<PAGE>

                                  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, 2006

[ ]  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      I.R.S. Employer
 incorporation or organization)  number, including area code)     Identification
                                                                     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
                                    ---      ---

Indicate by check market whether the registrant is a large accelerated filer, an
  accelerated filer, or a non-accelerated filer. See definition of "accelerated
  filer and large accelerated filer" in Rule 12b-2 of the Exchange Act.
                                  (check one):

Large accelerated filer  X    Accelerated filer       Non-accelerated filer
                        ---                     ---                         ---

Indicate by check mark whether the registrant is a shell company (as defined in
                        Rule 12b-2 of the Exchange Act).

                                Yes       No  X
                                    ---      ---

      As of April 30, 2006, the Registrant had 28,581,223 shares of Class A
     Common Stock and 3,781,163 shares of Class B Common Stock outstanding.

<PAGE>

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

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

   Consolidated Statements of Income for the Three
      Months Ended March 31, 2006 and 2005...............................     3

   Consolidated Balance Sheets at March 31, 2006 and
      December 31, 2005..................................................     4

   Consolidated Statements of Shareholders' Equity for the
      Three Months Ended March 31, 2006 and 2005.........................     5

   Consolidated Statements of Cash Flows for the
      Three Months Ended March 31, 2006 and 2005.........................     6

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

   Management's Discussion and Analysis of Financial
      Condition and Results of Operations................................    11

PART II. OTHER INFORMATION

   Item 1A. Risk Factors.................................................    15

   Item 2. Unregistered Sales of Equity Securities and Use of Proceeds...    19

   Item 6. Exhibits......................................................    19

   Signatures............................................................    20
</TABLE>


                                       -2-

<PAGE>

                          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,
                                                                     -------------------
                                                                       2006       2005
                                                                     --------   --------
<S>                                                                  <C>        <C>
Revenue:
   Premium and fee income ........................................   $262,959   $235,857
   Net investment income .........................................     59,029     53,383
   Net realized investment (losses) gains ........................     (1,251)     1,817
                                                                     --------   --------
                                                                      320,737    291,057
                                                                     --------   --------
Benefits and expenses:
   Benefits, claims and interest credited to policyholders .......    191,618    176,601
   Commissions ...................................................     16,421     15,002
   Amortization of cost of business acquired .....................     18,043     15,366
   Other operating expenses ......................................     41,297     36,725
                                                                     --------   --------
                                                                      267,379    243,694
                                                                     --------   --------
      Income from continuing operations before interest and
         income tax expense ......................................     53,358     47,363

Interest expense:
   Corporate debt ................................................      4,686      3,670
   Junior subordinated deferrable interest debentures ............      1,271      1,171
                                                                     --------   --------
                                                                        5,957      4,841
                                                                     --------   --------
      Income from continuing operations before income tax
         expense .................................................     47,401     42,522
Income tax expense                                                     14,569     13,275
                                                                     --------   --------
      Income from continuing operations ..........................     32,832     29,247
(Loss) income from discontinued operations, net of income tax
   (benefit) expense .............................................        (10)       860
                                                                     --------   --------
      Net income .................................................   $ 32,822   $ 30,107
                                                                     ========   ========
Basic results per share of common stock:
   Income from continuing operations .............................   $   1.00   $   0.91
   Net income ....................................................   $   1.00   $   0.93
Diluted results per share of common stock:
   Income from continuing operations .............................   $   0.97   $   0.88
   Net income ....................................................   $   0.97   $   0.91
Dividends paid per share of common stock .........................   $   0.10   $   0.09
</TABLE>

                 See notes to consolidated financial statements.


                                       -3-
<PAGE>

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

<TABLE>
<CAPTION>
                                                                                  March 31,   December 31,
                                                                                    2006          2005
                                                                                 ----------   ------------
<S>                                                                              <C>          <C>
Assets:
   Investments:
      Fixed maturity securities, available for sale ..........................   $3,236,888    $3,244,764
      Short-term investments .................................................      275,496        94,308
      Other investments ......................................................      566,833       573,532
                                                                                 ----------    ----------
                                                                                  4,079,217     3,912,604
   Cash ......................................................................       28,613        28,493
   Cost of business acquired .................................................      263,719       248,138
   Reinsurance receivables ...................................................      410,163       413,113
   Goodwill ..................................................................       93,929        93,929
   Securities lending collateral .............................................      248,131       244,821
   Other assets ..............................................................      250,825       235,644
   Assets held in separate account ...........................................      105,158        99,428
                                                                                 ----------    ----------
      Total assets ...........................................................   $5,479,755    $5,276,170
                                                                                 ==========    ==========
Liabilities and Shareholders' Equity:
   Future policy benefits:
      Life ...................................................................   $  275,986    $  273,486
      Disability and accident ................................................      560,549       539,929
   Unpaid claims and claim expenses:
      Life ...................................................................       52,666        55,885
      Disability and accident ................................................      254,314       247,093
      Casualty ...............................................................      752,820       746,479
   Policyholder account balances .............................................    1,137,236     1,039,610
   Corporate debt ............................................................      257,750       234,750
   Junior subordinated deferrable interest debentures underlying
      company-obligated mandatorily redeemable capital
      securities issued by unconsolidated subsidiaries .......................       59,762        59,762
   Securities lending payable ................................................      248,131       244,821
   Other liabilities and policyholder funds ..................................      740,733       701,888
   Liabilities related to separate account ...................................      105,158        99,428
                                                                                 ----------    ----------
      Total liabilities ......................................................    4,445,105     4,243,131
                                                                                 ----------    ----------
   Shareholders' equity:
      Preferred Stock, $.01 par; 50,000,000 shares authorized ................           --            --
      Class A Common Stock, $.01 par; 150,000,000 shares authorized;
         31,615,846 and 31,274,166 shares issued and outstanding,
         respectively ........................................................          316           313
      Class B Common Stock, $.01 par; 20,000,000 shares authorized;
         3,781,163 and 3,904,481 shares issued and outstanding,
         respectively ........................................................           38            39
      Additional paid-in capital .............................................      453,982       442,531
      Accumulated other comprehensive (loss) income ..........................       (2,573)       20,264
      Retained earnings ......................................................      665,857       636,285
      Treasury stock, at cost; 3,043,811 and 2,723,211 shares of
         Class A Common Stock, respectively ..................................      (82,970)      (66,393)
                                                                                 ----------    ----------
         Total shareholders' equity ..........................................    1,034,650     1,033,039
                                                                                 ----------    ----------
            Total liabilities and shareholders' equity .......................   $5,479,755    $5,276,170
                                                                                 ==========    ==========
</TABLE>

                 See notes to consolidated financial statements.


