<PAGE>   1
                       SECURITIES AND EXCHANGE COMMISSION
                              WASHINGTON, DC 20549

                                    FORM 10-K
                                  ANNUAL REPORT

     Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

     For the Fiscal Year Ended December 31, 1995 Commission File No. 0-14950

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

             Delaware                                95-4057601
  (State or other jurisdiction of       (IRS employer identification number)
  incorporation of organization)

1800 Avenue of the Stars, Suite 1175, Los Angeles, California      90067-6045
          (Address of principal executive offices)                 (Zip Code)

                                  310.553.0561
              (Registrant's telephone number, including area code)

           Securities registered pursuant to Section 12(g) of the Act:
                          Common Stock, $0.10 Par Value
                                (Title of Class)

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 such filing
requirements for the past 90 days.

                             Yes  /X/  No  / /

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of the registrant's knowledge, in definitive proxy or information statement
incorporated by reference in Part III of this Form 10-K or any amendment of this
Form 10-K.  /X/

As of February 27, 1996, registrant had 24,104,891 shares of Common Stock
outstanding, and the aggregate market value of the voting stock held by
nonaffiliates (based on the closing price on February 27, 1996 of such stock on
the National Association of Securities Dealers, Inc. Automated Quotation System)
was approximately $801 million.

                      DOCUMENTS INCORPORATED BY REFERENCE:
     Part II: Excerpts from Annual Report to Shareholders for the Year Ended
                                December 31, 1995

     Part III: Excerpts from Proxy Statement for the 1996 Annual Meeting of
                                  Shareholders
<PAGE>   2
                              Argonaut Group, Inc.
                           Annual Report on Form 10-K
                      For the Year Ended December 31, 1995


                                TABLE OF CONTENTS


<TABLE>
<CAPTION>
                                                                            Page
<S>       <C>                                                               <C>
                                     PART I

Item  1.  Business                                                             2
Item  2.  Properties                                                           9
Item  3.  Legal Proceedings                                                   10
Item  4.  Submission of Matters to a Vote of Security Holders                 10

                                     PART II

Item  5.  Market for Registrant's Common Equity and Related
               Stockholder Matters                                            10
Item  6.  Selected Financial Data                                             11
Item  7.  Management's Discussion and Analysis of
               Financial Condition and Results of Operations                  11
Item  8.  Financial Statements and Supplementary Data                         11
Item  9.  Changes in and Disagreements with Accountants on
               Accounting and Financial Disclosure                            11

                                    PART III

Item 10.  Directors and Executive Officers of the Registrant                  11
Item 11.  Executive Compensation                                              11
Item 12.  Security Ownership of Certain Beneficial Owners
               and Management                                                 12
Item 13.  Certain Relationships and Related Transactions                      12

                                     PART IV

Item 14.  Exhibits, Financial Statement Schedules and Reports on Form 8-K     12
</TABLE>



                                     Page 1
<PAGE>   3
                                     PART I


ITEM 1.   BUSINESS

INTRODUCTION

Argonaut Group, Inc. ("Argonaut Group") is a holding company whose subsidiaries
are primarily engaged in the selling, underwriting, and servicing of workers
compensation and other lines of property-casualty insurance. Workers
compensation accounted for 85% of premiums in 1995. See "Item 6. Selected
Financial Data" for certain financial information regarding industry segments in
which the Company operates. Argonaut Group was incorporated in Delaware and was
a wholly-owned subsidiary of Teledyne, Inc. ("Teledyne") until 1986, when
Teledyne distributed to its shareholders all of the outstanding shares of common
stock of Argonaut Group. Argonaut Group's executive offices are located at 1800
Avenue of the Stars, Suite 1175, Los Angeles, California 90067, telephone
310.553.0561. The term "the Company" refers to Argonaut Group and all its
subsidiaries.

Argonaut Insurance Company ("Argonaut Insurance"), Argonaut Group's larger
insurance subsidiary, was established in California in 1948. Workers
compensation is the primary line of insurance written by Argonaut Insurance and
its subsidiaries: Argonaut-Midwest Insurance Company, Argonaut-Northwest
Insurance Company, Argonaut-Southwest Insurance Company, and Georgia Insurance
Company. Argonaut Insurance and these subsidiaries also write complementary
lines of commercial insurance for their clients, primarily consisting of general
and automobile liability.

Argonaut Great Central Insurance Company ("Great Central") is Argonaut Group's
other principal insurance subsidiary. Established in Illinois in 1948, Great
Central specializes in providing package insurance policies including property,
general liability, workers compensation, and umbrella coverage for certain
classes of insureds. Argonaut Insurance is Great Central's immediate parent.

AGI Properties, Inc. ("AGI Properties"), a non-insurance company, owns and
leases certain real properties. AGI Properties was incorporated in California in
1970. Argonaut Insurance is AGI Properties' immediate parent.

PRODUCTS

The Company has two primary product lines: workers compensation insurance and
other property-casualty insurance. Incorporated herein by reference is the
information appearing as "Note 10 - Business Segments" in the Notes to the
Consolidated Financial Statements of the Annual Report. See Exhibit Index.



