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

                                    FORM 10-Q
(Mark One)
[X]   QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES 
      EXCHANGE ACT OF 1934

For the Quarterly Period Ended March 31, 1997

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

For the transition period from _________ to __________


Commission File Number 001-11462


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


<TABLE>
<CAPTION>
<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>

      1105 North Market Street, Suite 1230, Wilmington, Delaware 19899
               (Address of principal executive offices)        (Zip Code)

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 May 1, 1997, the Registrant had 18,163,173 shares of Common
Stock outstanding.
<PAGE>   2
                          DELPHI FINANCIAL GROUP, INC.

                                    FORM 10-Q

                                      INDEX


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

               Consolidated Statements of Income for the Three
                 Months Ended March 31, 1997 and 1996                               3

               Consolidated Balance Sheets at March 31, 1997 and
                 December 31, 1996                                                  4

               Consolidated Statements of Cash Flows for the
                 Three Months Ended March 31, 1997 and 1996                         5

               Notes to Consolidated Financial Statements                           6

               Management's Discussion and Analysis of Financial
                 Condition and Results of Operations                                8



PART II.       OTHER INFORMATION                                                   11
</TABLE>

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

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

<TABLE>
<CAPTION>
                                                                                            Three Months Ended
                                                                                                 March 31,
                                                                                            1997           1996
                                                                                        ----------      ----------
<S>                                                                                     <C>             <C>       
Revenue:
   Insurance premiums and policyholder fees.........................................    $   87,937      $   72,514
   Net investment income............................................................        46,898          30,553
   Net realized investment gains (losses)...........................................         4,236          (1,199)
                                                                                        ----------      ----------
                                                                                           139,071         101,868
                                                                                        ----------      ----------
Benefits and expenses:
   Benefits, claims and interest credited to policyholders..........................        74,382          62,573
   Commissions......................................................................         6,850           5,567
   Amortization of cost of business acquired........................................         7,797           4,831
   Premium and other taxes, licenses and fees.......................................         3,305           2,719
   Other operating expenses.........................................................        11,692           6,961
                                                                                        ----------      ----------
                                                                                           104,026          82,651
                                                                                        ----------      ----------

      Income from continuing operations before interest and income tax expense
         and dividends on Capital Securities of Delphi Funding L.L.C................        35,045          19,217

Interest expense....................................................................         4,298           3,453
                                                                                        ----------      ----------

      Income from continuing operations before income tax expense and
         dividends on Capital Securities of Delphi Funding L.L.C....................        30,747          15,764

Income tax expense..................................................................        10,331           5,518
                                                                                        ----------      ----------

      Income from continuing operations before dividends on
         Capital Securities of Delphi Funding L.L.C.................................        20,416          10,246

Dividends on Capital Securities of Delphi Funding L.L.C.............................           118               -
                                                                                        ----------      ----------

      Income from continuing operations ............................................        20,298          10,246

Discontinued operations, net of income tax benefit..................................              -           (371)
                                                                                        -----------     ----------

      Net income....................................................................    $    20,298     $    9,875
                                                                                        ===========     ==========

Results per share of common stock:
   Income from continuing operations................................................    $     1.03      $     0.64
   Loss from discontinued operations, net of income tax benefit.....................             -           (0.03)
                                                                                        ----------      ----------
      Net income....................................................................    $     1.03      $     0.61
                                                                                        ==========      ==========

   Weighted average shares outstanding (in thousands)...............................        19,615          16,085
</TABLE>

                 See notes to consolidated financial statements.

