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

                                    FORM 10-Q

(Mark One)

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

For the Quarterly Period Ended September 30, 2000

[ ]  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 October 31, 2000, the Registrant had 15,205,954 shares of Class A
                                  Common Stock
            and 5,014,072 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
                                                                           ----
<S>                                                                        <C>
PART I.   FINANCIAL INFORMATION

          Consolidated Statements of Income for the Three and Nine
            Months Ended September 30, 2000 and 1999.....................    3

          Consolidated Balance Sheets at September 30, 2000 and
            December 31, 1999............................................    4

          Consolidated Statements of Shareholders' Equity for the
            Nine Months Ended September 30, 2000 and 1999................    5

          Consolidated Statements of Cash Flows for the
            Nine Months Ended September 30, 2000 and 1999................    6

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

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


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


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

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


<TABLE>
<CAPTION>
                                                                         Three Months Ended                Nine Months Ended
                                                                            September 30,                     September 30,
                                                                     ---------------------------       ---------------------------
                                                                        2000             1999             2000             1999
                                                                     ----------       ----------       ----------       ----------
<S>                                                                  <C>              <C>              <C>              <C>
Revenue:
Premium and fee income ................................              $  120,961       $  126,317       $  345,843       $  365,306
Net investment income .................................                  45,687           46,258          142,899          134,412
Net realized investment losses ........................                  (2,068)          (5,789)          (3,620)         (15,286)
                                                                     ----------       ----------       ----------       ----------
                                                                        164,580          166,786          485,122          484,432
                                                                     ----------       ----------       ----------       ----------
Benefits and expenses:
 Benefits, claims and interest credited to policyholders                 88,225          100,830          255,900          286,432
 Commissions ..........................................                   9,745            8,648           28,983           26,209
 Amortization of cost of business acquired ............                   8,217            6,805           21,697           20,269
 Other operating expenses .............................                  19,712           19,686           60,601           58,296
                                                                     ----------       ----------       ----------       ----------
                                                                        125,899          135,969          367,181          391,206
                                                                     ----------       ----------       ----------       ----------

     Operating income .................................                  38,681           30,817          117,941           93,226
Interest expense ......................................                   5,357            4,452           16,096           13,275
                                                                     ----------       ----------       ----------       ----------

     Income from continuing operations before
       income tax expense and dividends on
       Capital Securities of Delphi Funding L.L.C. ....                  33,324           26,365          101,845           79,951

Income tax expense ....................................                  10,509            8,160           31,802           24,580
                                                                     ----------       ----------       ----------       ----------

     Income from continuing operations before dividends
       on Capital Securities of Delphi Funding L.L.C. .                  22,815           18,205           70,043           55,371

Dividends on Capital Securities of Delphi Funding L.L.C.                  1,513            1,513            4,539            4,539
                                                                     ----------       ----------       ----------       ----------

     Income from continuing operations ................                  21,302           16,692           65,504           50,832

Loss on disposal of discontinued operations, net of
 income tax benefit ...................................                       -                -                -          (13,847)
                                                                     ----------       ----------       ----------       ----------

     Net income .......................................              $   21,302       $   16,692       $   65,504       $   36,985
                                                                     ==========       ==========       ==========       ==========

Basic results per share of common stock:
 Income from continuing operations excluding
     net realized investment losses ...................              $     1.11       $     0.98       $     3.33       $     2.89
 Income from continuing operations ....................                    1.05             0.80             3.22             2.42
 Net income ...........................................                    1.05             0.80             3.22             1.76