                                     Page 2

<PAGE>   4
WORKERS COMPENSATION

Workers compensation insurance is a statutory system which provides for
compensation of a policyholder's employees and their dependents for injuries
(other than self-inflicted wounds) arising out of or suffered in the course of
the employee's employment, even though the injuries may have resulted from the
negligence or wrongful conduct of the employee himself or any other person.
Workers compensation insurance is sold primarily by Argonaut Insurance. Premiums
for this line of business were $176.7 million, $240.2 million, and $280.0
million, in 1995, 1994, and 1993, respectively.

OTHER PROPERTY-CASUALTY INSURANCE

This product includes general and automobile liability, commercial
multiple-peril, and various other insurance coverages. Premiums for these
product lines were $31.4 million, $39.5 million, and $35.4 million, in 1995,
1994, and 1993, respectively.

Argonaut Insurance offers general and automobile liability and other insurance
to commercial clients in conjunction with workers compensation insurance.
Liability insurance compensates third parties for damages resulting from the
actions of the insured.

Commercial multiple-peril insurance, one of Great Central's primary products, is
a composite product designed for the small-to-medium sized business which needs
basic insurance coverage and simple insurance administration. Commercial
multiple-peril policies generally cover property, plant, inventory, general
liability, and associated coverages.

CEDED REINSURANCE

The Company's policy regarding reinsurance is based upon the capitalization of
the subsidiaries. The goal is to limit the exposure to surplus from losses
resulting from catastrophes and large or unusually hazardous risks.

As is the case with direct premiums written, cessions on reinsurance contracts
is recognized ratably over the period to which the premium relates.

Argonaut Insurance's limit of retention on its primary reinsurance treaty is $2
million. Great Central's limit of retention is $500,000 on the property treaty
and $300,000 on the casualty treaty

Incorporated herein by reference is the information appearing as "Note 3 -
Reinsurance" in the Notes to the Consolidated Financial Statements of the Annual
Report. See Exhibit Index.



                                     Page 3
<PAGE>   5
COMPETITION

The property-casualty insurance industry is characterized by a large number of
competing companies and modest market shares by industry participants. According
to A.M. Best, a leading insurance industry rating and analysis firm, there are
about 2,300 property-casualty insurance companies operating in the United
States, with the 200 largest companies writing about 80% of the industry's
premiums.

The Company's principal competitors cannot be easily classified. The Company's
principal lines of business are written by numerous insurance companies.
Competition for any one account may come from a very large national firm or a
smaller regional company selling either directly or through agents and brokers.
For the Company's principal line of business, workers compensation, additional
competition comes from state workers compensation funds.

REGULATION

In January, 1996 the California Department of Insurance notified Argonaut
Insurance Company of it's obligation under the rollback provisions of
Proposition 103 and a hearing on the Company's obligation was commenced before
an administrative law judge. Argonaut Insurance Company contend that it is in
compliance with the rate rollback provisions of Proposition 103 and intends to
vigorously pursue its position in this matter. This is discussed in the Notes to
the Consolidated Financial Statements of the Annual Report incorporated herein
by reference as "Note 11 - Commitments and Contingencies". See Exhibit Index.

Beginning in 1994, the Company's insurance subsidiaries are subject to the
Risk-Based Capital (RBC) for Insurers Model Act. The RBC calculation takes into
account: (1) asset risk, (2) credit risk, (3) underwriting risk, and (4) all
other relevant risks. The RBC for Insurers Model Act provides for four levels of
regulatory authority: (1) Company Action Level Event, (2) Regulatory Action
Level Event, (3) Authorized Control Level Event, and (4) Mandatory Control Level
Event. These four levels of authority provide for increasing regulatory remedies
for companies that fail to comply with the RBC for Insurers Model Act.

As of December 31, 1995, preliminary calculations show that the Company's
insurance subsidiaries RBC coverage far exceeds the minimum required.

The Company's insurance subsidiaries are members of the statutorily created
insolvency guarantee associations in all states where they are authorized to
transact business. These associations were formed for the purpose of paying
claims of insolvent companies. The Company is assessed its pro rata share of
such claims based upon its premium writings, subject to a maximum annual
assessment per line of insurance. Such costs can generally be recovered through
surcharges on future premiums. The Company does not believe that assessments on
current insolvencies will have a material effect on its financial condition or
results of operations.



                                     Page 4
<PAGE>   6
The Company has no policyholder dividend restrictions.

Under the provisions of the California Insurance Code, there is a maximum amount
of shareholder dividends which can be paid without prior approval of the
Insurance Commissioner. Under these provisions, as of December 31, 1995,
Argonaut Insurance could pay to Argonaut Group a maximum dividend of $45.4
million without the Insurance Commissioner's approval.

MARKETING

Argonaut Insurance and Great Central Insurance operate in substantially
different markets.

Incorporated herein by reference is the information appearing as "Note 1 -
Business and Significant Accounting Policies" in the Notes to the Consolidated
Financial Statements of the Annual Report. See Exhibit Index.