                                       -4-
<PAGE>

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

<TABLE>
<CAPTION>
                                                                      Accumulated
                                    Class A   Class B   Additional       Other
                                     Common    Common     Paid-in    Comprehensive   Retained   Treasury
                                     Stock     Stock      Capital    Income (Loss)   Earnings     Stock       Total
                                    -------   -------   ----------   -------------   --------   --------   ----------
<S>                                 <C>       <C>       <C>          <C>             <C>        <C>        <C>
Balance, January 1, 2005 ........     $304      $39      $406,908      $ 57,371      $534,540   $(59,314)  $  939,848
                                                                                                           ----------
Net income ......................       --       --            --            --        30,107         --       30,107
Other comprehensive income:
   Decrease in net unrealized
      appreciation on
      investments ...............       --       --            --       (33,009)           --         --      (33,009)
   Decrease in net loss
      on cash flow hedge ........       --       --            --           196            --         --          196
                                                                                                           ----------
Comprehensive loss                                                                                             (2,706)
Issuance of stock and exercise
   of stock options .............        2       --         6,940            --            --         --        6,942
Stock based compensation ........       --       --           721            --            --         --          721
Cash dividends ..................       --       --            --            --        (2,860)        --       (2,860)
                                      ----      ---      --------      --------      --------   --------   ----------
Balance, March 31, 2005 .........     $306      $39      $414,569      $ 24,558      $561,787   $(59,314)  $  941,945
                                      ====      ===      ========      ========      ========   ========   ==========
Balance, January 1, 2006 ........     $313      $39      $442,531      $ 20,264      $636,285   $(66,393)  $1,033,039
                                                                                                           ----------
Net income ......................       --       --            --            --        32,822         --       32,822
Other comprehensive income:
   Decrease in net unrealized
      appreciation on
      investments ...............       --       --            --       (23,033)           --         --      (23,033)
   Decrease in net loss
      on cash flow hedge ........       --       --            --           196            --         --          196
                                                                                                           ----------
Comprehensive income                                                                                            9,985
Issuance of stock and exercise
   of stock options .............        3       (1)        9,890            --            --         --        9,892
Stock based compensation ........       --       --         1,561            --            --         --        1,561
Acquisition of treasury stock ...       --       --            --            --            --    (16,577)     (16,577)
Cash dividends ..................       --       --            --            --        (3,250)        --       (3,250)
                                      ----      ---      --------      --------      --------   --------   ----------
Balance, March 31, 2006 .........     $316      $38      $453,982      $ (2,573)     $665,857   $(82,970)  $1,034,650
                                      ====      ===      ========      ========      ========   ========   ==========
</TABLE>

                See notes to consolidated financial statements.


                                      -5-
<PAGE>

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

<TABLE>
<CAPTION>
                                                                    Three Months Ended
                                                                         March 31,
                                                                  ----------------------
                                                                     2006        2005
                                                                  ---------   ----------
<S>                                                               <C>         <C>
Operating activities:
   Net income..................................................   $  32,822   $  30,107
   Adjustments to reconcile net income to net cash provided
      by operating activities:
      Change in policy liabilities and policyholder accounts...      71,266      75,043
      Net change in reinsurance receivables and payables.......       7,964      11,141
      Amortization, principally the cost of business acquired
         and investments.......................................      16,565      14,328
      Deferred costs of business acquired......................     (29,086)    (25,280)
      Net realized losses (gains) on investments...............       1,251      (1,817)
      Net change in federal income tax liability...............       9,807      10,640
      Other....................................................     (26,617)    (35,870)
                                                                  ---------   ---------
         Net cash provided by operating activities.............      83,972      78,292
                                                                  ---------   ---------
Investing activities:
   Purchases of investments and loans made.....................    (425,779)   (505,340)
   Sales of investments and receipts from repayment of loans...     372,965     383,525
   Maturities of investments...................................      45,673      68,474
   Net change in short-term investments........................    (181,132)    (42,365)
   Change in deposit in separate account.......................      (1,546)     (2,925)
                                                                  ---------   ---------
         Net cash used by investing activities.................    (189,819)    (98,631)
                                                                  ---------   ---------
Financing activities:
   Deposits to policyholder accounts...........................     122,763      23,351
   Withdrawals from policyholder accounts......................     (28,010)    (23,545)
   Borrowings under revolving credit facility..................      25,000      26,000
   Principal payments under revolving credit facility..........      (2,000)     (5,000)
   Other financing activities..................................     (11,786)        977
                                                                  ---------   ---------
         Net cash provided by financing activities.............     105,967      21,783
                                                                  ---------   ---------
Increase in cash...............................................         120       1,444
Cash at beginning of period....................................      28,493      24,324
                                                                  ---------   ---------
         Cash at end of period.................................   $  28,613   $  25,768
                                                                  =========   =========
</TABLE>

                 See notes to consolidated financial statements.


                                       -6-
<PAGE>

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

NOTE A - SIGNIFICANT ACCOUNTING POLICIES

The financial statements of Delphi Financial Group, Inc. (the "Company," which
term includes the Company and its consolidated subsidiaries unless the context
indicates otherwise) 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. 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. Certain reclassifications have been made in the
March 31, 2005 consolidated financial statements to conform to the March 31,
2006 presentation. Operating results for the three months ended March 31, 2006
are not necessarily indicative of the results that may be expected for the year
ended December 31, 2006. For further information refer to the consolidated
financial statements and footnotes thereto included in the Company's annual
report on Form 10-K for the year ended December 31, 2005. Capitalized terms used
herein without definition have the meanings ascribed to them in the Company's
annual report on Form 10-K for the year ended December 31, 2005.

Accounting Changes

Stock Options. As of January 1, 2006, the Company adopted Statement of Financial
Accounting Standards ("SFAS") No. 123 (Revised) ("123R"), "Share-Based Payment,"
a revision of SFAS No. 123, which requires all share-based payments to
employees, including grants of employee stock options, to be recognized as
expense in the income statement based on their fair values and prohibits pro
forma disclosure as an alternative. The Company adopted SFAS No. 123R using the
modified prospective transition method, under which compensation cost is
recognized for all new awards granted after the date of adoption and any
unvested awards previously granted for which expenses was not being recognized
under SFAS No. 123. Accordingly, since the Company adopted SFAS No. 123 in 2003
using the prospective transition method, compensation cost for unvested awards
granted prior to 2003 is required to be recognized under SFAS No. 123R. During
the first quarter of 2006, compensation cost recognized for such awards was not
material to the results of operations of the Company.

SFAS No. 123R also requires the Company to estimate forfeitures in calculating
the expense relating to stock-based compensation as opposed to recognizing these
forfeitures and the corresponding reduction in expense only as they occur. In
the first quarter of 2006, the Company recorded an adjustment for expected
forfeitures as a reduction in stock-based compensation expense, which is
included within other operating expenses on the Company's consolidated income
statement. The adjustment was not recorded as a cumulative effect adjustment,
net of tax, because the amount was not material to the results of operations of
the Company. In addition, the SFAS No. 123R requires the Company to reflect the
tax savings resulting from tax deductions in excess of expense as a financing
cash flow in its statement of cash flows rather than as an operating cash flow
as in prior periods. These cash flows were not material to the Company's
consolidated statements of cash flows.

