          <C>
Balance, January 1, 2000 ..................   $     163   $      52    $ 364,390   $(101,465)   $ 277,353    $ (39,076)   $ 501,417
                                                                                                                          ---------
Net income ................................        --          --           --          --         21,294         --         21,294
Increase in net unrealized
   depreciation on investments ............        --          --           --       (16,458)        --           --        (16,458)
                                                                                                                          ---------
Comprehensive income ......................                                                                                   4,836

Issuance of stock and exercise of
   stock options ..........................        --          --            634        --           --           --            634
Acquisition of treasury stock .............        --          --           --          --           --        (10,013)     (10,013)
                                              ---------   ---------    ---------   ---------    ---------    ---------    ---------

Balance, March 31, 2000 ...................   $     163   $      52    $ 365,024   $(117,923)   $ 298,647    $ (49,089)   $ 496,874
                                              =========   =========    =========   =========    =========    =========    =========



Balance, January 1, 2001 ..................   $     168   $      48    $ 366,834   $ (53,622)   $ 274,060    $ (49,295)   $ 538,193
                                                                                                                          ---------
Net income ................................        --          --           --          --         20,645         --         20,645
Decrease in net unrealized
   depreciation on investments ............        --          --           --        14,651         --           --         14,651
                                                                                                                          ---------
Comprehensive income ......................                                                                                  35,296

Issuance of stock and exercise of
   stock options ..........................           4          (3)         700        --           --           --            701
Dividends paid on common stock ............        --          --           --          --         (1,420)        --         (1,420)
                                              ---------   ---------    ---------   ---------    ---------    ---------    ---------

Balance, March 31, 2001 ...................   $     172   $      45    $ 367,534   $ (38,971)   $ 293,285    $ (49,295)   $ 572,770
                                              =========   =========    =========   =========    =========    =========    =========
</TABLE>


                 See notes to consolidated financial statements.




                                      -5-
<PAGE>   6



                  DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
                      CONSOLIDATED STATEMENTS OF CASH FLOWS
                             (DOLLARS IN THOUSANDS)
                                   (UNAUDITED)

<TABLE>
<CAPTION>
                                                                                                              Three Months Ended
                                                                                                                  March 31,
                                                                                                         ---------------------------
                                                                                                            2001              2000
                                                                                                         ---------        ---------
<S>                                                                                                      <C>              <C>
Operating activities:
    Net income ...................................................................................       $  20,645        $  21,294
    Adjustments to reconcile net income to net cash provided (used)
          by operating activities:
       Change in policy liabilities and policyholder accounts ....................................          32,966           34,584
       Net change in reinsurance receivables and payables ........................................          (4,942)         (74,725)
       Amortization, principally the cost of business acquired and investments ...................           3,777           (1,031)
       Deferred costs of business acquired .......................................................         (14,352)         (12,737)
       Net realized (gains) losses on investments ................................................            (451)           1,547
       Net change in trading account securities ..................................................          24,449              798
       Net change in federal income tax liability ................................................           8,216           17,547
       Extraordinary gain ........................................................................          (3,017)            --
       Other .....................................................................................         (13,581)          (9,002)
                                                                                                         ---------        ---------
          Net cash provided (used) by operating activities .......................................          53,710          (21,725)
                                                                                                         ---------        ---------

Investing activities:
    Purchases of investments and loans acquired ..................................................        (200,305)        (613,441)
    Sales of investments and receipts from repayment of loans ....................................         361,705          117,564
    Maturities of investments ....................................................................           2,384            3,414
    Change in deposit in separate account ........................................................              17             (553)
                                                                                                         ---------        ---------
          Net cash provided (used) by investing activities .......................................         163,801         (493,016)
                                                                                                         ---------        ---------

Financing activities:
    Deposits to policyholder accounts ............................................................          29,639           33,415
    Withdrawals from policyholder accounts .......................................................         (16,893)         (21,683)
    Proceeds from issuance of common stock and exercise of stock options .........................             701              634
    Dividends paid on common stock ...............................................................          (1,420)            --
    Acquisition of treasury stock ................................................................            --            (10,013)
    Borrowings under Credit Agreements ...........................................................            --             10,000
    Principal payments under Credit Agreements ...................................................        (150,000)          (8,000)
    Repayment of Federal Home Loan Bank advances .................................................          (6,500)            --
    Repurchase of Capital Securities .............................................................         (16,293)            --
    Change in liability for securities loaned or sold under agreements to repurchase .............          29,465          194,766
                                                                                                         ---------        ---------
          Net cash (used) provided by financing activities .......................................        (131,301)         199,119
                                                                                                         ---------        ---------

Increase (decrease) in cash and cash equivalents .................................................          86,210         (315,622)
Cash and cash equivalents at beginning of period .................................................          56,093          357,692
                                                                                                         ---------        ---------
          Cash and cash equivalents at end of period .............................................       $ 142,303        $  42,070
                                                                                                         =========        =========
</TABLE>





                See notes to consolidated financial statements.