Argonaut Insurance's primary line of business, workers compensation
insurance, accounts for 93% of its premiums (85% of total consolidated
premiums). These policies are primarily written on a retrospective rating basis
or with large deductible provisions. Argonaut Insurance's risk regarding
inadequate price levels is mitigated to a certain extent as the insured will
have to pay additional premiums (or will be refunded premiums) based upon their
actual loss experience.

Great Central is authorized to operate in 33 states and considers itself to be a
specialty company with a defined target market. Great Central's dominant
products are commercial multiple-peril and workers compensation. Great Central's
policies are marketed through agents.

Neither Argonaut Insurance nor Great Central market any of their policies
through managing general agents.

RUN OFF LINES

Incorporated herein by reference is the information appearing as "Note 12 - Run
Off Lines" in the Notes to the Consolidated Financial Statements of the Annual
Report. See Exhibit Index.

Loss ratios for the run off line of business are not meaningful as there are no
premiums associated with this line of business.

INVESTMENTS

The Company's investment portfolio continues to emphasize high quality fixed
income investments. As a percentage of the total investment portfolio, U.S.
Treasury securities continue to comprise the majority of the Company's holdings.
Obligations of states and political subdivisions have decreased from 1994 as a
result of maturities and sales.


                                     Page 5
<PAGE>   7
The proceeds from these maturities and sales were re-invested in high quality
preferred and common stocks. Corporate securities continue to decrease as a
result of maturities.

The Company's investment policy is to invest only in investment-grade
securities. It does not invest in high-yield or so called "junk bonds",
derivatives, speculative real estate, or mortgage obligations.

Incorporated herein by reference is the information appearing as "Note 2 -
Investments" and "Note 7 - Net Investment Income" in the Notes to the
Consolidated Financial Statements of the Annual Report. See Exhibit Index.

Reserves for Losses and Loss Adjustment Expenses

Incorporated herein by reference is the information appearing as "Note 4 -
Reserves for Losses and Loss Adjustment Expenses" in the Notes to the
Consolidated Financial Statements of the Annual Report. See Exhibit Index.

Reserves for environmental claims were $46.2 million and $49.1 million at
December 31, 1995 and 1994, respectively.

The following tables indicate the manner in which reserves for losses and loss
adjustment expenses at the end of a particular year change as time passes. The
first table (Table I) presented is net of the effects of reinsurance. The second
table (Table II) presented includes only amounts related to direct insurance.
Reserves for losses and loss adjustment expenses and cumulative paid amounts on
direct insurance are not available prior to 1989; therefore, the second table
reflects only the past 6 years of development.

The first line shows the reserves as originally reported at the end of the
stated year. The second section shows the cumulative amounts paid as of the end
of successive years related to those reserves. The third section shows the
original recorded reserves as of the end of successive years adjusted to reflect
facts and circumstances later discovered. The last line, cumulative deficiency
or redundancy, compares the adjusted reserves to the reserves as originally
established and shows that the reserves as originally recorded were either
inadequate or excessive to cover the estimated cost of claims as of December 31,
1995.

Conditions and trends that have affected the development of these reserves in
the past will not necessarily recur in the future. It would not be appropriate
to use this cumulative history in the projection of future performance.




                                     Page 6
<PAGE>   8
                                    TABLE I
                                                        


 ANALYSIS OF LOSSES AND LOSS ADJUSTMENT EXPENSES (LAE) DEVELOPMENT (IN MILLIONS)
                              (NET OF REINSURANCE)
<TABLE>
<CAPTION>
                         ------------------------------------------------------------------------------------------------------  
                           1986      1987      1988      1989       1990        1991        1992       1993      1994     1995
                           ----      ----      ----      ----       ----        ----        ----       ----      ----     ----
<S>                      <C>       <C>       <C>       <C>        <C>         <C>         <C>        <C>       <C>       <C>   
RESERVES FOR LOSSES
  AND LAE (a)            $1,311.9  $1,303.6  $1,309.6  $1,337.0   $1,348.5    $1,287.8    $1,201.9   $1,107.6  $1,011.4  $892.9
CUMULATIVE AMOUNT                                                                                                        
  PAID AS OF: (b)                                                                                                        
One year later              240.3     227.0     220.7     260.0      313.1       307.3       276.9      259.9     239.7  
Two years later             413.1     382.3     384.4     464.9      537.5       525.8       489.2      444.7            
Three years later           529.8     505.8     519.1     603.2      698.5       697.6       638.9                       
Four years later            626.3     605.0     613.0     704.4      835.7       821.4                                   
Five years later            700.9     678.6     680.8     801.7      940.1                                               
Six years later             765.2     734.8     752.2     884.5                                                          
Seven years later           811.2     793.1     819.7                                                                    
Eight years later           859.7     853.4                                                                              
Nine years later            914.8                                                                                        
RESERVES REESTIMATED                                                                                                     
  AS OF:                                                                                                                 
One year later            1,338.0   1,316.0   1,289.1   1,317.2    1,358.3     1,285.2     1,197.1    1,086.8     996.5  
Two years later           1,354.7   1,287.9   1,262.5   1,284.7    1,356.9     1,311.9     1,202.0    1,083.0            
Three years later         1,317.9   1,277.1   1,195.5   1,261.3    1,381.9     1,315.9     1,203.0
Four years later          1,319.3   1,209.4   1,175.9   1,282.9    1,374.1     1,325.9
Five years later          1,250.6   1,196.8   1,176.4   1,257.5    1,384.9                                               
Six years later           1,249.2   1,191.2   1,153.0   1,265.3                                                          
Seven years later         1,232.7   1,163.7   1,157.5                                                                    
Eight years later         1,206.0   1,168.1                                                                              
Nine years later          1,209.7                                                                                        
CUMULATIVE (DEFICIENCY)                                                                                                  
  REDUNDANCY:              $102.2    $135.5    $152.1     $71.7     ($36.4)     ($38.1)      ($1.1)     $24.6     $14.9  
                                                                                                                          