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


<TABLE>
<CAPTION>
                                                                                      March 31,       December 31,
                                                                                         1997             1996
                                                                                    ------------     -------------
<S>                                                                                 <C>              <C>          
Assets:
   Investments:
      Fixed maturity securities, available for sale ............................    $  1,842,915     $   1,891,512
      Cash and cash equivalents.................................................          88,681            89,711
      Other investments.........................................................         350,039           313,784
                                                                                    ------------     -------------
                                                                                       2,281,635         2,295,007
   Cost of business acquired....................................................          95,218            94,594
   Reinsurance receivables......................................................         221,461           214,529
   Other assets.................................................................         212,701           174,157
   Assets held in separate account..............................................          66,867            79,619
                                                                                    ------------     -------------
      Total assets..............................................................    $  2,877,882     $   2,857,906
                                                                                    ============     =============


Liabilities and Shareholders' Equity:
   Future policy benefits.......................................................    $    416,923     $     416,854
   Unpaid claims and claim expenses.............................................         523,844           509,720
   Policyholder account balances................................................         726,227           719,229
   Corporate debt...............................................................         178,947           231,004
   Advances from Federal Home Loan Bank.........................................         201,057           201,055
   Other liabilities and policyholder funds.....................................         314,400           341,181
   Liabilities related to separate account......................................          58,943            71,898
                                                                                    ------------     -------------
      Total liabilities.........................................................       2,420,341          2,490,941
                                                                                    ------------     --------------

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

   Shareholders' equity:
      Preferred Stock, $.01 par; 10,000,000 shares authorized...................               -                 -
      Class A Common Stock, $.01 par; 40,000,000 shares authorized;
         11,884,020 and 11,813,064 shares issued and outstanding, 
            respectively.......................................................              119               118
      Class B Common Stock, $.01 par; 20,000,000 shares authorized;
         6,258,944 shares issued and outstanding................................              63                63
      Additional paid-in capital................................................         240,456           240,203
      Net unrealized depreciation on investments................................         (47,925)          (17,949)
      Retained earnings.........................................................         164,828           144,530
                                                                                    ------------     -------------
         Total shareholders' equity.............................................         357,541           366,965
                                                                                    ------------     -------------
             Total liabilities and shareholders' equity.........................    $  2,877,882     $   2,857,906
                                                                                    ============     =============
</TABLE>

                 See notes to consolidated financial statements.

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

<TABLE>
<CAPTION>
                                                                                            Three Months Ended
                                                                                                 March 31,
                                                                                            1997           1996
                                                                                        ----------      ----------
<S>                                                                                     <C>             <C>       
Operating activities:
   Net income.......................................................................    $   20,298      $    9,875
   Adjustments to reconcile net income to net cash provided by operating activities:
      Change in future policy benefits, unpaid claims and claim expenses,
        reinsurance receivables and policyholder accounts...........................        12,080          15,229
      Amortization, principally the cost of business acquired and investments.......         7,234           4,236
      Deferred costs of business acquired...........................................        (8,611)         (6,556)
      Net realized (gains) losses on investments....................................        (4,236)          1,199
      Net change in trading account activities......................................       (11,954)         (2,225)
      Other.........................................................................         5,216            (888)
                                                                                        ----------      ----------
        Net cash provided by operating activities...................................        20,027          20,870
                                                                                        ----------      ----------

Investing activities:
   Securities available for sale:
      Purchases of investments and loans made.......................................      (273,692)       (354,996)
      Sales of investments and receipts from repayment of loans.....................       243,982         414,803
      Maturities of investments.....................................................         7,903               -
   Cash acquired in the SIG Merger, net of consideration paid.......................             -          37,313
   Change in deposit in separate account............................................          (202)           (407)
                                                                                        ----------      ----------
      Net cash (used) provided by investing activities..............................       (22,009)         96,713
                                                                                        ----------      ----------

Financing activities:
   Deposits to policyholder accounts................................................        17,450          17,259
   Withdrawals from policyholder accounts...........................................       (17,158)        (13,747)
   Proceeds from issuance of common stock and exercise of stock options ............           254             238
   Proceeds from issuance of Capital Securities.....................................        98,750               -
   Borrowings under Credit Agreement................................................             -          64,000
   Principal payments under Credit Agreement........................................       (52,000)         (4,000)
   Change in liability under reverse repurchase agreements..........................       (46,344)       (118,251)
                                                                                        -----------     ----------
      Net cash provided (used) by financing activities..............................           952         (54,501)
                                                                                        ----------      ----------

(Decrease) increase in cash and cash equivalents....................................        (1,030)         63,082
Cash and cash equivalents at beginning of period....................................        89,711          16,685
                                                                                        ----------      ----------
      Cash and cash equivalents at end of period....................................    $   88,681      $   79,767
                                                                                        ==========      ==========
</TABLE>

                 See notes to consolidated financial statements.