The following table illustrates the effect on net income and earnings per share
as if the Company had applied the fair value recognition provisions of SFAS No.
123 to stock-based employee compensation as of its original effective date
(dollars in thousands, except for per share data):

<TABLE>
<CAPTION>
                                                                     Three Months
                                                                         Ended
                                                                       March 31,
                                                                         2005
                                                                     ------------
<S>                                                                  <C>
Net income, as reported ..........................................     $30,107
Add: Stock-based employee compensation expense included
   in reported net income, net of related tax effects ............         655
Deduct: Stock-based employee compensation expense determined
   under the fair value based method for all awards, net of
   related tax effects ...........................................        (739)
                                                                       -------
Pro forma net income .............................................     $30,023
                                                                       =======
Earnings per share:
Basic, as reported ...............................................     $  0.93
Basic, pro forma .................................................        0.93
Diluted, as reported .............................................     $  0.91
Diluted, pro forma ...............................................        0.90
</TABLE>


                                       -7-

<PAGE>

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

NOTE A - SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED)

The Company recognized stock compensation expenses of $1.8 million and $0.9
million in the first quarter of 2006 and 2005, respectively. The remaining
unrecognized compensation expense related to unvested awards at March 31, 2006
was $17.7 million and the weighted-average period of time over which this
expense will be recognized is 3.0 years.

The fair values of options were estimated at the grant date using the
Black-Scholes option pricing model with the following assumptions for the first
quarter of 2006: expected volatility - 24.8%, expected dividends - 0.9%,
expected lives of the options - 6.5 years and the risk free rate - 4.6%. The
following assumptions were used for the first quarter of 2005: expected
volatility - 23.8%, expected dividends - 0.8%, expected lives of the options -
5.0 years and the risk free rate - 3.6%.

The expected volatility reflects the Company's past monthly stock price
volatility. The expected life of options granted in the first quarter of 2006
was calculated using the "simplified method" in accordance with Staff Accounting
Bulletin 107. For options granted in the first quarter of 2005, the Company used
a projected expected life based on employees' historical exercise behavior. The
dividend yield is based on the Company's historical dividend payments. The
risk-free rate is derived from public data sources at the time of the grant.
Compensation cost is recognized over the expected life of the option using the
straight-line method.

Option activity with respect to the Company's plans excluding the
performance-contingent incentive options was as follows:

<TABLE>
<CAPTION>
                                                             Weighted
                                                Weighted     Average     Aggregate
                                      Number     Average    Remaining    Intrinsic
                                        of      Exercise   Contractual     Value
             Options                 Options      Price        Term        ($000)
             -------                ---------   --------   -----------   ---------
<S>                                 <C>         <C>        <C>           <C>
Outstanding at January 1, 2006...   2,565,198    $26.49
Granted..........................     202,000     47.03
Exercised........................    (196,849)    19.30
Forfeited .......................      (6,450)    44.60
                                    ---------    ------
Outstanding at March 31, 2006....   2,563,899     28.61        4.7        $59,013
                                    =========    ======        ===        =======
Exercisable at March 31, 2006....   2,024,863     25.14        3.6         53,643
</TABLE>

The weighted average grant date fair value of options granted during the first
quarter of 2006 and 2005 was $15.18 and $11.31, respectively. The cash proceeds
from stock options exercised were $3.8 million and $2.3 million for the first
quarter of 2006 and 2005, respectively. The total intrinsic value of options
exercised during the first quarter of 2006 and 2005 was $6.3 million and $2.6
million, respectively.

At March 31, 2006, 2,525,000 performance contingent incentive options were
outstanding with a weighted average exercise price of $36.76, a weighted average
contractual term of 7.9 years and an intrinsic value of $37.6 million. None of
the options were exercisable at March 31, 2006.

NOTE B - INVESTMENTS

At March 31, 2006, the Company had fixed maturity securities available for sale
with a carrying value and a fair value of $3,236.9 million and an amortized cost
of $3,240.4 million. At December 31, 2005, the Company had fixed maturity
securities available for sale with a carrying value and a fair value of $3,244.8
million and an amortized cost of $3,208.7 million.

The summarized aggregate unaudited net income for the limited partnerships and
limited liability companies in which the Company maintained investments was
$1,394.8 million and $349.7 million for the first three months of 2006 and 2005,
respectively.


                                       -8-

<PAGE>

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

NOTE C - SEGMENT INFORMATION

<TABLE>
<CAPTION>
                                                Three Months Ended
                                                    March 31,
                                               -------------------
                                                 2006       2005
                                               --------   --------
                                                   (dollars in
                                                    thousands)
<S>                                            <C>        <C>
Revenues:
   Group employee benefit products (1) .....   $290,268   $258,336
   Asset accumulation products .............     23,107     22,690
   Other (2) ...............................      8,613      8,214
                                               --------   --------
                                                321,988    289,240
   Net realized investment (losses) gains ..     (1,251)     1,817
                                               --------   --------
                                               $320,737   $291,057
                                               ========   ========
Operating income:
   Group employee benefit products (1) .....   $ 51,056   $ 41,324
   Asset accumulation products .............      6,968      6,333
   Other (2) ...............................     (3,415)    (2,111)
                                               --------   --------
                                                 54,609     45,546
   Net realized investment (losses) gains ..     (1,251)     1,817
                                               --------   --------
                                               $ 53,358   $ 47,363
                                               ========   ========
</TABLE>

(1)  During the fourth quarter of 2005, the Company decided to exit its non-core
     property catastrophe reinsurance business. Prior period information has
     been restated to conform to the current period presentation.

(2)  Primarily consists of operations from integrated disability and absence
     management services and certain corporate activities.

NOTE D - COMPREHENSIVE INCOME (LOSS)

Total comprehensive income (loss) is comprised of net income and other
comprehensive (loss) income, which includes the change in unrealized gains and
losses on securities available for sale and the change in the loss on the cash
flow hedge described in the Company's annual report on Form 10-K for the year
ended December 31, 2005. Total comprehensive income (loss) was $10.0 million and
$(2.7) million for the first three months of 2006 and 2005, respectively.


                                       -9-

<PAGE>

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

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,
                                                                                        -----------------
                                                                                          2006      2005
                                                                                        -------   -------
<S>                                                                                     <C>       <C>
Numerator:
   Income from continuing operations ................................................   $32,832   $29,247
   (Loss) income from discontinued operations, net of income tax (benefit) expense ..       (10)      860
                                                                                        -------   -------
   Net income .......................................................................   $32,822   $30,107
                                                                                        =======   =======
Denominator:
   Weighted average common shares outstanding .......................................    32,986    32,309
      Effect of dilutive securities .................................................       897       953
                                                                                        -------   -------
   Weighted average common shares outstanding, assuming dilution ....................    33,883    33,262
                                                                                        =======   =======
Basic results per share of common stock:
   Income from continuing operations ................................................   $  1.00   $  0.91
   (Loss) income from discontinued operations, net of income tax (benefit) expense ..        --      0.02
                                                                                        -------   -------
   Net income .......................................................................   $  1.00   $  0.93
                                                                                        =======   =======
Diluted results per share of common stock:
   Income from continuing operations ................................................   $  0.97   $  0.88
   (Loss) income from discontinued operations, net of income tax (benefit) expense ..        --      0.03
                                                                                        -------   -------
   Net income .......................................................................   $  0.97   $  0.91
                                                                                        =======   =======
</TABLE>


                                      -10-
<PAGE>

                          DELPHI FINANCIAL GROUP, INC.
                     MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                  FINANCIAL CONDITION AND RESULTS OF OPERATIONS