                                      -6-
<PAGE>   7



                  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
accounting principles generally accepted in the United States ("GAAP") 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 GAAP 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, 2000. 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 three
months ended March 31, 2001 are not necessarily indicative of the results that
may be expected for the year ended December 31, 2001. Certain reclassifications
have been made in the 2000 financial statements to conform to the 2001
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, 2000. 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, 2000.


NOTE B - INVESTMENTS

At March 31, 2001, the Company had fixed maturity securities available for sale
with a carrying value and a fair value of $2,075.2 million and an amortized cost
of $2,143.3 million. At December 31, 2000, the Company had fixed maturity
securities available for sale with a carrying value and a fair value of $2,010.6
million and an amortized cost of $2,103.2 million.


NOTE C - SEGMENT INFORMATION
<TABLE>
<CAPTION>
                                                                                                         Three Months Ended
                                                                                                               March 31,
                                                                                                      2001                   2000
                                                                                                   ---------              ---------
<S>                                                                                                <C>                    <C>
Revenues excluding net realized investment gain (losses):
    Group employee benefit products ..................................................             $ 138,983              $ 136,820
    Asset accumulation products ......................................................                18,220                 21,143
    Other (1) ........................................................................                 5,168                  5,472
                                                                                                   ---------              ---------
                                                                                                   $ 162,371              $ 163,435
                                                                                                   =========              =========
Operating income (2):
    Group employee benefit products ..................................................             $  29,535              $  33,667
    Asset accumulation products ......................................................                 3,362                  8,472
    Other (1) ........................................................................                (1,292)                (1,921)
                                                                                                   ---------              ---------
                                                                                                   $  31,605              $  40,218
                                                                                                   =========              =========
</TABLE>



     (1)  Consists of operations that do not meet the quantitative thresholds
          for determining reportable segments and includes integrated disability
          and absence management services and certain corporate activities.

     (2)  Income excluding net realized investment gains (losses) and before
          interest and income tax expense, dividends on Capital Securities of
          Delphi Funding L.L.C. and extraordinary gain.




                                      -7-
<PAGE>   8




                  DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
            NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (CONTINUED)
                                   (UNAUDITED)


NOTE D - EXTRAORDINARY GAIN ON REPURCHASE OF CAPITAL SECURITIES OF DELPHI
FUNDING L.L.C.

During the first quarter of 2001, the Company repurchased $21.3 million
liquidation amount of the 9.31% Capital Securities, Series A, due in March 2027.
The Company recognized an extraordinary gain of $3.0 million, net of income tax
expense of $1.6 million, in connection with these repurchases.


NOTE E - COMPUTATION OF RESULTS PER SHARE

The following table sets forth the calculation of basic and diluted results per
share (dollars in thousands, except per share data):

<TABLE>
<CAPTION>
                                                                                                           Three Months Ended
                                                                                                                 March 31,
                                                                                                           2001             2000
                                                                                                        ----------       ----------
<S>                                                                                                    <C>              <C>
Numerator:
   Income before extraordinary gain excluding net realized investment gains (losses) ............      $    17,335       $   22,300
   Realized investment gains (losses), net of taxes .............................................              293           (1,006)
                                                                                                        ----------       ----------
        Income before extraordinary gain ........................................................           17,628           21,294
   Extraordinary gain on repurchase of Capital Securities, net of taxes .........................            3,017             --
                                                                                                        ----------       ----------
        Net income ..............................................................................      $    20,645       $   21,294
                                                                                                        ==========       ==========


Denominator:
   Weighted average common shares outstanding ...................................................           20,528           20,387
      Effect of dilutive securities .............................................................              562              609
                                                                                                        ----------       ----------
   Weighted average common shares outstanding, assuming dilution ................................           21,090           20,996
                                                                                                        ==========       ==========


Basic results per share of common stock:
   Income before extraordinary gain excluding net realized investment gains (losses) ............       $     0.84       $     1.09
   Realized investment gains (losses), net of taxes .............................................             0.01            (0.05)
                                                                                                        ----------       ----------
           Income before extraordinary gain .....................................................             0.85             1.04
Extraordinary gain on repurchase of Capital Securities, net of taxes ............................             0.16               --
                                                                                                        ----------       ----------
           Net income ...........................................................................       $     1.01       $     1.04
                                                                                                        ==========       ==========