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



NOTE A - SIGNIFICANT ACCOUNTING POLICIES

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

NOTE B - CAPITAL SECURITIES

On March 25, 1997, Delphi Funding L.L.C. ("Delphi Funding"), a subsidiary of the
Company, issued $100.0 million liquidation amount of 9.31% Series A Capital
Securities (the "Capital Securities") in a public offering. In connection with
the issuance of the Capital Securities and the related purchase by the Company
of all of the common limited liability company interests in Delphi Funding (the
"Common Securities" and, collectively with the Capital Securities, the "L.L.C.
Securities"), the Company issued to Delphi Funding $103.1 million principal
amount of 9.31% junior subordinated deferrable interest debentures, Series A,
due 2027 (the "Junior Debentures"). Interest on the Junior Debentures is payable
semiannually on March 25 and September 25 of each year, but may be deferred at
any time or from time to time for a period not exceeding 5 years with respect to
each deferral period. The distribution and other payment dates on the L.L.C.
Securities correspond to the interest and other payment dates on the Junior
Debentures. The Junior Debentures are not redeemable prior to March 25, 2007,
but the Company has the right to dissolve Delphi Funding at any time and
distribute the Junior Debentures to the holders of the L.L.C. Securities in
exchange for the Capital Securities upon the liquidation of Delphi Funding. The
Company has fully and unconditionally guaranteed all payments due on the Capital
Securities. The Junior Debentures and the Common Securities purchased by the
Company are eliminated in the Consolidated Balance Sheet. Dividends on the
Capital Securities are presented net of a tax benefit in the Consolidated
Statement of Income.

NOTE C - MERGER

The SIG Merger was consummated on March 5, 1996 and was accounted for using the
purchase accounting method with the results of SIG included in the Company's
results from the date of the SIG Merger. The pro forma operating results for the
three months ended March 31, 1996, which treat the SIG Merger as if it had
occurred at the beginning of 1996, are as follows: total revenue of $119.7
million, which includes realized investment losses of $1.2 million, or $0.04 per
share after taxes, income from continuing operations of $13.2 million and
earnings per share from continuing operations of $0.67. Pro forma net income,
after losses from discontinued operations of $0.4 million, or $0.02 per share,
would be $12.8 million, or $0.65 per share, for the three months ended March 31,
1996. In preparing the pro forma data, adjustments have been made to reflect the
purchase accounting adjustments and interest expense on the additional
borrowings under the Credit Agreement that would have occurred. The pro forma
weighted average numbers of shares outstanding of 19.8 million used in
calculating the pro forma per share data assume that all of the outstanding SIG
Options were exercised at the beginning of the period. The pro forma information
does not purport to be indicative of the operating results that actually would
have been achieved had the SIG Merger been consummated as of the date indicated
and should not be construed as representative of future operating results.

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



NOTE D - INVESTMENTS

At March 31, 1997, the Company had fixed maturity securities available for sale
with a carrying value and a fair value of $1,842.9 million and an amortized cost
of $1,919.8 million. At December 31, 1996, the Company had fixed maturity
securities available for sale with a carrying value and a fair value of $1,891.5
million and an amortized cost of $1,936.2 million.

NOTE E - RESULTS PER SHARE OF COMMON STOCK

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

On August 30, 1996, the Company's Board of Directors declared a 20% stock
dividend payable to stockholders of record on September 16, 1996. The additional
shares were distributed on September 30, 1996. The 1996 results per share and
applicable share amounts have been restated to reflect the stock dividend.