INTRODUCTION

The Company, through its subsidiaries, underwrites a diverse portfolio of group
employee benefit products, primarily group life, disability, and excess workers'
compensation insurance. Revenues from this group of products are primarily
comprised of earned premiums and investment income. The profitability of group
employee benefit products is affected by, among other things, differences
between actual and projected claims experience, the retention of existing
customers, product mix and the Company's ability to attract new customers,
change premium rates and contract terms and control administrative expenses. The
Company transfers its exposure to some group employee benefit risks through
reinsurance ceded arrangements with other insurance and reinsurance companies.
Accordingly, the profitability of the Company's group employee benefit products
is affected by the amount, cost and terms of reinsurance it obtains. The
profitability of certain group employee benefit products is also affected by the
difference between the yield achieved on invested assets and the discount rate
used to calculate the related reserves. The Company is continuing to experience
favorable market conditions for its excess workers' compensation products due to
high primary workers' compensation rates. For its other group employee benefit
products, the Company is continuing to increase the size of its sales force in
order to enhance its focus on the small case niche (insured groups of 10 to 500
individuals), including employers which are first-time providers of these
employee benefits, which it believes to offer opportunities for superior
profitability. In the fourth quarter of 2005, the Company decided to exit its
non-core property catastrophe reinsurance business, due to the volatility
associated with such business and other strategic considerations, and has not
thereafter renewed or written any new reinsurance contracts in this business.
Accordingly, the Company reclassified the operating results of this business as
discontinued operations. Prior period information has been reclassified to
conform to the current period presentation.

The Company also operates an asset accumulation business that focuses primarily
on offering fixed annuities to individuals. In addition, during the first
quarter of 2006, the Company issued $100 million of fixed and floating rate
funding agreements with maturities of three to five years in connection with the
issuance of funding agreement-backed notes in a corresponding principal amount.
The Company believes that the funding agreement program enhances the Company's
asset accumulation business by providing an alternative source of distribution
for this business. The Company's liability for the funding agreements is
recorded in policyholder account balances. Deposits from the Company's asset
accumulation business are recorded as liabilities rather than as premiums.
Revenues from the Company's asset accumulation business are primarily comprised
of investment income earned on the funds under management. The profitability of
asset accumulation products is primarily dependent on the spread achieved
between the return on investments and the interest credited to holders of these
products. The Company is setting the crediting rates offered on its asset
accumulation products in an effort to achieve its targeted interest rate spreads
on these products, and is willing to accept lower levels of sales on these
products when market conditions make these targeted spreads more difficult to
achieve.

The following discussion and analysis of the results of operations and financial
condition of the Company should be read in conjunction with the Consolidated
Financial Statements and related notes included in this document, as well as the
Company's annual report on Form 10-K for the year ended December 31, 2005 (the
"2005 Form 10-K"). Capitalized terms used herein without definition have the
meanings ascribed to them in the 2005 Form 10-K. The preparation of financial
statements in conformity with GAAP requires management, in some instances, to
make judgments about the application of these principles. The amounts of assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period could differ materially
from the amounts reported if different conditions existed or different judgments
were utilized. A discussion of how management applies certain critical
accounting policies and makes certain estimates is contained in the 2005 Form
10-K in the section entitled "Management's Discussion and Analysis of Financial
Condition and Results of Operations - Critical Accounting Policies and Estimates
- Investments" and should be read in conjunction with the following discussion
and analysis of results of operations and financial condition of the Company. In
addition, a discussion of uncertainties and contingencies which can affect
actual results and could cause future results to differ materially from those
expressed in certain forward-looking statements contained in this Management's
Discussion and Analysis of Financial Condition and Results of Operations can be
found below under the caption "Forward-Looking Statements And Cautionary
Statements Regarding Certain Factors That May Affect Future Results" and in
"Item 1A. Risk Factors."


                                      -11-

<PAGE>

RESULTS OF OPERATIONS

Summary of Results. Net income was $32.8 million, or $0.97 per diluted share, in
the first quarter of 2006 as compared to $30.1 million, or $0.91 per diluted
share, in the first quarter of 2005. Net income in the first quarter of 2006 and
2005 included realized investment (losses) gains (net of the related income tax
(benefit) expense) of $(0.8) million, or $(0.02) per diluted share, and $1.2
million, or $0.04 per diluted share, respectively. Net income in the first
quarter of 2006 benefited from growth in income from the Company's core group
employee benefit products and an increase in net investment income, and was
adversely impacted by an increase in interest expense. Core group employee
benefit products include group life, disability, excess workers' compensation,
travel accident and dental insurance. Premiums from these core group employee
benefit products increased 11% in the first quarter of 2006 and the combined
ratio (loss ratio plus expense ratio) for these products was modestly lower than
in the first quarter of 2005. Net investment income in the first quarter of
2006, which increased 11% from the first quarter of 2005, reflects an 11%
increase in average invested assets. The increase in interest expense was
primarily due to the increases in the Company's weighted average borrowings and
the weighted average borrowing rate due to increases in the levels of the
short-term interest indices referenced under the Company's revolving credit
facility during first quarter of 2006 as compared to the first quarter of 2005.

Premium and Fee Income. Premium and fee income in the first quarter of 2006 was
$263.0 million as compared to $235.9 million in the first quarter of 2005, an
increase of 11%. Premiums from core group employee benefit products increased
11% to $251.0 million in the first quarter of 2006 from $225.7 million in the
first quarter of 2005. This increase reflects normal growth in employment and
salary levels for the Company's existing customer base, price increases and new
business production. Premiums from excess workers' compensation insurance for
self-insured employers increased 13% to $58.3 million in the first quarter of
2006 from $51.7 million in the first quarter of 2005. This increase was
primarily due to the demand for this product as a result of high primary
workers' compensation rates. In its renewals of insurance coverages during the
first quarter of 2006, SNCC continued to obtain higher SIR levels, which are up
8%, while maintaining its pricing. Excess workers' compensation new business
production, which represents the amount of new annualized premium sold,
increased 106% to $24.6 million in the first quarter of 2006 from $12.0 million
in the first quarter of 2005 and the retention of existing customers in first
quarter of 2006 remained strong. New business production for 2006 benefited from
a renewal rights agreement that SNCC entered into in July 2005. Under the
agreement, SNCC acquired, among other things, the right to offer renewal quotes
to expiring excess workers' compensation policies of a former competitor.
Premiums from the Company's other core group employee benefit products increased
11% to $192.7 million in the first quarter of 2006 from $174.0 million in the
first quarter of 2005, primarily reflecting new business production. New
business production for the Company's other core group employee benefit products
was $44.4 million in the first quarter of 2006 and $45.9 million in the first
quarter of 2005. New business production includes only directly written
business. The level of production achieved from these products reflects the
Company's focus on the small case niche (insured groups of 10 to 500
individuals) which resulted in a 16% increase in production based on the number
of cases sold as compared to 2005. The Company continued to implement price
increases for certain existing disability and group life customers.

Deposits from the Company's asset accumulation products were $121.0 million in
the first quarter of 2006 as compared to $21.5 million in the first quarter of
2005. The increase in deposits reflects the issuance of $100.0 million of fixed
and floating rate funding agreements under the Company's new program under which
funding agreement-backed notes are issued and sold to institutional investors by
an unconsolidated special purpose vehicle which uses the proceeds to purchase
from the Company funding agreements having terms substantially similar to those
of the notes. Deposits from the Company's asset accumulation products,
consisting of new annuity sales and funding agreements, are recorded as
liabilities rather than as premiums.