</TABLE>

(a) Reserves for Losses and LAE, net of reserves for reinsurance
(b) Cumulative amount paid, net of reinsurance payments


                                     Page 7
<PAGE>   9
                                     TABLE II

ANALYSIS OF LOSSES AND LOSS ADJUSTMENT EXPENSES (LAE) DEVELOPMENT (IN MILLIONS)
                             (DIRECT INSURANCE ONLY)

<TABLE>
<CAPTION>
                          ----------------------------------------------------------------------------------------------
                          1986  1987  1988     1989        1990        1991        1992       1993      1994      1995
                          ----  ----  ----     ----        ----        ----        ----       ----      ----      ----
<S>                       <C>   <C>   <C>    <C>         <C>         <C>         <C>        <C>       <C>       <C>     
RESERVES FOR LOSSES
  AND LAE (a)              NA    NA    NA    $1,587.4    $1,561.8    $1,494.4    $1,390.9   $1,284.1  $1,196.3  $1,060.9
CUMULATIVE AMOUNT                                                                                              
  PAID AS OF: (b)                                                                                              
One year later             NA    NA    NA       509.2       384.7       355.7       325.6      288.3     267.5 
Two years later            NA    NA    NA       770.5       656.2       621.6       564.4      499.3           
Three years later          NA    NA    NA       954.4       862.6       818.2       739.3                      
Four years later           NA    NA    NA     1,097.1     1,023.5       965.1                                  
Five years later           NA    NA    NA     1,216.7     1,149.2                                              
Six years later            NA    NA    NA     1,318.7                                                          
Seven years later          NA    NA    NA                                                                      
Eight years later          NA    NA                                                                            
Nine years later           NA                                                                                  
RESERVES REESTIMATED                                                                                           
  AS OF:                                                                                                       
One year later             NA    NA    NA     1,770.2     1,619.3     1,512.6     1,414.2    1,291.7   1,179.7 
Two years later            NA    NA    NA     1,764.0     1,645.8     1,570.2     1,448.8    1,278.8           
Three years later          NA    NA    NA     1,772.2     1,702.3     1,603.7     1,440.6                      
Four years later           NA    NA    NA     1,829.1     1,719.7     1,604.2                                  
Five years later           NA    NA    NA     1,820.3     1,723.6                                              
Six years later            NA    NA    NA     1,823.6                                                          
Seven years later          NA    NA    NA                                                                      
Eight years later          NA    NA                                                                            
Nine years later           NA                                                                                  
CUMULATIVE (DEFICIENCY)                                                                                        
  REDUNDANCY:              NA    NA    NA     ($236.2)    ($161.8)    ($109.8)     ($49.7)      $5.3     $16.6 
</TABLE>



(a) Reserves for Losses and LAE, excluding effects of reinsurance
(b) Cumulative amount paid, excluding effects of reinsurance
NA: Not available


                                     Page 8
<PAGE>   10
CAPITAL ADEQUACY

Several measures of capital adequacy are common in the property-casualty
industry. The two most often used are (a) premium-to-surplus (which measures
pressures on capital from inadequate pricing) and, (b) reserves-to-surplus
(which measures pressure on capital from inadequate loss and loss adjustment
expense reserves).

The following table shows the consolidated premium-to-surplus and
reserves-to-surplus ratios of the Company's insurance subsidiaries (on a
statutory basis).

<TABLE>
<CAPTION>
                             Year Ended December 31,
                             -----------------------
                            1995      1994      1993
                            ----      ----      ----
<S>                         <C>       <C>       <C>
Ratio of:
Premium-to-surplus          0.3       0.4       0.5
                            ===       ===       ===

Reserves-to-surplus         1.3       1.6       1.9
                            ===       ===       ===
</TABLE>

The Company believes that its 1995 capital ratios are satisfactory.