Diluted results per share of common stock:
 Income from continuing operations excluding
     net realized investment losses ...................               $     1.07       $     0.95       $     3.23       $     2.80
 Income from continuing operations ....................                     1.01             0.77             3.11             2.34
 Net income ...........................................                     1.01             0.77             3.11             1.70
</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>
                                                           September 30,     December 31,
                                                               2000             1999
                                                           ------------      ------------
<S>                                                        <C>               <C>
Assets:
  Investments:
    Fixed maturity securities, available for sale .....    $  2,133,812      $  1,715,289
    Cash and cash equivalents..........................          51,026           357,692
    Other investments..................................         445,856           442,829
                                                           ------------      ------------
                                                              2,630,694         2,515,810
  Cost of business acquired............................         160,443           144,172
  Reinsurance receivables..............................         417,533           386,229
  Other assets.........................................         294,499           278,386
  Assets held in separate account......................          68,254            71,091
                                                           ------------      ------------
    Total assets.......................................    $  3,571,423      $  3,395,688
                                                           ============      ============


Liabilities and Shareholders' Equity:
  Future policy benefits...............................    $    538,481      $    528,247
  Unpaid claims and claim expenses.....................         635,247           612,440
  Policyholder account balances........................         742,619           676,664
  Corporate debt.......................................         267,806           283,938
  Advances from Federal Home Loan Bank.................         149,398            75,495
  Other liabilities and policyholder funds.............         563,865           555,904
  Liabilities related to separate account..............          58,090            61,583
                                                           ------------      ------------
    Total liabilities..................................       2,955,506         2,794,271
                                                           ------------      ------------

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

  Shareholders' equity:
    Preferred Stock, $.01 par; 10,000,000 shares
      authorized ......................................               -                 -
    Class A Common Stock, $.01 par; 40,000,000 shares
      authorized; 16,392,166 and 16,285,161 shares
      issued and outstanding, respectively ............             164               163
    Class B Common Stock, $.01 par; 20,000,000 shares
      authorized; 5,164,072 and 5,180,072 shares
      issued and outstanding, respectively ............              52                52
    Additional paid-in capital.........................         365,902           364,390
    Net unrealized depreciation on investments.........        (143,763)         (101,465)
    Retained earnings..................................         342,857           277,353
    Treasury stock, at cost; 1,435,390 and 1,110,290
      shares of Class A Common Stock, respectively.....         (49,295)          (39,076)
                                                           ------------      ------------

      Total shareholders' equity.......................         515,917           501,417
                                                           ------------      ------------
        Total liabilities and shareholders' equity.....    $  3,571,423      $  3,395,688
                                                           ============      ============
</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, 1999 ...........   $     150     $      54     $ 329,023    $ (18,074)    $ 255,287      $     --     $ 566,440
                                                                                                                          ---------

Net income .........................          --            --            --           --        36,985            --        36,985
Increase in net unrealized
   depreciation on investments .....          --            --            --      (89,756)           --            --       (89,756)
                                                                                                                          ---------
Comprehensive loss .................                                                                                        (52,771)

Issuance of stock, exercise of stock
   options and share conversions ...           6            (4)        6,835           --            --            --         6,837
Stock dividend .....................           3             1        15,048           --       (15,055)           --            (3)
Acquisition of Treasury Stock ......          --            --            --           --            --       (29,166)      (29,166)
                                       ---------     ---------     ---------    ---------     ---------     ---------     ---------

Balance, September 30, 1999 ........   $     159     $      51     $ 350,906    $(107,830)    $ 277,217     $ (29,166)    $ 491,337
                                       =========     =========     =========    =========     =========     =========     =========



Balance, January 1, 2000 ...........   $     163     $      52     $ 364,390    $(101,465)    $ 277,353     $ (39,076)    $ 501,417

Net income .........................          --            --            --           --        65,504            --        65,504
Increase in net unrealized
   depreciation on investments .....          --            --            --      (42,298)           --            --       (42,298)
                                                                                                                          ---------
Comprehensive income ...............                                                                                         23,206

Issuance of stock, exercise of stock
   options and share conversions ...           1            --         1,512           --            --            --         1,513
Acquisition of Treasury Stock ......          --            --            --           --            --       (10,219)      (10,219)
                                       ---------     ---------     ---------    ---------     ---------     ---------     ---------