NOTE F - RECENTLY ISSUED ACCOUNTING STANDARDS

In February 1997, the Financial Accounting Standards Board issued Statement No.
128, "Earnings per Share," which is required to be adopted on December 31, 1997.
At that time, the Company will be required to change the method currently used
to compute per share results and to restate all prior periods. Under the new
requirements for calculating results per share of common stock, the dilutive
effect of stock options will be excluded. The impact is expected to result in an
increase in net income per share of common stock of $0.08 and $0.04 for the
three months ended March 31, 1997 and 1996, respectively. The impact of
Statement No. 128 on the calculation of results per share of common stock,
assuming full dilution, is not expected to be material.

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


GENERAL

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

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


RESULTS OF OPERATIONS

Insurance Premiums and Policyholder Fees. Insurance premiums and policyholder
fees for the three months ended March 31, 1997 were $87.9 million as compared to
$72.5 million for the three months ended March 31, 1996, an increase of 21%.
Premiums from the Company's excess workers' compensation business, which was
acquired in March 1996 and included in the Company's results from the date of
the acquisition, totaled $16.3 million in the first quarter of 1997 as compared
to $5.2 million for the corresponding period of 1996. Premiums earned from the
Company's excess workers' compensation insurance business have decreased from
historical levels primarily due to state mandated reductions in premium rates
and increased competition. The Company does not expect this reduction in
premiums to have a material impact on the underwriting results for this product
as decreased benefit levels, also mandated by the states, are expected to
offset the decline in premiums. Growth in premiums from the Company's other
group employee benefit products, including the impact of certain price
increases, growth and development of the Company's distribution system and
normal growth in employment and salary levels for the Company's existing
customer base, also contributed to the increase in premiums for the quarter.
Deposits from the Company's single premium deferred annuity products, including
the Company's market value adjusted annuity product, were $16.7 million for
both the three months ended March 31, 1997 and 1996. Deposits for these
products, which are long-term in nature, are not recorded as premiums; instead,
the deposits are recorded as a liability.

Net Investment Income. Net investment income for the three months ended March
31, 1997 was $46.9 million as compared to $30.6 million for the three months
ended March 31, 1996, an increase of 53%. The increase is primarily due to an
increase in average invested assets as a result of the SIG Merger and strong
performance from all sectors of the Company's investment portfolio, including
the Company's independent investment managers. The weighted average annualized
yield on invested assets, excluding realized and unrealized investment gains and
losses, was 9.1% on average invested assets of $2,057.3 million and 7.8% on
average invested assets of $1,580.0 million for the three months ended March 31,
1997 and 1996, respectively.

                                       -8-
<PAGE>   9
Net Realized Investment Gains (Losses). Net realized investment gains were $4.2
million for the three months ended March 31, 1997 as compared to net realized
investment losses of $1.2 million for the three months ended March 31, 1996. The
Company's investment strategy results in periodic sales of securities and the
recognition of realized investment gains and losses.

Benefits and Expenses. Policyholder benefits and expenses for the three months
ended March 31, 1997 were $104.0 million as compared to $82.7 million for the
three months ended March 31, 1996, an increase of 26%. During the first quarter
of 1997, benefits and expenses for group employee benefit products increased by
$15.2 million as compared to the same period of 1996. This increase was
attributable to the Company's excess workers' compensation business which was
acquired in March 1996 and premium growth in the Company's other group product
lines. The combined ratio (loss ratio plus expense ratio) for group employee
benefit products was 98.1% for the three months ended March 31, 1997 as compared
to 97.3% for the three months ended March 31, 1996. A decrease in the loss ratio
from 72.3% for the first quarter of 1996 to 70.5% for the comparable period of
1997 reflects the inclusion of the Company's excess workers' compensation
business for the entire first quarter of 1997, as well as the impact of selected
price increases and a lower incidence of claims for the Company's disability
products. The expense ratio increased from 25.0% for the three months ended
March 31, 1996 to 27.6% for the three months ended March 31, 1997 primarily due
to the inclusion of excess workers' compensation insurance results for the
entire first quarter of 1997. Amortization of cost of business acquired related
to asset accumulation products was accelerated by $1.5 million during the first
quarter of 1997 due to better than expected investment results. The weighted
average annualized crediting rate on asset accumulation products for the three
months ended March 31, 1997 and 1996 was 5.3% in both periods.