RATINGS

The Company's insurance subsidiaries are rated annually by A.M. Best. A.M. Best
is generally considered to be the leading insurance rating agency, and its
ratings are used by insurance buyers, agents and brokers, and other insurance
companies as an indicator of financial strength and security, and are not
intended to reflect the quality of the rated company for investment purposes.
Argonaut Insurance and its pooled subsidiaries were awarded an "A+" (Superior)
rating in 1995 and 1994. An "A+" rating is the second highest rating A.M. Best
awards. Great Central is rated separately and was awarded an "A-" (Excellent)
rating in both 1995 and 1994. "A-" is the fourth highest of A.M. Best's ratings.

During 1995, Standard & Poor's affirmed its "AA+" rating to the claims-paying
ability of Argonaut Insurance and its pooled subsidiaries.

EMPLOYEES

At December 31, 1995, the Company employed 582 full-time employees. Of this
total, Argonaut Insurance employed 486 people (389 professional/managerial and
97 clerical/operational). Great Central employed 96 people (58
professional/managerial and 38 clerical/operational). Argonaut Group employed 14
people (11 professional/managerial and 3 clerical/operational). The Company is
not a party to any collective bargaining agreements.

ITEM 2.   PROPERTIES

Argonaut Insurance's headquarters are located in a facility which consists of an
office building on approximately two acres of land in Menlo Park, California.
Great Central's headquarters are located in a facility in Peoria, Illinois.
Argonaut Insurance and Great

                                     Page 9
<PAGE>   11
Central own the buildings in which their headquarters are located. In addition,
the Company has entered into short term leases in conjunction with its
operations at various locations throughout the country. The Company believes
that its properties are adequate for its present needs.

ITEM 3.   LEGAL PROCEEDINGS

See "Business - Regulation" for a description of pending claim relating to
California Proposition 103.

The insurance subsidiaries of Argonaut Insurance are parties to various legal
proceedings which are considered routine and incidental to their business and
are not material to the Company's financial condition or results of operations.

ITEM 4.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

No matters were submitted to a vote of Argonaut Group's security holders during
the last quarter of its fiscal year ended December 31, 1995.

                                     PART II

ITEM 5.   MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS

MARKET INFORMATION

The Company's common stock is traded in the over-the-counter market and is
included in the NASDAQ National Market System. The closing price on February 27,
1996 was $33.25 per share. The information on high and low common stock prices
set forth under the caption "Common Stock Market Prices" in the Annual Report to
Shareholders of Argonaut Group for the fiscal year ended December 31, 1995, is
incorporated herein by reference. See Exhibit Index.

HOLDERS OF COMMON STOCK

The number of holders of record of the Company's Common Stock as of February 27,
1996 was 9,576.

DIVIDENDS

The information set forth under the caption "Management's Discussion and
Analysis of Results of Operations and Financial Condition - Liquidity and
Capital Resources" in the Annual Report to Shareholders of Argonaut Group for
the fiscal year ended December 31, 1995 and in "Note 6 - Shareholders' Equity"
in the Notes to the Consolidated Financial Statements of the Annual Report, is
incorporated herein by reference. See Exhibit Index.



                                     Page 10
<PAGE>   12
ITEM 6.   SELECTED FINANCIAL DATA

The information set forth under the caption "Selected Financial Data" in the
Annual Report to Shareholders of Argonaut Group for the fiscal year ended
December 31, 1995, is incorporated herein by reference. See Exhibit Index.

ITEM 7.   MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
              RESULTS OF OPERATIONS

The information set forth under the caption "Management's Discussion and
Analysis of Results of Operations and Financial Condition" in the Annual Report
to Shareholders of Argonaut Group for the fiscal year ended December 31, 1995,
is incorporated herein by reference. See Exhibit Index.

ITEM 8.   FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

The Report of Independent Public Accountants and consolidated financial
statements and related notes of Argonaut Group, Inc. and subsidiaries listed on
the index to financial statements set forth in Item 14(a)1 of this Form 10-K
Report are incorporated herein by reference to the Annual Report to Shareholders
of Argonaut Group for the fiscal year ended December 31, 1995.

The Company does not identify each asset with any one line of business and any
such allocation would be arbitrary.

ITEM 9.   CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
              FINANCIAL DISCLOSURE

None.


                                    PART III

ITEM 10.  DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

Incorporated herein by reference is the information appearing under the captions
"Election of Directors", "Executive Officers", and "Security Ownership of
Principal Shareholders and Management" in the registrant's Proxy Statement to be
filed with the Securities and Exchange Commission relating to the registrant's
Annual Meeting of Shareholders to be held on April 23, 1996.

ITEM 11.  EXECUTIVE COMPENSATION

Incorporated herein by reference is the information appearing under the captions
"Compensation of Executive Officers", "Indemnity Agreements", "Pension Plan",
and "Compensation of Directors" in the registrant's Proxy Statement to be filed
with the Securities and Exchange Commission relating to the registrant's Annual
Meeting of Shareholders to be held on April 23, 1996.