Balance, September 30, 2000 ........   $     164     $      52     $ 365,902    $(143,763)    $ 342,857     $ (49,295)    $ 515,917
                                       =========     =========     =========    =========     =========     =========     =========
</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>
                                                                   Nine Months Ended
                                                                      September 30,
                                                               ---------------------------
                                                                   2000            1999
                                                               -----------     -----------
<S>                                                            <C>             <C>
Operating activities:
  Net income ..............................................    $    65,504     $    36,985
  Adjustments to reconcile net income to net cash (used)
      provided by operating activities:
    Change in policy liabilities and policyholder accounts          61,299         111,413
    Net change in reinsurance receivables and payables ....        (86,572)         18,911
    Amortization, principally the cost of business
    acquired and investments ..............................           (195)         (2,875)
    Deferred costs of business acquired ...................        (38,531)        (32,771)
    Net realized losses on investments ....................          3,620          15,286
    Net change in trading account securities ..............        (11,014)         (7,637)
    Net change in federal income tax liability ............         43,638          19,846
    Discontinued operations ...............................             --          13,847
    Other .................................................        (44,841)        (35,167)
                                                               -----------     -----------
      Net cash (used) provided by operating activities ....         (7,092)        137,838
                                                               -----------     -----------

Investing activities:
  Purchases of investments and loans made .................       (933,496)     (1,564,324)
  Sales of investments and receipts from repayment of loans        399,590       1,380,238
  Maturities of investments ...............................         16,575          87,028
  Sale of real estate .....................................         16,656              --
  Business acquisitions, net of cash acquired .............         (2,610)         (8,993)
  Change in deposit in separate account ...................           (656)         (1,231)
                                                               -----------     -----------
      Net cash used by investing activities ...............       (503,941)       (107,282)
                                                               -----------     -----------

Financing activities:
  Deposits to policyholder accounts .......................        121,816          62,060
  Withdrawals from policyholder accounts ..................        (65,642)        (55,725)
  Proceeds from issuance of common stock and exercise of
    stock options .........................................          1,513           1,852
  Acquisition of Treasury Stock ...........................        (10,219)        (29,166)
  Borrowings under Credit Agreements ......................         19,000         105,000
  Principal payments under Credit Agreements ..............        (26,000)       (114,000)
  Principal payment under SIG Senior Notes ................         (9,000)         (9,000)
  Advances from Federal Home Loan Bank ....................         73,500              --
  Change in liability for securities loaned or sold under
    agreements to repurchase ..............................         99,399        (115,626)
                                                               -----------     -----------
      Net cash provided (used) by financing activities ....        204,367        (154,605)
                                                               -----------     -----------

Decrease in cash and cash equivalents .....................       (306,666)       (124,049)
Cash and cash equivalents at beginning of period ..........        357,692         298,843
                                                               -----------     -----------
    Cash and cash equivalents at end of period ............    $    51,026     $   174,794
                                                               ===========     ===========
</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 accompanying consolidated financial statements were prepared in conformity
with accounting principles generally accepted in the United States 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 accounting principles generally accepted in the United
States 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. Operating results for the nine months ended September 30, 2000 are not
necessarily indicative of the results that may be expected for the year ended
December 31, 2000. Certain reclassifications have been made in the 1999
financial statements to conform to the 2000 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,
1999. 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, 1999.

Recently Adopted Accounting Standards. In June 1998, the Financial Accounting
Standards Board issued Statement of Financial Accounting Standards No. 133,
"Accounting for Derivative Instruments and Hedging Activities," as amended
("SFAS 133"), which is required to be adopted in fiscal years beginning after
June 15, 2000. SFAS 133 will require all derivatives to be recognized on the
balance sheet at fair value. Derivatives that are not hedges must be adjusted to
fair value through earnings. If a derivative is a hedge, depending on the nature
of the hedge, changes in fair value of the derivative will either be offset
against the change in fair value of the hedged item or items through earnings or
recognized in other comprehensive income until the hedged item is recognized in
earnings. The portion of a derivative's change in fair value not effective as a
hedge will be immediately recognized in earnings. The Company does not expect
the adoption of SFAS 133 to have a material impact on earnings or financial
position of the Company.