Net Investment Income. Net investment income in the first quarter of 2006 was
$59.0 million as compared to $53.4 million in the first quarter of 2005, an
increase of 11%. The level of net investment income in the 2006 period reflects
an 11% increase in average invested assets to $3,965.3 million in the first
quarter of 2006 from $3,564.7 million in the first quarter of 2005. The tax
equivalent weighted average annualized yield on invested assets was 6.2% in both
periods.

Net Realized Investment (Losses) Gains. Net realized investment (losses) gains
were $(1.3) million in the first quarter of 2006 as compared to $1.8 million in
the first quarter of 2005. The Company's investment strategy results in periodic
sales of securities and, therefore, the recognition of realized investment gains
and losses. During the first quarters of 2006 and 2005, the Company recognized
$(0.6) million and $2.3 million, respectively, of net (losses) gains on the
sales of securities. The Company monitors its investments on an ongoing basis.
When the market value of a security declines below its cost, and management
judges the decline to be other than temporary, the security is written down to
fair value, and the decline is reported as a realized investment loss. In the
first quarters of 2006 and 2005, the Company recognized $0.7 million and $0.5
million, respectively, of losses due to the other than temporary declines in the
market values of certain fixed maturity securities.

The Company may recognize additional losses of this type in the future. The
Company anticipates that if certain other existing declines in security values
are determined to be other than temporary, it may recognize additional
investment losses in the range


                                      -12-

<PAGE>

of $5 million to $10 million, on an after-tax basis, with respect to the
relevant securities. However, the extent of any such losses will depend on
future market developments and changes in security values, and such losses may
be outside this range. The Company continuously monitors the affected securities
pursuant to its procedures for evaluation for other than temporary impairment in
valuation, which are described in the section entitled "Management's Discussion
and Analysis of Financial Condition and Results of operations - Critical
Accounting Policies and Estimates - Investments" in the 2005 Form 10-K. It is
not possible to predict the extent of any future changes in value, positive or
negative, or the results of the future application of these procedures, with
respect to these securities. There can be no assurance that the Company will
realize investment gains in the future in an amount sufficient to offset any
such losses.

Benefits and Expenses. Policyholder benefits and expenses were $267.4 million as
compared to $243.7 million in the first quarter 2005, an increase of 10%. This
increase primarily reflects the increase in premiums from the Company's group
employee benefit products discussed above, and does not reflect any additions to
reserves for prior years' claims and claim expenses. However, there can be no
assurance that future periods will not include additions to reserves of this
type, which will depend on the Company's future loss development. If the Company
were to experience significant adverse loss development in the future, the
Company's results of operations could be materially adversely affected. The
combined ratio (loss ratio plus expense ratio) for the Company's group employee
benefits products decreased to 93.7% in the first quarter of 2006 from 94.8% in
the first quarter of 2005. The weighted average annualized crediting rate on the
Company's asset accumulation products, which reflects the effects of the first
year bonus crediting rate on certain newly issued products, was 4.5% and 4.6% in
the first quarters of 2006 and 2005, respectively.

Interest Expense. Interest expense was $6.0 million in the first quarter of 2006
as compared to $4.8 million in the first quarter of 2005, an increase of $1.2
million. This increase primarily resulted from the increases in the weighted
average borrowings and the weighted average borrowing rate due to increases in
the levels of short-term interest indices referenced under the Company's
revolving credit facility during the first quarter of 2006 as compared to the
first quarter of 2005.

Income Tax Expense. Income tax expense was $14.6 million in the first quarter of
2006 as compared to $13.3 million in the first quarter of 2005. The Company's
effective tax rate was 30.7% in the first quarter of 2006 and 31.2% in the first
quarter of 2005.

LIQUIDITY AND CAPITAL RESOURCES

General. The Company had approximately $113.9 million of financial resources
available at the holding company level at March 31, 2006, which was primarily
comprised of investments in the common stock of its investment subsidiaries,
investments in limited partnerships and limited liability companies and
short-term investments. The assets of the investment subsidiaries are primarily
invested in limited partnerships and limited liability companies. 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
approval, to make dividends payments totaling $72.5 million during 2006, of
which $0.8 million has been paid to the holding company during the first three
months of 2006. In general, dividends from the company's non-insurance
subsidiaries are not subject to regulatory or other restrictions. The Company
had $86.0 million of borrowings available to it under its revolving credit
facility as of March 31, 2006. A shelf registration statement is also in effect
under which securities yielding proceeds of up to $106.2 million may be issued
by the Company.

The Company's current liquidity needs, in addition to funding its operating
expenses, include principal and interest payments on outstanding borrowings
under its revolving credit facility, interest payments on the 2033 Senior Notes,
and distributions on the Capital Securities and the 2003 Capital Securities. The
maximum amount of borrowings under the Company's revolving credit facility,
which expires in May 2010, is $200.0 million. The 2033 Senior Notes mature in
their entirety in May 2033 and are not subject to any sinking fund requirements
but are redeemable by the Company at par at any time on or after May 15, 2008.
The junior subordinated deferrable interest debentures underlying the Capital
Securities are not redeemable prior to March 25, 2007. The junior subordinated
deferrable interest debentures underlying the 2003 Capital Securities are
redeemable, in whole or in part, beginning May 15, 2008.

On May 4, 2006, the Company's Board of Directors declared a cash dividend of
$0.12 per share and approved a 3-for-2 common stock split to be effected in the
form of a fifty percent stock dividend, with both the cash and stock dividends
to be distributed on the Company's Class A Common Stock and Class B Common
Stock on June 1, 2006.

The Company and its subsidiaries expect available sources of liquidity to exceed
their current and long-term cash requirements.

Cash Flows. Operating activities increased cash by $84.0 million and $78.3
million in the first quarters of 2006 and 2005, respectively. Net investing
activities used $189.8 million of cash during the first quarter of 2006
primarily for the purchase of securities, and financing activities provided
$106.0 million of cash principally due to the issuance of funding agreements and
an increase in borrowings under the Company's revolving credit facility,
partially offset by repurchases of the Company's Class A Common Stock having a
total cost of $16.6 million.


                                      -13-

<PAGE>

Share Repurchase Program. The Company's board of directors has authorized a
share repurchase program. Share repurchases are effected by the Company in the
open market or in negotiated transactions in compliance with the safe harbor
provisions of Rule 10b-18 under the Securities Exchange Act of 1934. Execution
of the share repurchase program is based on management's assessment of market
conditions for its common stock and other potential uses of capital. During the
first quarter of 2006, the Company repurchased 320,600 shares of its Class A
Common Stock for a total cost of $16.6 million with a volume weighted average
price of $51.71 per share. At March 31, 2006, the repurchase of approximately
0.6 million shares remained authorized under this program.