                                     Page 11
<PAGE>   13
ITEM 12.  SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

Incorporated herein by reference is the information appearing under the caption
"Security Ownership of Principal Shareholders and Management" in the
registrant's Proxy Statement to be filed with the Securities and Exchange
Commission relating to the registrant's Annual Meeting of Shareholders to be
held on April 23, 1996.

ITEM 13.  CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

Incorporated herein by reference is the information appearing under the caption
"Compensation and Stock Option Committee Interlocks and Insider Participation"
in the registrant's Proxy Statement to be filed with the Securities and Exchange
Commission relating to the registrant's Annual Meeting of Shareholders to be
held on April 23, 1996.

                                     PART IV

ITEM 14.  EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K

(a)1.     Financial Statements

          Selected Financial Data

          Report of Independent Public Accountants

          Consolidated Balance Sheets  -  December 31, 1995 and 1994

          Consolidated Statements of Income
          For the Years Ended December 31, 1995, 1994, and 1993

          Consolidated Statements of Shareholders' Equity
          For the Years Ended December 31, 1995, 1994, and 1993

          Consolidated Statements of Cash Flows
          For the Years Ended December 31, 1995, 1994, and 1993

          Notes to Consolidated Financial Statements

          Quarterly Financial Data (Unaudited)

          Common Stock Market Prices (Unaudited)

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

(a)2.     Financial Statement Schedules

          Report of Independent Public Accountants on Schedules


                                     Page 12
<PAGE>   14
          SCHEDULE I - Condensed Financial Information of Registrant
          December 31, 1995 and 1994

          SCHEDULE V - Supplementary Insurance Information
          December 31, 1995, 1994, and 1993

All other schedules and notes specified under Regulation S-X are omitted because
they are either not applicable, not required, or the information called for
therein appears in response to the items of Form 10-K or in the financial
statements or notes thereto.


(a)3.     Exhibits

The following exhibits are numbered in accordance with Item 601 of Regulation
S-K and, except as noted, are filed herewith.

2.    Information Statement of Registrant (incorporated by reference to the
      Exhibit 2 to the Registrant's Form 10 Registration Statement dated
      September 3, 1986, filed with the Securities and Exchange Commission on
      September 4, 1986).

3.1   Certificate of Incorporation of Registrant (incorporated by reference to
      the Exhibit 3.1 to the Registrant's Form 10 Registration Statement dated
      September 3, 1986, filed with the Securities and Exchange Commission on
      September 4, 1986).

3.2   Bylaws of the Registrant (incorporated by reference to the Exhibit 3.2 to
      the Registrant's Form 10 Registration Statement dated September 3, 1986,
      filed with the Securities and Exchange Commission on September 4, 1986).

10.1  Argonaut Group, Inc. 1986 Stock Option Plan (incorporated by reference to
      the Exhibit 10.1 to the Registrant's Form 10 Registration Statement dated
      September 3, 1986, filed with the Securities and Exchange Commission on
      September 4, 1986).

10.2  Argonaut Group, Inc. Retirement Plan (incorporated by reference to the
      Exhibit 10.2 to the Registrant's Form 10 Registration Statement dated
      September 3, 1986, filed with the Securities and Exchange Commission on
      September 4, 1986).

10.3  Tax Agreement by and among Registrant and its subsidiaries and Teledyne,
      Inc. (incorporated by reference to the Exhibit 10.3 to the Registrant's
      Form 10 Registration Statement dated September 3, 1986, filed with the
      Securities and Exchange Commission on September 4, 1986).

10.4  1986 Stock Option Plan, as amended (incorporated by reference to the
      Exhibit 4.3 to the Registrant's Registration Statement on Form S-8 filed
      with the Securities and Exchange Commission on February 13, 1987).


                                     Page 13
<PAGE>   15
10.5  401(k) Retirement Savings Plan (incorporated by reference to the Exhibit
      10.4 to the Registrant's Form 10-K filed with the Securities and Exchange
      Commission on February 28, 1989).

10.6  Employee Stock Investment Plan (incorporated by reference to the Exhibit
      4.3 to the Registrant's Registration Statement on Form S-8 filed with the
      Securities and Exchange Commission on October 10, 1989).

13.   The following materials are excerpted from the Annual Report to
      Shareholders of Argonaut Group, Inc. for the fiscal year ended December
      31, 1994:

      a) Selected Financial Data
      b) Financial Statements
      c) Common Stock Market Prices
      d) Management's Discussion and Analysis of Results of Operations and
         Financial Condition

21.   Subsidiaries of Registrant (incorporated by reference to the Exhibit 21 to
      the Registrant's Form 10 Registration Statement dated September 3, 1986,
      filed with the Securities and Exchange Commission on September 4, 1986).

23.   Consent of Independent Public Accountants

27.   Financial Data Schedule for December 31, 1995 Form 10-K.

28P.  Combined Statutory Schedule P of Argonaut Insurance Company and Great
      Central Insurance Company

(b)   Reports on Form 8-K

There were no Reports filed on Form 8-K for the quarter ended December 31, 1995.



                                     Page 14
<PAGE>   16
                                   SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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.

                                        ARGONAUT GROUP, INC.