NOTE B - INVESTMENTS

At September 30, 2000, the Company had fixed maturity securities available for
sale with a carrying value and a fair value of $2,133.8 million and an amortized
cost of $2,376.0 million. At December 31, 1999, the Company had fixed maturity
securities available for sale with a carrying value and a fair value of $1,715.3
million and an amortized cost of $1,890.0 million.

NOTE C - SEGMENT INFORMATION

<TABLE>
<CAPTION>
                                                        Three Months Ended           Nine Months Ended
                                                            September 30,               September 30,
                                                      -----------------------     -----------------------
                                                         2000          1999          2000          1999
                                                      ---------     ---------     ---------     ---------
<S>                                                   <C>           <C>           <C>           <C>
Revenues excluding net realized investment losses:
  Group employee benefit products ................    $ 140,238     $ 146,731     $ 409,528     $ 423,130
  Asset accumulation products ....................       21,192        20,788        63,076        61,211
  Other(1) .......................................        5,218         5,056        16,138        15,377
                                                      ---------     ---------     ---------     ---------
                                                      $ 166,648     $ 172,575     $ 488,742     $ 499,718
                                                      =========     =========     =========     =========
Operating income(2):
  Group employee benefit products ................    $  34,435     $  28,971     $ 101,868     $  87,835
  Asset accumulation products ....................        7,129         8,655        22,453        24,814
  Other(1) .......................................         (815)       (1,020)       (2,760)       (4,137)
                                                      ---------     ---------     ---------     ---------
                                                      $  40,749     $  36,606     $ 121,561     $ 108,512
                                                      =========     =========     =========     =========
</TABLE>


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

(2)  Income from continuing operations excluding net realized investment losses
     and before interest and income tax expense and dividends on Capital
     Securities of Delphi Funding L.L.C.


                                      -7-
<PAGE>   8
                  DELPHI FINANCIAL GROUP, INC. AND SUBSIDIARIES
            NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - (CONTINUED)
                                   (UNAUDITED)

NOTE D - COMPUTATION OF RESULTS PER SHARE

Prior period results per share and applicable share amounts have been restated
to reflect the 2% stock dividend distributed to stockholders on December 15,
1999. The following table sets forth the calculation of basic and diluted
results per share:

<TABLE>
<CAPTION>
                                                              Three Months Ended            Nine Months Ended
                                                                 September 30,                 September 30,
                                                           -------------------------     -------------------------
                                                              2000           1999           2000           1999
                                                           ----------     ----------     ----------     ----------
                                                                (dollars in thousands, except per share data)
<S>                                                        <C>            <C>            <C>            <C>
Numerator:
  Income from continuing operations excluding net
   realized investment losses .........................    $   22,646     $   20,455     $   67,857     $   60,768
  Realized investment losses, net of income tax benefit        (1,344)        (3,763)        (2,353)        (9,936)
                                                           ----------     ----------     ----------     ----------
     Income from continuing operations ................        21,302         16,692         65,504         50,832
  Loss on disposal of discontinued operations, net
   of income tax benefit ..............................            --             --             --        (13,847)
                                                           ----------     ----------     ----------     ----------
     Net income .......................................    $   21,302     $   16,692     $   65,504     $   36,985
                                                           ==========     ==========     ==========     ==========

Denominator:
  Weighted average common shares outstanding ..........        20,358         20,864         20,356         21,014
   Effect of dilutive securities ......................           796            705            683            721
                                                           ----------     ----------     ----------     ----------
  Weighted average common shares outstanding,
   assuming dilution ..................................        21,154         21,569         21,039         21,735
                                                           ==========     ==========     ==========     ==========