Investments. The Company's overall investment strategy emphasizes safety and
liquidity, while seeking the best available return, by focusing on, among other
things, managing the Company's interest-sensitive assets and liabilities and
seeking to minimize the Company's exposure to fluctuations in interest rates.
The Company's investment portfolio, which totaled $4.1 billion at March 31,
2006, consists primarily of investments in fixed maturity securities, mortgage
loans, investments in limited partnerships and short-term investments. During
the first quarter of 2006, the market value of the Company's investment
portfolio, in relation to its amortized cost, decreased by $40.0 million from
year-end 2005, before related changes in the cost of business acquired of $4.5
million and the income tax provision of $12.4 million. In addition, the Company
recognized pre-tax net investment losses of $1.3 million in the first quarter of
2006. The weighted average credit rating of the Company's fixed maturity
portfolio as rated by Standard & Poor's Corporation was "AA" at March 31, 2006.
While ratings of this type address credit risk, they do not address other risks,
such as prepayment and extension risks. See "Forward-Looking Statements and
Cautionary Statements Regarding Certain Factors That May Affect Future Results"
and "Item 1A. Risk Factors" for a discussion of various risks relating to the
Company's investment portfolio.

Reinsurance. The Company cedes portions of the risks relating to its group
employee benefit products under indemnity reinsurance agreements with various
unaffiliated reinsurers. The Company pays reinsurance premiums which are
generally based upon specified percentages of the Company's premiums on the
business reinsured. These agreements expire at various intervals as to new
risks, and replacement agreements are negotiated on terms believed appropriate
in light of current market conditions. During 2005, the Company entered into a
reinsurance arrangement under which the Company cedes 30% of its excess workers'
compensation risks between $100.0 million and $150.0 million, per policy per
occurrence. This change has increased the reinsurance premiums paid by the
Company for these products.

In the fourth quarter of 2005, the Company decided to exit its non-core property
catastrophe reinsurance business, due to the volatility associated with such
business and other strategic considerations, and has not thereafter renewed or
written any new reinsurance contracts in this business. A substantial majority
of these reinsurance contracts expired on or before December 31, 2005 and all of
the remaining contracts will expire prior to the end of the third quarter of
2006. Although the Company will continue to collect modest amounts of premium
and pay losses under the terms of the remaining contracts until their
expiration, these amounts are not expected to be material to the Company's
results of operations.

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, 2005.

CONTROLS AND PROCEDURES

As of the end of the period covered by this report, an evaluation was performed
under the supervision and with the participation of the Company's management,
including the Company's Chief Executive Officer ("CEO") and Vice President and
Treasurer (the individual who acts in the capacity of chief financial officer),
of the effectiveness of the design and operation of the Company's disclosure
controls and procedures (as defined in the rules and regulations of the
Securities and Exchange Commission). Based on that evaluation, the Company's
management, including the CEO and Vice President and Treasurer, concluded that
the Company's disclosure controls and procedures were effective. There were no
changes in the Company's internal control over financial reporting during the
fiscal quarter to which this report relates that have materially affected, or
are reasonably likely to materially affect, the Company's internal control over
financial reporting.

FORWARD-LOOKING STATEMENTS AND CAUTIONARY STATEMENTS REGARDING CERTAIN FACTORS
THAT MAY AFFECT FUTURE RESULTS

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,


                                      -14-

<PAGE>

strategies, financial results, prospects, outlooks or other developments. Some
forward-looking statements may be identified by the use of terms such as
"expects," "believes," "anticipates," "intends," "judgment," "outlook" 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, employee benefit and
tax laws and regulations, market pricing and competitive trends relating to
insurance products and services, acts of terrorism or war, and the availability
and cost of reinsurance, and those relating specifically to the Company's
business, such as the level of its insurance premiums and fee income, the claims
experience, persistency 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 the Company and 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. Certain
of these uncertainties and contingencies are described in more detail in "Item
1A. Risk Factors." The Company disclaims any obligation to update
forward-looking information.

                           PART II. OTHER INFORMATION

Item 1A. Risk Factors

     RESERVES ESTABLISHED FOR FUTURE POLICY BENEFITS AND CLAIMS MAY PROVE
INADEQUATE.

The Company's reserves for future policy benefits and unpaid claims and claim
expenses are estimates that entail various assumptions and judgments. These
estimates are subject to variability, since the factors and events affecting the
ultimate liability for claims have not all taken place, and thus cannot be
evaluated with certainty. Moreover, under the actuarial methodologies utilized
by the Company, these estimates are subject to reevaluation based on developing
trends with respect to the Company's loss experience. Such trends may emerge
over longer periods of time, and changes in such trends cannot necessarily be
identified or predicted at any given time by reference to current claims
experience, whether favorable or unfavorable. If the Company's actual loss
experience from its current or discontinued products is different from the
Company's assumptions or estimates, the Company's reserves could be inadequate.
In such event, the Company's results of operations, liquidity or financial
condition could be materially adversely affected.

     THE MARKET VALUES OF THE COMPANY'S INVESTMENTS FLUCTUATE.

The market values of the Company's investments vary depending on economic and
market conditions, including interest rates, and such values can decline as a
result of changes in such conditions. Increasing interest rates or a widening in
the spread between interest rates available on U.S. Treasury securities and
corporate debt, for example, will typically have an adverse impact on the market
values of the fixed maturity securities in the Company's investment portfolio.
If interest rates decline, the Company generally achieves a lower overall rate
of return on investments of cash generated from the Company's operations. In
addition, in the event that investments are called or mature in a declining
interest rate environment, the Company may be unable to reinvest the proceeds in
securities with comparable interest rates. The Company may also in the future be
required or determine to sell certain investments, whether to meet contractual
obligations to its policyholders, or otherwise, at a price and a time when the
market value of such investments is less than the book value of such
investments.

Declines in the fair value of investments that are considered in the judgment of
management to be other than temporary are reported as realized investment
losses. The Company has experienced and may in the future experience losses from
other than temporary declines in security values. Such losses are recorded as
realized investment losses in the income statement. See "Results of Operations -
Net Realized Investment (Losses) Gains." In addition, the Company invests in
certain limited partnerships and limited liability companies that invest in
various financial instruments. These investments are reflected in the Company's
financial statements under the equity method; accordingly, positive or negative
changes in the value of the investees' financial instruments are included in net
investment income. Thus, the Company's results of operations, in addition to its
liquidity and financial condition, could be materially adversely affected if
these entities were to experience significant losses in the values of their
financial assets.

     THE COMPANY'S INVESTMENT STRATEGY EXPOSES THE COMPANY TO DEFAULT AND OTHER
RISKS.

The management of the Company's investment portfolio is an important component
of the Company's profitability since a substantial portion of the Company's
operating income is generated from the difference between the yield achieved on
invested


                                      -15-

<PAGE>

assets and, in the case of asset accumulation products, the interest credited on
policyholder funds and, in the case of the Company's other products for which
reserves are discounted, the discount rate used to calculate the related
reserves.

The Company is subject to the risk, among others, that the issuers of the fixed
maturity securities the Company owns will default on principal and interest
payments. A major economic downturn or any of the various other factors that
affect issuers' abilities to pay could result in issuer defaults. Because the
Company's investments consist primarily of fixed maturity securities and
short-term investments, such defaults could materially adversely affect the
Company's results of operations, liquidity or financial condition. The Company
continually monitors its investment portfolio and attempts to ensure that the
risks associated with concentrations of investments in either a particular
sector of the market or a single entity are limited.