                                        By /s/ Charles E. Rinsch
                                          ----------------------
                                          Charles E. Rinsch
                                          President


Date:  March 5, 1996


Pursuant to the requirements of the Securities Exchange Act of 1934, this report
has been signed below by the following persons on behalf of the registrant and
in the capacities and on the dates indicated.

<TABLE>
<CAPTION>
Signature                      Title                              Date
---------                      -----                              ----
<S>                            <C>                                <C>
/s/ Charles E. Rinsch          President, Chief Executive         March 5, 1996
----------------------         Officer, and Director
Charles E. Rinsch              

/s/ James B Halliday           Vice President, Secretary,         March 5, 1996
----------------------         and Treasurer (principal
James B Halliday               financial and accounting
                               officer)                

/s/ George A. Roberts          Director                           March 5, 1996
----------------------
George A. Roberts

/s/ Henry E. Singleton         Director                           March 5, 1996
----------------------
Henry E. Singleton
</TABLE>



                                     Page 15
<PAGE>   17
              REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS ON SCHEDULES



To the Shareholders of Argonaut Group, Inc.

We have audited in accordance with generally accepted auditing standards, the
consolidated financial statements included in Argonaut Group, Inc.'s annual
report to shareholders incorporated by reference in this Form 10-K, and have
issued our report thereon dated January 5, 1996. Our audit was made for the
purpose of forming an opinion on the basic consolidated financial statements
taken as a whole. The schedules listed in Part IV, Item 14(a)(2) are presented
for purposes of complying with the Securities and Exchange Commission's rules
and are not part of the basic consolidated financial statements. These schedules
have been subjected to the auditing procedures applied in our audit of the basic
consolidated financial statements and, in our opinion, are fairly stated in all
material respects in relation to the basic consolidated financial statements
taken as a whole.

                                                    ARTHUR ANDERSEN LLP



San Francisco, California
 January 5, 1996
<PAGE>   18
                              ARGONAUT GROUP, INC.
                                   SCHEDULE I
                  CONDENSED FINANCIAL INFORMATION OF REGISTRANT
                                 ($ in millions)


BALANCE SHEET
<TABLE>
<CAPTION>
                                              December 31,
                                             ---------------
                                              1995     1994
                                             ------   ------
<S>                                          <C>      <C>   
ASSETS
   Short-term investments                    $  5.8   $   --
   Cash & cash equivalents                      0.1      0.6
   Investment in subsidiary                   708.9    609.0
   Cost in excess of net assets purchased      43.9     46.6
   Deferred Federal income taxes receivable    75.3     87.6
   Other assets                                 6.4     10.5
                                             ------   ------
                                             $840.4   $754.3
                                             ======   ======
                                                     
LIABILITIES & SHAREHOLDERS' EQUITY                   
   Income taxes payable (receivable)         $  0.3   $ (1.8)
   Other liabilities                            0.4       --
   Due from/(to) subsidiaries                 (28.9)   (10.5)
   Shareholders' equity                       810.8    745.6
                                             ------   ------
                                             $782.6   $733.3
                                             ======   ======
</TABLE>


<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS                                  FOR THE YEAR ENDED DECEMBER 31,
                                                         -------------------------------
                                                             1995     1994     1993
                                                             ----     ----     ----
<S>                                                         <C>      <C>      <C>   
REVENUES                                                    $12.6    $ 3.2    $  3.1
                                                                              
EXPENSES:                                                                     
   Amortization of cost in excess of net assets               2.8      2.8       2.8
   Other expenses                                            12.6      4.1       7.7
                                                            -----    -----    ------
                                                                              
                                                                              
Loss before tax and undistributed earnings                   (2.8)    (3.7)     (7.4)
Provision for income taxes                                    2.1      1.7       3.1
                                                            -----    -----    ------
                                                                              
Net loss before equity in earnings of subsidiary             (4.9)    (5.4)    (10.5)
Equity in undistributed earnings of subsidiary               61.8     82.1      99.6
                                                            -----    -----    ------
                                                                              
Income before cumulative effect of change                                     
   in accounting for income taxes                            56.9     76.7      89.1
Cumulative effect of change in accounting                                     
   for income taxes                                            --       --        --
                                                            -----    -----    ------
NET INCOME                                                  $56.9    $76.7    $ 89.1
                                                            =====    =====    ======
</TABLE>
<PAGE>   19
                              ARGONAUT GROUP, INC.
                                   SCHEDULE I
                  CONDENSED FINANCIAL INFORMATION OF REGISTRANT
                                 ($ in millions)