Basic results per share of common stock:
  Income from continuing operations excluding net
    realized investment losses ........................    $     1.11     $     0.98     $     3.33     $     2.89
  Realized investment losses, net of income tax benefit         (0.06)         (0.18)         (0.11)         (0.47)
                                                           ----------     ----------     ----------     ----------
      Income from continuing operations ...............          1.05           0.80           3.22           2.42
  Loss on disposal of discontinued operations, net
    of income tax benefit .............................            --             --             --          (0.66)
                                                           ----------     ----------     ----------     ----------
      Net income ......................................    $     1.05     $     0.80     $     3.22     $     1.76
                                                           ==========     ==========     ==========     ==========

Diluted results per share of common stock:
  Income from continuing operations excluding net
    realized investment losses ........................    $     1.07     $     0.95     $     3.23     $     2.80
  Realized investment losses, net of income tax benefit         (0.06)         (0.18)         (0.12)         (0.46)
                                                           ----------     ----------     ----------     ----------
      Income from continuing operations ...............          1.01           0.77           3.11           2.34
  Loss on disposal of discontinued operations, net
    of income tax benefit .............................            --             --             --          (0.64)
                                                           ----------     ----------     ----------     ----------
      Net income ......................................    $     1.01     $     0.77     $     3.11     $     1.70
                                                           ==========     ==========     ==========     ==========
</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, 1999. 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, 1999.

RESULTS OF OPERATIONS

Nine Months Ended September 30, 2000 Compared to
Nine Months Ended September 30, 1999

Premium and Fee Income. Premium and fee income for the first nine months of 2000
was $345.8 million as compared to $365.3 million in the 1999 period. This
decrease reflects the termination of the Company's participation in the
reinsurance pools in which it had historically participated and a lower level of
premium from loss portfolio transfers, which are episodic in nature. Excluding
reinsurance pools and loss portfolio transfers, group employee benefit premiums
increased $32.3 million, or 12%, as compared to the first nine months of 1999.
This increase reflects growth in most products, strong production of new
business and normal growth in employment and salary levels for the Company's
existing customer base. Deposits from the Company's asset accumulation products,
including the Company's MVA annuity product, increased 103% to $119.6 million
for the first nine months of 2000 from $58.9 million for the comparable period
of 1999. Deposits for these products, which are long-term in nature, are not
recorded as premiums; instead, the deposits are recorded as a liability. The
increase in annuity deposits in 2000 is principally the result of an increase in
the number of networks of independent agents distributing the Company's annuity
products and a more favorable environment for fixed annuity sales.

Net Investment Income. Net investment income was $142.9 million for the first
nine months of 2000 as compared to $134.4 million for the 1999 period, an
increase of 6%. This increase primarily reflects an increase in average invested
assets(1) from $2,404.7 million for the first nine months of 1999 to $2,551.8
million for the 2000 period. The weighted average annualized yield on invested
assets was 7.5% for both the 2000 and 1999 periods.

Benefits and Expenses. Policyholder benefits and expenses for the first nine
months of 2000 were $367.2 million as compared to $391.2 million for the 1999
period. This decrease primarily resulted from the termination of the Company's
participation in reinsurance pools and the lower level of premium from loss
portfolio transfers discussed above. The combined ratio (loss ratio plus expense
ratio) for the Company's group employee benefits segment was 92.7% in the first
nine months of 2000 and 95.1% for the comparable period of 1999. This decrease
was primarily attributable to changes in the Company's product mix. Benefits and
interest credited on asset accumulation products increased by $4.4 million in
the first nine months of 2000 principally due to an increase in average funds
under management from $621.7 million in the first nine months of 1999 to $659.9
million in the 2000 period. Also contributing to this increase was an increase
in the weighted average annualized crediting rate on asset accumulation products
from 5.3% in the first nine months of 1999 to 5.5% in the comparable period of
2000.