Diluted results per share of common stock:
   Income before extraordinary gain excluding net realized investment gains (losses) ............       $     0.82       $     1.06
   Realized investment gains (losses), net of taxes .............................................             0.01            (0.05)
                                                                                                        ----------       ----------
           Income before extraordinary gain .....................................................             0.83             1.01
   Extraordinary gain on repurchase of Capital Securities, net of taxes .........................             0.15               --
                                                                                                        ----------       ----------
           Net income ...........................................................................       $     0.98       $     1.01
                                                                                                        ==========       ==========
</TABLE>






                                      -8-
<PAGE>   9



                          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 indicates
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, 2000. 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, 2000.


RESULTS OF OPERATIONS

Premium and Fee Income. Premium and fee income for the first quarter of 2001 was
$123.3 million as compared to $112.8 million for the first quarter of 2000, an
increase of 9%. Premiums from core group employee benefit products increased 14%
to $109.7 million in the first quarter of 2001 from $96.0 million in the
comparable period of 2000. This increase reflects strong production of new
business and normal growth in employment and salary levels for the Company's
existing customer base. Within the group employee benefit segment, excess
workers' compensation premiums increased 41% to $18.3 million in the first
quarter of 2001 from $13.0 million in the comparable period of 2000. This
increase reflects improvements in the pricing environment in this market sector
and increased demand due to higher primary workers' compensation rates.
Disruption in the excess workers' compensation marketplace due to difficulties
experienced by some competitors created opportunities for SNCC, which
contributed to high levels of new business production, particularly during 2000.
Premiums from non-core group employee benefit products decreased to $9.3 million
in the first quarter of 2001 from $12.4 million in the comparable period in
2000, primarily due to a lower level of premium from LPTs, which are episodic in
nature. Deposits from the Company's asset accumulation products were $28.7
million for the first quarter of 2001 as compared to $33.1 million for the first
quarter of 2000. Deposits for these products, which are long-term in nature, are
not recorded as premiums; instead, the deposits are recorded as a liability.
During the first quarter of 2001, market interest rates and the resulting
interest rate spreads available to the Company on these products declined. The
Company maintained its disciplined approach to establishing crediting rates
offered on its asset accumulation products, in contrast to some of its
competitors who did not react quickly to the declining interest rates.
Accordingly, the Company experienced a lower level of production from its asset
accumulation products during the first quarter of 2001 as compared to the first
quarter of 2000.

Net Investment Income. Net investment income for the first quarter of 2001 was
$39.1 million as compared to $50.7 million in the first quarter of 2000. The
weighted average annualized yield on invested assets was 6.5% on average
invested assets of $2,419.7 million for the first quarter of 2001 and 7.8% on
average invested assets of $2,610.7 million for the first quarter of 2000. The
decrease in investment income reflects the Company's liquidation during the
fourth quarter of 2000 of a substantial majority of its holding company
investments, which performed strongly during the first quarter of 2000. The
proceeds from these sales were used to repay in full the $150.0 million of
outstanding borrowings under the Company's $150.0 million revolving credit
facility and to repurchase $21.3 million liquidation amount of the Capital
Securities during the first quarter of 2001.

Benefits and Expenses. Policyholder benefits and expenses were $130.8 million
for the first quarter of 2001 as compared to $123.2 million for the first
quarter of 2000, an increase of 6%. This increase primarily reflects the
increase in premiums from the Company's core group employee benefit products
discussed above. The combined ratio (loss ratio plus expense ratio) for the
Company's group employee benefits segment decreased from 95.1% in the first
quarter of 2000 to 92.0% in the first quarter of 2001. This decrease was
primarily attributable to changes in the Company's product mix. Benefits and
interest credited on asset accumulation products increased by $2.0 million in
first quarter of 2001, principally due to an increase in average funds under
management from $636.8 million for the first quarter of 2000 to $739.3 million
for the 2001 period. Also contributing to this increase was an increase in the
weighted average annualized crediting rate on asset accumulation products, which
increased from 5.4% in the first quarter of 2000 to 5.7% in the 2001 period.



                                      -9-
<PAGE>   10


Interest Expense. Interest expense was $3.8 million in the first quarter of 2001
as compared to $5.4 in the first quarter of 2000, a decrease of $1.6 million.
This decrease is primarily a result of the Company's repayment in full of $150.0
million of outstanding borrowings under the Company's $150.0 million revolving
credit facility during the first quarter of 2001. These repayments were made on
various dates throughout the 2001 period. Accordingly, interest expense for the
2001 period does not fully reflect the future reduction in interest expense as a
result of these repayments.