At March 31, 2006, mortgage-backed securities comprised 22% of the Company's
total invested assets. Mortgage-backed securities subject the Company to a
degree of interest rate risk, including prepayment and extension risk, which is
generally a function of the sensitivity of each security's underlying collateral
to prepayments under varying interest rate environments and the repayment
priority of the securities in the particular securitization structure. The
Company seeks to limit the extent of this risk by emphasizing the more
predictable payment classes and securities with stable collateral.

The Company, through its insurance subsidiaries, maintains a program in which
investments are financed using advances from various Federal Home Loan Banks.
The Company has utilized this program to manage the duration of its liabilities
and to earn spread income, which is the difference between the financing cost
and the earnings from the investments purchased with those funds. At March 31,
2006, the Company had an outstanding advance of $55.0 million. The advance was
obtained at a fixed rate and has a term to maturity of 14.2 years. In addition,
the Company has from time to time utilized reverse repurchase agreements,
futures and option contracts and interest rate and credit default swaps in
connection with its investment strategy. These transactions may require the
Company to maintain securities or cash on deposit with the applicable
counterparty as collateral. As the market value of the collateral or contracts
changes, the Company may be required to deposit additional collateral or be
entitled to have a portion of the collateral returned to it. The Company also
maintains a securities lending program under which certain securities from its
portfolio are loaned to other institutions for short periods of time. The
Company maintains full ownership rights to the securities loaned and continues
to earn interest and dividends on them. The collateral received for securities
loaned is recorded at the fair value of the collateral, which is generally in an
amount in excess of the market value of the securities loaned. The Company's
institutional lending agent monitors the market value of the securities loaned
and obtains additional collateral as necessary.

The types and amounts of investments made by the Company's insurance
subsidiaries are subject to the insurance laws and regulations of their
respective states of domicile. Each of these states has comprehensive investment
regulations. In addition, the Company's revolving credit facility also contains
limitations, with which the Company is currently in compliance in all material
respects, on the composition of the Company's investment portfolio. The Company
also continually monitors its investment portfolio and attempts to ensure that
the risks associated with concentrations of investments in either a particular
sector of the market or a single entity are limited.

     THE COMPANY'S FINANCIAL POSITION EXPOSES THE COMPANY TO INTEREST RATE
RISKS.

Because the Company's primary assets and liabilities are financial in nature,
the Company's consolidated financial position and earnings are subject to risks
resulting from changes in interest rates. The Company manages this risk by
active portfolio management focusing on minimizing its exposure to fluctuations
in interest rates by matching its invested assets and related liabilities and by
periodically adjusting the crediting rates on its annuity products.
Profitability of certain group employee benefit products is also affected by the
difference between the yield achieved on invested assets and the discount rate
used to calculate the related reserves. The Company manages this risk by seeking
to adjust the prices charged for these products.

     THE COMPANY'S ABILITY TO REDUCE ITS EXPOSURE TO RISKS DEPENDS ON THE
AVAILABILITY AND COST OF REINSURANCE.

The Company transfers its exposure to some risks through reinsurance
arrangements with other insurance and reinsurance companies. Under the Company's
reinsurance arrangements, another insurer assumes a specified portion of the
Company's losses and loss adjustment expenses in exchange for a specified
portion of policy premiums. The availability, amount, cost and terms of
reinsurance may vary significantly based on market conditions. Any decrease in
the amount of the Company's reinsurance will increase the Company's risk of loss
and any increase in the cost of reinsurance will, absent a decrease in the
reinsurance amount, reduce the Company's premium income. In either case, the
Company's operating results could be adversely affected unless it is able to
accordingly adjust the prices or other terms of its insurance policies or
successfully implement other operational initiatives, as to which no assurance
can be given. Furthermore, the Company is subject to credit risk with respect to
reinsurance. The Company obtains reinsurance primarily through indemnity
reinsurance transactions in which the Company is still liable for the
transferred risks if the reinsurers fail to meet their financial obligations.
Such failures could materially affect the Company's results of operations,
liquidity or financial condition.


                                      -16-

<PAGE>

Some reinsurers experienced significant losses related to the terrorist events
of September 11, 2001. As a result of this and other market factors, higher
prices and less favorable terms and conditions continue to be offered in the
reinsurance market. In the future, the Company's reinsurers may continue to seek
price increases, although the extent of any such increases cannot currently be
predicted. Also, there has been significantly reduced availability of
reinsurance covering risks such as terrorist and catastrophic events.
Accordingly, substantially all of the Company's coverages of this nature were
discontinued during 2002, which would result in the Company retaining a higher
portion of losses from such events if they occur. The Company has not been able
to replace such coverages on acceptable terms due to present market conditions,
and there can be no assurance that the Company will be able to do so in the
future. However, under the Terrorism Act, which terminates on December 31, 2007,
the federal government will pay 90% and 85% of the Company's covered losses
above the annual deductible during 2006 and 2007, respectively, relating to acts
of international terrorism from property and casualty products directly written
by SNCC. The occurrence of a significant catastrophic event could have a
material adverse effect on the Company's results of operations, liquidity or
financial condition.

     THE INSURANCE BUSINESS IS A HEAVILY REGULATED INDUSTRY.

The Company's insurance subsidiaries, like other insurance companies, are highly
regulated by state insurance authorities in the states in which they are
domiciled and the other states in which they conduct business. Such regulations,
among other things, limit the amount of dividends and other payments that can be
made by such subsidiaries without prior regulatory approval and impose
restrictions on the amount and type of investments such subsidiaries may have.
These regulations also affect many other aspects of the Company's insurance
subsidiaries' businesses, including, for example, RBC requirements, various
reserve requirements, the terms, conditions and manner of sale and marketing of
insurance products, claims-handling practices and the form and content of
required financial statements. These regulations are intended to protect
policyholders rather than investors. The ability of the Company's insurance
subsidiaries to continue to conduct their businesses is dependent upon the
maintenance of their licenses in these various states.

In April 2004, the New York Attorney General ("NYAG") initiated an investigation
into certain insurance broker compensation arrangements and other aspects of
dealings between insurance brokers and insurance companies, and, in connection
therewith, filed a civil complaint in October 2004 against a major insurance
brokerage firm based on certain of such firm's compensation arrangements with
insurers and alleged misconduct in connection with the placement of insurance
business. Other state regulators subsequently announced the commencement of
similar investigations and reviews. The Company has received administrative
subpoenas or similar requests for information from the Illinois Division of
Insurance, the Missouri Department of Insurance, the NYAG's office and the North
Carolina Department of Insurance in connection with their investigations. The
Company anticipates that additional regulatory inquiries may be received by its
insurance subsidiaries as the various investigations continue. The Company has
fully cooperated with inquiries it has received to date, and it intends to fully
cooperate with any future inquiries of this type.

As also previously disclosed, based on an internal review in 2004 relating to
the Company's insurance subsidiaries, the Company had identified certain
potential issues concerning past insurance solicitation practices involving SNCC
and Marsh & McLennan. The instances that the Company was able to specifically
identify in this regard were limited in number and involved modest amounts of
premium. The Company reported on these issues to the NYAG's office and to the
Missouri Department of Insurance. In 2005, SNCC was the subject of a targeted
market conduct examination by the Missouri Department of Insurance relating to
these issues, which did not result in any significant adverse findings. The
Company will fully cooperate with these and any other regulatory agencies
relating to these issues. It is not possible to predict the future impact of
this matter on the Company or of the various investigations, or any regulatory
changes or litigation resulting from such investigations, on the insurance
industry or on the Company and its insurance subsidiaries.