Interest Expense. Interest expense was $16.1 million in the first nine months of
2000 as compared to $13.3 million in the 1999 period. This increase was
primarily due to increases in the weighted average outstanding borrowings and
the weighted average borrowing rate under the Credit Agreement, partially offset
by a decrease in the average principal amount of the SIG Senior Notes due to
scheduled principal repayments.

Income Tax Expense. The Company's effective tax rate was 31.2% in the first nine
months of 2000 as compared to 30.7% in the 1999 period. The effective tax rate
in the 1999 period reflects a lower level of income taxed at the statutory tax
rate due to net realized investment losses.



(1) Average invested assets are computed by dividing the total of invested
    assets as reported on the balance sheet at the beginning of each period plus
    the individual quarter-end balances by the total number of periods and
    deducting one-half of net investment income.


                                      -9-
<PAGE>   10
Three Months Ended September 30, 2000 Compared to
Three Months Ended September 30, 1999

Premium and Fee Income. Premium and fee income was $121.0 million for the third
quarter of 2000 as compared to $126.3 million for the 1999 period. This decrease
reflects the termination of the Company's participation in the reinsurance pools
in which it had historically participated and a lower level of premium from loss
portfolio transfers, which are episodic in nature. Excluding reinsurance pools
and loss portfolio transfers, group employee benefit premiums increased $15.0
million, or 17%, as compared to the third quarter of 1999. This increase
reflects growth in most products, strong production of new business and normal
growth in employment and salary levels for the Company's existing customer base.
Deposits from the Company's asset accumulation products, including the Company's
MVA annuity product, increased 61% to $40.9 million for the third quarter of
2000 from $25.5 million for the comparable period of 1999. Deposits for these
products, which are long-term in nature, are not recorded as premiums; instead,
the deposits are recorded as a liability. The increase in annuity deposits in
the third quarter of 2000 is principally the result of an increase in the number
of networks of independent agents distributing the Company's annuity products
and a more favorable environment for fixed annuity sales.

Net Investment Income. Net investment income was $45.7 million for the third
quarter of 2000 as compared to $46.3 million for the third quarter of 1999. This
decrease primarily reflects a decrease in the weighted average annualized yield
on invested assets, partially offset by an increase in average invested assets
in 2000. The weighted average annualized yield on invested assets was 7.0% on
average invested assets(2) of $2,611.6 million for the third quarter of 2000 and
7.5% on average invested assets(2) of $2,480.9 million for the same period of
1999.

Benefits and Expenses. Policyholder benefits and expenses for the third quarter
of 2000 were $125.9 million as compared to $136.0 million for the 1999 period.
This decrease primarily resulted from the termination of the Company's
participation in reinsurance pools and the lower level of premium from loss
portfolio transfers discussed above. The combined ratio (loss ratio plus expense
ratio) for the Company's group employee benefits segment was 90.9% in the third
quarter of 2000 as compared to 96.6% for the same period of 1999. This decrease
was primarily attributable to changes in the Company's product mix. Benefits and
interest credited on asset accumulation products increased by $1.9 million in
the third quarter of 2000 principally due to an increase in average funds under
management from $625.7 million in the third quarter of 1999 to $682.9 million in
the 2000 period. Also contributing to this increase was an increase in the
weighted average annualized crediting rate on asset accumulation products from
5.4% in the third quarter of 1999 to 5.6% in the 2000 period.

Interest Expense. Interest expense was $5.4 million in the third quarter of 2000
as compared to $4.5 million in the third quarter of 1999. This increase was
primarily due to increases in the weighted average outstanding borrowings and
the weighted average borrowing rate under the Credit Agreement, partially offset
by a decrease in the average principal amount of the SIG Senior Notes due to
scheduled principal repayments.

Income Tax Expense. The Company's effective tax rate was 31.5% in the third
quarter of 2000 as compared to 31.0% in the third quarter of 1999. The effective
tax rate in the 1999 period reflects a lower level of income taxed at the
statutory tax rate due to net realized investment losses.