Extraordinary Gain. During the first quarter of 2001, the Company repurchased
$21.3 million liquidation amount of the Capital Securities in the open market.
The Company recognized an extraordinary gain of $3.0 million, net of income tax
expense of $1.6 million, in connection with these repurchases. The reduction in
dividends from the Capital Securities for the 2001 period does not fully reflect
the future reduction in dividends since these repurchases occurred toward the
end of the first quarter of 2001.


LIQUIDITY AND CAPITAL RESOURCES

General. The Company had $106.7 million of financial resources available at the
holding company level at March 31, 2001, which was primarily comprised of cash,
cash equivalents, fixed maturity securities and investments in the common stock
of its investment subsidiaries. The assets of the investment subsidiaries are
primarily invested in fixed maturity securities. Financial resources available
at the holding company level have decreased $160.2 million since December 31,
2000 primarily due to the liquidation of a substantial majority of the
investments of its investment subsidiaries. The Company used the proceeds from
these sales to repay in full the $150.0 million of outstanding borrowings under
the Credit Agreements and to repurchase $21.3 million liquidation amount of the
Capital Securities. The maximum amount of borrowings available under the Credit
Agreements, which mature in April 2003, is currently $230.0 million and will
reduce to $190.0 million in October 2001 and $140.0 million in October 2002. 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 dividends paid
from subsidiaries, primarily generated from operating cash flows and
investments. The Company's insurance subsidiaries are permitted, without prior
regulatory or other approval, to make dividend payments of $77.8 million during
2001, of which $11.0 million has been paid during the first quarter of 2001. In
general, dividends from the Company's non-insurance subsidiaries are not subject
to regulatory or other restrictions.

The Company's current liquidity needs, in addition to funding operating
expenses, include principal and interest payments on the Senior Notes, the SIG
Senior Notes and the Subordinated Notes and distributions on the Capital
Securities. The Senior Notes mature in their entirety in October 2003 and are
not subject to any sinking fund requirements nor are they redeemable prior to
maturity. The SIG Senior Notes mature in $9.0 million annual installments, with
the next installment payable in May 2001 and the Subordinated Notes mature in
their entirety in June 2003. The junior subordinated debentures underlying the
Capital Securities are not redeemable prior to March 25, 2007.

Operating activities increased cash and cash equivalents by $53.7 million in the
first quarter of 2001. Operating cash flow during the first quarter of 2000
increased cash and cash equivalents by $36.4 million, excluding $58.1 million of
funds related to a rescinded reinsurance transaction that were returned to the
ceding company during the quarter. During the first quarter of 2001, proceeds
from investment sales were primarily used to repay in full the $150.0 million of
outstanding borrowings under the $150.0 million revolving credit facility and
repurchase $21.3 million liquidation amount of the Capital Securities. Sources
of liquidity available to the Company and its subsidiaries are expected to
exceed their current and long-term cash requirements.


MARKET RISK

There have been no material changes in the Company's exposure to market risk or
its management of such risk since December 31, 2000.




                                      -10-
<PAGE>   11





CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS

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
above "Management's Discussion and Analysis of Financial Condition and Results
of Operations" and elsewhere in this Form 10-Q and in any other statement made
by, or on behalf of, the Company, whether in future filings with the Securities
and Exchange Commission or otherwise. 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," "intends," "judgment" or other similar expressions.
Forward-looking statements are necessarily based upon estimates and assumptions
that are inherently subject to significant business, economic, competitive and
other 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 the economic and interest rate environment, federal and state
legislative and regulatory developments, including but not limited to changes in
financial services and tax laws and regulations, and market pricing and
competitive trends relating to insurance products and services, and those
relating specifically to the Company's business, such as the level of its
insurance premiums and fee income, the claims experience and other factors
affecting the profitability of its insurance products, the performance of its
investment portfolio and changes in the Company's investment strategy,
acquisitions of companies or blocks of business, and ratings by major rating
organizations of its insurance subsidiaries. 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.


                           PART II. OTHER INFORMATION


Item 6. Exhibits and Reports on Form 8-K

     (a)  Exhibits

           11   -   Computation of Results per Share of Common Stock
                    (incorporated by reference to Note E to the Consolidated
                    Financial Statements included elsewhere herein)

     (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/       THOMAS W. BURGHART
                                    --------------------------------------------
                                    Thomas W. Burghart
                                    Vice President and Treasurer
                                    (Principal Accounting and Financial Officer)

Date:  May 4, 2001