Operating Income. Income from continuing operations before interest and income
tax expense and dividends for the three months ended March 31, 1997 was $35.0
million as compared to $19.2 million for the three months ended March 31, 1996,
an increase of 82%. The increase was primarily due to the inclusion of excess
workers' compensation insurance results for the entire quarter of 1997, an
increase in the weighted average yield on invested assets and realized
investment gains in 1997 as compared to realized investment losses in 1996.

Interest Expense. Interest expense for the three months ended March 31, 1997 was
$4.3 million as compared to $3.5 million for the three months ended March 31,
1996. This increase is primarily due to increased interest expense on borrowings
under the Credit Agreement due to an increase in the weighted average
outstanding borrowings related to the SIG Merger, partially offset by a decrease
in the weighted average borrowing rate. Also contributing to the increase was
the inclusion of a full quarter of interest expense on the SIG Senior Notes.

Income Taxes. Income tax expense for the three months ended March 31, 1997 was
$10.3 million as compared to $5.5 million for the three months ended March 31,
1996. The increase was primarily due to the $15.8 million increase in operating
income, partially offset by a decrease in the effective tax rate from 35.0% for
the three months ended March 31, 1996 to 33.6% for the three months ended March
31, 1997 due to an increase in tax-exempt income earned in 1997.

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

Discontinued Operations. The Company discontinued its long-term care business as
of June 30, 1996 and provided for losses on its operations during the phase-out
period. The actual operating results for this business subsequent to its
discontinuance have not materially differed from the loss provided for.
Operating losses on this business totaled $0.4 million, net of a tax benefit of
$0.2 million, for the three months ended March 31, 1996.


LIQUIDITY AND CAPITAL RESOURCES

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

                                       -9-
<PAGE>   10
The Company had approximately $176.3 million of financial resources available
at the holding company level at March 31, 1997 as compared to $117.2 million at
December 31, 1996. The increase in available financial resources was primarily
due to funds received from the Capital Securities offering. The financial
resources available at the holding company level are primarily comprised of
investments in fixed maturity securities and the common stock of its
non-insurance subsidiaries. The assets of these non-insurance subsidiaries are
primarily invested in balances with independent investment managers and
marketable securities. Substantially all of the amounts invested with
independent investment managers are withdrawable at least annually, subject to
applicable notice requirements. A shelf registration is also in effect under
which up to $49.2 million in securities may be issued by the Company.

Other sources of liquidity at the holding company level include interest and
principal payments made on the Surplus Debenture issued by RSLIC-Texas to the
Company, dividends paid from insurance subsidiaries, primarily generated from
operating cash flows and investments, and borrowings available under the Credit
Agreement. The Company's insurance subsidiaries will be permitted to make
dividend payments of $31.7 million during the remainder of 1997 without prior
regulatory or other approval, and additional dividends may be paid with the
requisite approvals. Of the unused portion of the Credit Agreement facility of
$152.0 million, $98.0 million is restricted for use in connection with, among
other things, acquisitions or the redemption of the SIG Senior Notes.

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

Operating activities increased cash and cash equivalents by $20.0 million for
the three months ended March 31, 1997. Net investing activities used $22.0
million of cash during the first quarter of 1997, primarily due to purchases of
securities. Financing activities provided $1.0 million of cash for the three
months ended March 31, 1997. The proceeds from the issuance of the Capital
Securities was offset by the repayment of borrowings under the Credit Agreement
and reverse repurchase agreement liabilities. Sources of liquidity available to
the Company and its subsidiaries are expected to exceed their cash requirements
on both a short-term and long-term basis.

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

                                      -10-
<PAGE>   11
                           PART II. OTHER INFORMATION


Item 6.  Exhibits and Reports on Form 8-K

      (a)  Exhibits

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

      (b)  Reports on Form 8-K

           The Company filed a report on Form 8-K on March 24, 1997 announcing
           the offering of $100 million of 9.31% Series A Capital Securities.



                                   SIGNATURES

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


                    DELPHI FINANCIAL GROUP, INC. (Registrant)




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




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




Date: May 2, 1997

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