LIQUIDITY AND CAPITAL RESOURCES

The Company had approximately $291.9 million of financial resources available at
the holding company level at September 30, 2000, which was primarily comprised
of investments in the common stock of its investment subsidiaries and fixed
maturity securities. The assets of these investment subsidiaries are primarily
invested in fixed maturity securities, balances with independent investment
managers and marketable securities. Substantially all of the amounts invested
with independent investment managers are withdrawable at least annually, subject
to applicable notice requirements. A shelf registration is also in effect under
which up to $49.2 million in securities may be issued by the Company.

During the second quarter of 2000, the Company entered into a new revolving
credit facility with a group of lenders. The amount of this facility is
presently $80.0 million, and this amount may be increased up to a total of $100
million at the Company's option if additional loan commitments are obtained.
This facility, which expires in April 2003, is subject to certain restrictions
and financial covenants which are substantially identical to those contained in
the Company's existing revolving credit facility. They include, among others,
the maintenance of certain financial ratios, minimum statutory surplus
requirements for RSLIC and SNCC, minimum consolidated equity requirements for
the Company and certain investment



(2) Average invested assets are computed by dividing the total of invested
    assets as reported on the balance sheet at the beginning and end of each
    period by two and deducting one-half of net investment income.

                                      -10-
<PAGE>   11
and dividend and stock repurchase limitations. This new facility, in combination
with the Company's existing $150.0 million revolving credit facility
(collectively, the " Credit Agreements"), provided the Company with available
additional borrowing capacity of $80.0 million as of October 1, 2000.

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 totaling $49.5 million
during 2000, of which $24.5 million has been paid during the first nine months
of 2000. 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 outstanding borrowings
under the Credit Agreements, the Senior Notes, the SIG Senior Notes and the
Subordinated Notes and distributions on the Capital Securities. At the Company's
current level of borrowings, no principal repayments will be required under the
Credit Agreements until October 2002. 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. In addition, the Company utilizes reverse repurchase
agreements, Federal Home Loan Bank advances, futures and options contracts and
interest rate swap contracts from time to time in connection with its investment
strategy. These transactions require the Company to maintain securities or cash
on deposit with the applicable counterparty as collateral. As the market value
of the transaction or the collateral maintained changes, the Company may be
required to deposit additional collateral or be entitled to have a portion of
the collateral returned to it.

Operating activities increased cash and cash equivalents by $70.7 million in the
first nine months of 2000, excluding $58.1 million of funds from a rescinded
reinsurance transaction which were returned to the ceding company during the
first quarter and a net cash payment of $19.7 million related to the cession by
the Company of group employee benefit product reserves. Operating cash flow in
the first nine months of 1999 included cash inflows of $41.8 million related to
the rescinded reinsurance transaction and $10 million related to the recapture
of ceded group employee benefit product reserves. During the first nine months
of 2000, proceeds from securities sold under reverse repurchase agreements,
Federal Home Loan Bank advances and available cash were used to fund investment
purchases. 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, 1999.

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 and competitive
uncertainties and contingencies, many of which are beyond the Company's control
and many of which, with respect to future business decisions, are subject to
change. Examples of such uncertainties and contingencies include, among other
important factors, those affecting the insurance industry generally, such as the
economic and interest rate environment, legislative and regulatory developments
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, the emergence of Year 2000 problems not currently
apparent, acquisitions of companies or blocks of business, and ratings by major
rating organizations of the Company or 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.



                                      -11-
<PAGE>   12
                           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 D to the Consolidated Financial Statements
               included elsewhere herein)

        27  -  Financial Data Schedule

    (b) Reports on Form 8-K

        None

                                   SIGNATURES

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

                                       DELPHI FINANCIAL GROUP, INC.(Registrant)


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


                                      /s/   LAWRENCE E. DAURELLE
                                      ----------------------------------------
                                      Lawrence E. Daurelle
                                      Vice President and Treasurer
                                      (Principal Accounting and Financial
                                      Officer)

Date: November 13, 2000






                                      -12-