From time to time, increased scrutiny has been placed upon the insurance
regulatory framework, and a number of state legislatures have considered or
enacted legislative measures that alter, and in many cases increase, state
authority to regulate insurance companies. In addition to legislative
initiatives of this type, the NAIC and insurance regulators are continuously
involved in a process of reexamining existing laws and regulations and their
application to insurance companies. Furthermore, while the federal government
currently does not directly regulate the insurance business, federal legislation
and administrative policies (and court interpretations thereof) in a number of
areas, such as employee benefits regulation, age, sex and disability-based
discrimination, financial services regulation and federal taxation, can
significantly affect the insurance business. It is not possible to predict the
future impact of changing regulation on the operations of the Company and those
of its insurance subsidiaries.

The Company's insurance subsidiaries can also be required, under solvency or
guaranty laws of most states in which they do business, to pay assessments to
fund policyholder losses or liabilities of insurance companies that become
insolvent.


                                      -17-

<PAGE>

     THE FINANCIAL SERVICES INDUSTRY IS HIGHLY COMPETITIVE.

The Company competes with numerous other insurance and financial services
companies. Many of these organizations have substantially greater assets, higher
ratings from rating agencies, larger and more diversified portfolios of
insurance products and larger agency sales operations than the Company.
Competition in asset accumulation product markets is also encountered from
banks, securities brokerage firms and other financial intermediaries marketing
alternative savings products, such as mutual funds, traditional bank investments
and retirement funding alternatives.

     THE COMPANY MAY BE ADVERSELY IMPACTED BY A DECLINE IN THE RATINGS OF ITS
INSURANCE SUBSIDIARIES OR ITS OWN CREDIT RATINGS.

Ratings with respect to claims-paying ability and financial strength have become
an increasingly important factor impacting the competitive position of insurance
companies. The financial strength ratings of RSLIC as of April 2006 as assigned
by A.M. Best, Fitch, Moody's and Standard & Poor's were A (Excellent), A
(Strong), A3 (Good) and A (Strong), respectively. The financial strength ratings
of SNCC as of April 2006 as assigned by A.M. Best, Fitch and Standard & Poor's
were A (Excellent), A (Strong) and A (Strong), respectively. Each of the rating
agencies reviews its ratings of companies periodically and there can be no
assurance that current ratings will be maintained or improved in the future.
Claims-paying and financial strength ratings are based upon factors relevant to
policyholders and are not directed toward protection of investors. Downgrades in
the ratings of the Company's insurance subsidiaries could adversely affect sales
of their products and could have a material adverse effect on the results of the
Company's operations. In addition, downgrades in the Company's credit ratings
could materially adversely affect its ability to access the capital markets. The
Company's senior unsecured debt ratings as of April 2006 from A.M. Best, Fitch,
Moody's and Standard & Poor's were bbb, BBB, Baa3 and BBB, respectively.

     ALMOST HALF OF THE VOTING POWER OF DELPHI IS CONTROLLED BY ROBERT
ROSENKRANZ, WHOSE INTERESTS MAY DIFFER FROM THOSE OF OTHER SECURITYHOLDERS.

Each share of our Class A Common Stock entitles the holder to one vote and each
share of our Class B Common Stock entitles the holder to a number of votes per
share equal to the lesser of (1) the number of votes such that the aggregate of
all outstanding shares of Class B Common Stock will be entitled to cast 49.9% of
all of the votes represented by the aggregate of all outstanding shares of Class
A Common Stock and Class B Common Stock or (2) ten votes. Each share of Class B
Common Stock is convertible at any time into one share of Class A Common Stock.
The holders of the Class A Common Stock vote as a separate class to elect one
director of the Company. As of May 1, 2006, Mr. Robert Rosenkranz, our Chairman
and Chief Executive Officer, by means of beneficial ownership of the general
partner of Rosenkranz & Company and direct or beneficial ownership, had the
power to vote all of the outstanding shares of Class B Common Stock, which as of
such date represented 49.9% of the aggregate voting power of the Common Stock.
Holders of a majority of the combined voting power of our stockholders have the
power to elect all of the members of our Board of Directors (other than the
director elected by the holders of Class A Common Stock) and to determine the
outcome of fundamental corporate transactions, including mergers and
acquisitions, consolidations and sales of all or substantially all of our
assets. We are a party to consulting and other agreements with certain
affiliates of Mr. Rosenkranz which are expected to continue in accordance with
their terms.


                                      -18-
<PAGE>

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

     There were no unregistered sales of equity securities during the period
     covered by this report.

     Issuer Purchases of Equity Securities.

     The following table shows the purchases of equity securities under the
     Company's existing repurchase program during the three months ended March
     31, 2006:

<TABLE>
<CAPTION>
                                                  Total Number
                                                    of Shares         Maximum
                                                    Purchased        Number of
                                                     as Part        Shares that
                          Total                    of Publicly       May Yet Be
                        Number of     Average       Announced     Purchased Under
                          Shares    Price Paid        Plans          the Plans
                        Purchased    per Share   or Programs(1)    or Programs(2)
                        ---------   ----------   --------------   ---------------
<S>                     <C>         <C>          <C>              <C>
January 1 - 31, 2006          --          --              --               --
February 1 - 28, 2006    150,000      $52.02         150,000          793,050
March 1 - 31, 2006       170,600      $51.43         170,600          622,450
                         -------                     -------
Total                    320,600      $51.71         320,600          622,450
                         =======                     =======
</TABLE>

(1)  As of March 31, 2006, the Company had purchased 3,030,635 shares, at a
     total cost of $82.6 million in the open market. In addition, during 2004,
     the Company received 13,176 shares of the Company's Class A Common Stock
     with an aggregate value of $0.3 million in liquidation of a partnership
     interest, which increased the total number of shares of treasury stock
     outstanding to 3,043,811, as of March 31, 2006.

(2)  On August 31, 1998, the Company's Board of Directors authorized the
     purchase of 1,591,812 outstanding shares of the Company's Class A Common
     Stock from time to time on the open market. In August 1999 and February
     2001, the Board of Directors increased the number of outstanding shares
     authorized for repurchase by 1,530,000 and 531,273, respectively. The
     program has no expiration date.

Item 6. Exhibits

          10.1 Delphi Financial Group, Inc. 2003 Employee Long-Term Incentive
               and Share Award Plan, as amended

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

          31.1 Certification by the Chairman of the Board and Chief Executive
               Officer of Periodic Report Pursuant to Rule 13a-14(a) or
               15d-14(a)

          31.2 Certification by the Vice President and Treasurer of Periodic
               Report Pursuant to Rule 13a-14(a) or 15d-14(a)

          32.1 Certification of Periodic Report Pursuant to 18 U.S.C. Section
               1350 as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act
               of 2002


                                      -19-

<PAGE>

                                   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 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 9, 2006


                                      -20-