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

                                   FORM 10-Q/A

(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, 1999

[ ]      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 333-34829


                            DELPHI INTERNATIONAL LTD.
          ------------------------------------------------------------
             (Exact name of registrant as specified in its charter)


<TABLE>
<CAPTION>
<S>                                      <C>                                             <C>
              Bermuda                             (441) 295 3688                                        N/A
--------------------------------         --------------------------------------------    -------------------------------
(State or other Jurisdiction of          (Registrant's telephone number,                 (I.R.S. Employer Identification
incorporation or organization)                   including area code)                          Number)


                                 Chevron House, 11 Church Street, Hamilton, Bermuda       HM 11
                                --------------------------------------------------       ------
                                 (Address of principal executive offices)              (Zip Code)

</TABLE>





Indicate by check mark whether 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 5, 1999, the Registrant had 4,079,014 shares of Common
Stock outstanding.





                                       1
<PAGE>   2


                            DELPHI INTERNATIONAL LTD.

                                   FORM 10-Q/A


                                      INDEX


<TABLE>
<CAPTION>
PART I.    FINANCIAL INFORMATION                                             Page

<S>                                                                          <C>
           Consolidated Statements of Income and Comprehensive
           Income for the Three Months Ended March 31, 1999
           and for the Period from January 27, 1998 to
           March 31, 1998                                                       3

           Consolidated Balance Sheets at March 31, 1999 and December 31,
           1998                                                                 4

           Consolidated Statements of Cash Flows for the
           Three Months Ended March 31, 1999 and for the
           Period from January 27, 1998 to March 31, 1998                       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

                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES
           CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME

                           (UNAUDITED: IN US DOLLARS)

<TABLE>
<CAPTION>
                                                                                                                       PERIOD FROM
                                                                                        THREE MONTHS ENDED          JANUARY 27, 1998
                                                                                            MARCH 31, 1999                     TO
                                                                                                                      MARCH 31, 1998
<S>                                                                                    <C>                         <C>
REVENUES:
Premiums written                                                                             $        --                $120,833,950
Premiums ceded                                                                                        --                          --
                                                                                             -----------                ------------
Premiums earned                                                                                       --                 120,833,950
Net investment income                                                                          3,124,456                   7,581,132
Net realized gains on sales of investments                                                       210,155                          --
                                                                                             -----------                ------------

Total Revenues                                                                                 3,334,611                 128,415,082
                                                                                             -----------                ------------

LOSSES AND EXPENSES:
Losses and loss expenses incurred                                                              1,218,009                 116,938,169
Underwriting and acquisition expenses                                                             76,193                   6,740,540
Interest expense                                                                                 688,722                     510,411
General and administrative expenses                                                              516,262                     247,419
Incorporation costs                                                                                   --                   1,154,104
                                                                                             -----------                ------------

Total losses and expenses                                                                      2,499,186                 125,590,643
                                                                                             -----------                ------------

Net income                                                                                       835,425                   2,824,439

Dividends on Preferred Shares                                                                   (237,500)                         --
                                                                                             -----------                ------------

Net income attributable to Common Shares                                                     $   597,925                $  2,824,439
                                                                                             ===========                ============

Basic income per Common Share
                                                                                             $      0.15                $       0.69
Weighted average Common Shares outstanding                                                     4,079,014                   4,079,014

Comprehensive income:
    Net income                                                                               $   835,425                $  2,824,439
    Other comprehensive (loss) income:
     Change in unrealized (losses) gains on fixed maturity
     securities net of reclassification adjustments                                             (488,596)                    118,050
                                                                                             -----------                ------------

       Comprehensive income                                                                  $   346,829                $  2,942,489
                                                                                             ===========                ============
</TABLE>


                 See notes to consolidated financial statements


                                       3
<PAGE>   4



                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES
                           CONSOLIDATED BALANCE SHEETS

                           (UNAUDITED: IN US DOLLARS)


<TABLE>
<CAPTION>
                                                                                          MARCH 31, 1999           DECEMBER 31, 1998
<S>                                                                                       <C>                      <C>
ASSETS:
Investments:
      Balances with independent investment managers                                          $  87,084,451            $  77,197,580
      Fixed maturity securities available for sale                                              20,290,641               18,306,720
                                                                                             -------------            -------------
                                                                                               107,375,092               95,504,300
Cash and cash equivalents                                                                       35,832,697               26,152,550
Funds withheld by ceding reinsurer                                                              16,000,000               16,000,000
Due from investment managers                                                                     7,018,069               28,106,350
Deferred acquisition costs                                                                       1,132,819                1,147,923
Other assets                                                                                       201,753                  185,005
Assets held for participating shareholder - cash and cash equivalents                            2,894,261                2,875,000
                                                                                             -------------            -------------

Total assets                                                                                 $ 170,454,691            $ 169,971,128
                                                                                             =============            =============

LIABILITIES:
Reserves for losses and loss expenses                                                        $ 125,025,366            $ 125,191,823
Subordinated notes                                                                              31,350,000               30,000,000
Other liabilities                                                                                2,827,540                3,893,611
Liabilities relating to participating shareholder - reserves for losses
   and loss expenses                                                                             2,894,261                2,875,000
                                                                                             -------------            -------------

Total Liabilities                                                                              162,097,167              161,960,434
                                                                                             -------------            -------------