<TABLE>
<CAPTION>
STATEMENT OF CASH FLOWS                               For The Year Ended December 31,
                                                      -------------------------------
                                                          1995     1994     1993
                                                          ----     ----     ----
<S>                                                      <C>      <C>      <C>   
Cash flows from operating activities:
   Net income                                            $ 56.9   $ 76.7   $ 89.1
   Adjustments to reconcile net income to
      net cash provided by operations:
      Cumulative effect of change in accounting
         for income taxes                                    --       --       --
      Amortization                                          2.8      2.8      2.8
      Undistributed earnings in subsidiary                (72.2)   (95.2)   (95.7)
      Dividend from subsidiary                             42.8     31.6     31.5
      Decrease in deferred Federal income taxes
         receivable                                        12.3     18.0      7.7
      Decrease (increase) in due from/to subsidiaries      18.4     14.2     (2.5)
      Increase (decrease) in income taxes payable           2.2      1.4     (8.1)
      Other, net                                           (1.5)   (13.1)     6.9
                                                         ------   ------   ------
                                                           61.7     36.4     31.7
                                                         ------   ------   ------

Cash flows from investing activities:
   Decrease (increase) in short-term investments           (5.8)     9.8     (9.8)
                                                         ------   ------   ------
                                                           (5.8)     9.8     (9.8)
                                                         ------   ------   ------

Cash flows from financing activities:
   Repurchase of common stock                             (25.8)   (21.9)      --
   Payment of cash dividend                               (31.1)   (28.7)   (24.6)
   Exercise of stock options                                0.5      0.3      1.1
                                                         ------   ------   ------
                                                          (56.4)   (50.3)   (23.5)
                                                         ------   ------   ------

Increase (decrease) in cash & cash equivalents             (0.5)    (4.1)    (1.6)
Cash & cash equivalents, beginning of period                0.6      4.7      6.3
                                                         ------   ------   ------
Cash & cash equivalents, end of period                   $  0.1   $  0.6   $  4.7
                                                         ======   ======   ======
</TABLE>
<PAGE>   20
                              ARGONAUT GROUP, INC.
                                   SCHEDULE V
                       SUPPLEMENTARY INSURANCE INFORMATION
                  YEARS ENDED DECEMBER 31, 1995, 1994, AND 1993
                                 ($ IN MILLIONS)

<TABLE>
<CAPTION>
                                                                                                Amortization
                                     Future          Other    Premium  Net Invest.  Ben, Loss,   (Deferral)     Other     Premiums
                              DPAC  Benefits  UPR   Payables  Revenue    Income       & LAE         DPAC      Insur. Exp  Written
             Segment          (a)     (b)     (c)     (d)       (e)      (f) (1)       (g)          (h)        (i) (2)      (j)
----------------------------------------------------------------------------------------------------------------------------------
<S>                           <C>   <C>       <C>   <C>       <C>      <C>          <C>         <C>           <C>         <C>   
Year Ended December 31, 1995  

Workers Comp                  3.6     737.7   43.0     --      176.7      50.5          98.6       (0.9)         56.2      148.9
All Other                     1.0     323.2   21.0     --       31.4      22.1          54.2       (0.1)         12.1       31.1
Unallocable                              --     --     --         --      29.4            --         --            --         --
                              ---   -------   ----             -----     -----         -----        ---          ----      -----
                              4.6   1,060.9   64.0     --      208.1     102.0         152.8       (1.0)         68.3      180.0
                              ===   =======   ====             =====     =====         =====        ===          ====      =====
                                                                                                                 
Year Ended December 31, 1994                                                                                     
                                                                                                                 
Workers Comp                  2.6     822.9   54.3     --      240.2      61.4         167.9       (2.3)         62.4      213.1
All Other                     1.0     373.4   19.2     --       39.5      27.8          39.3        0.5          11.7       35.8
Unallocable                              --     --     --         --      21.5            --         --            --         --
                              ---   -------   ----             -----     -----         -----        ---          ----      -----
                              3.6   1,196.3   73.5     --      279.7     110.7         207.2       (1.8)         74.1      248.9
                              ===   =======   ====             =====     =====         =====        ===          ====      =====
                                                                                                                 
Year Ended December 31, 1993                                                                                     
                                                                                                                 
Workers Comp                  0.3     856.1   57.9     --      280.0      64.6         212.4         --          68.4      247.8
All Other                     1.5     428.0   19.9     --       35.4      32.3          16.8        0.1          13.2       36.5
Unallocable                    --        --     --     --         --      21.2            --         --            --         --
                              ---   -------   ----             -----     -----         -----        ---          ----      -----
                              1.8   1,284.1   77.8     --      315.4     118.1         229.2        0.1          81.6      284.3
                              ===   =======   ====             =====     =====         =====        ===          ====      =====
</TABLE>

(a) Deferred Policy Acquisition Costs                                           
(b) Future Policy Benefits, Claims, and Claim Adjustment Expenses               
(c) Unearned Premiums                                                           
(d) Other Policy Claims and Benefits Payable
(e) Premium Revenue                                                             
(f) Net Investment Income                                                       
(g) Benefits, Claims, and Claim Adjustment Expenses                             
(h) Amortization of Deferred Policy Acquisition Costs             
(i) Other Insurance Expenses                                  
(j) Premiums Written                                          
                                                               
(1) Net investment income allocated based upon each segment's share of
    investable funds
(2) Other insurance expenses allocated based on specific identification, where
    possible, and related activities.