SHAREHOLDERS' EQUITY:
Preferred Shares, $0.01 par value; 5,000,000 shares authorized,
   100,000 shares issued and outstanding                                                             1,000                    1,000
Participating Preferred Shares, $0.01 par value; 1,000 shares issued
   and outstanding                                                                                      10                       10
Common Shares, $0.01 par value; 10,000,000 shares authorized,
   4,079,014 shares issued and outstanding                                                          40,790                   40,790
Additional paid-in capital                                                                      30,864,147               30,864,147
Provisions for dividends on Preferred Shares                                                       237,500                       --
Accumulated other comprehensive (loss) income                                                     (128,810)                 359,786
Retained deficit                                                                               (22,657,113)             (23,255,039)
                                                                                             -------------            -------------

Total shareholders' equity                                                                       8,357,524                8,010,694
                                                                                             -------------            -------------

Total liabilities and shareholders' equity                                                   $ 170,454,691            $ 169,971,128
                                                                                             =============            =============
</TABLE>

                 See notes to consolidated financial statements




                                       4
<PAGE>   5




                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES
                      CONSOLIDATED STATEMENTS OF CASH FLOWS

                           (UNAUDITED: IN US DOLLARS)

<TABLE>
<CAPTION>
                                                                                                                       PERIOD FROM
                                                                                           THREE MONTHS ENDED       JANUARY 27, 1998
                                                                                             MARCH 31, 1999                 TO
                                                                                                                      MARCH 31, 1998
<S>                                                                                        <C>                      <C>
Net cash flows from operating activities:
Net income                                                                                   $    835,425             $   2,824,439
Adjustments to reconcile net income to net cash provided by
  operating activities:
  Realized gains on balances with independent investment managers                                (210,155)                       --
  Net unrealized gains on balances with independent investment
     managers                                                                                  (2,494,614)               (7,219,296)
  Amortization on fixed maturity securities                                                       (22,062)                     (152)
  Changes in assets and liabilities:
     Funds withheld by ceding reinsurer                                                                --               (15,799,359)
     Deferred acquisition costs                                                                    15,104                        --
     Incorporation costs                                                                               --                 1,154,104
     Other assets                                                                                 (16,750)                 (189,357)
     Reserves for losses and loss expenses                                                       (166,457)              115,254,370
     Due from independent investment managers                                                  21,088,281                        --
     Other liabilities                                                                         (1,066,069)                4,231,831
     Assets held for participating shareholder                                                    (19,261)                       --
     Liabilities relating to participating shareholder                                             19,261                        --
                                                                                             ------------             -------------

      Net cash provided by operating activities                                                17,962,703               100,256,580
                                                                                             ------------             -------------

Cash flows from investing activities:
  Proceeds from sales of fixed maturity securities                                                 52,450                        --
  Withdrawals from balances with independent investment mangers                                 5,447,899                        --
  Purchases of investments with independent investment managers                               (12,630,000)             (128,678,629)
  Purchases of fixed maturity securities                                                       (2,502,905)               (3,952,328)
  Incorporation costs                                                                                  --                (1,154,104)
                                                                                             ------------             -------------

      Net cash used by investing activities                                                    (9,632,556)             (133,785,061)
                                                                                             ------------             -------------

Cash flows from financing activities:
   Proceeds from issuance of subordinated notes                                                 1,350,000                30,000,000
   Proceeds from issuance of common shares                                                             --                20,254,947
                                                                                             ------------             -------------

      Net cash provided by financing activities                                                 1,350,000                50,254,947
                                                                                             ------------             -------------

Increase in cash and cash equivalents                                                           9,680,147                16,726,466
Cash and cash equivalents at beginning of period                                               26,152,550                        --
                                                                                             ------------             -------------

Cash and cash equivalents at the end of period                                               $ 35,832,697             $  16,726,466
                                                                                             ------------             -------------
</TABLE>

                 See notes to consolidated financial statements





                                       5
<PAGE>   6



                   DELPHI INTERNATIONAL LTD. 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, 1998. 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, 1999 are not necessarily indicative of the results that
may be expected for the year ended December 31, 1999. Certain reclassifications
have been made in the 1998 financial statements to conform to the 1999
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, 1998. 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, 1998.


NOTE B - CAPITAL SECURITIES & LOAN FINANCING

Pursuant to the terms of the Subordinated Notes, interest of $1,350,000 due on
such notes has been paid by the issuance of additional Subordinated Notes.

The Company's Series A Preferred Shares (the "Preferred Shares") are entitled to
a cumulative dividend of 9.5% per annum on the issue price of the shares. The
dividend is payable solely in additional Preferred Shares issued and redeemable
at $100 per share. No dividend has been declared at March 31, 1999 but a
provision for the cumulative dividend at March 31, 1999 has been recorded as an
appropriation of retained deficit.


NOTE C - INVESTMENTS

At March 31, 1999 the Company had fixed maturity securities available for sale
with a carrying value of $20,290,641 and an amortized cost of $20,419,451 and
balances with independent investment managers with a carrying value and a fair
value of $87,084,451. At December 31, 1998 the Company had fixed maturity
securities available for sale with a carrying value of $18,306,720 and an
amortized cost of $17,946,934 and balances with independent investment managers
with a carrying value and a fair value of $77,197,580. The amounts invested with
independent investment managers are, with certain limited exceptions,
withdrawable at least annually, subject to applicable notice requirements.


                                       6
<PAGE>   7


                   DELPHI INTERNATIONAL LTD. AND SUBSIDIARIES

                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

                                   (UNAUDITED)




NOTE D - NET INCOME PER COMMON SHARE

Net income per Common Share is computed by dividing net income attributable to
Common Shares by the weighted average number of Common Shares outstanding for
the period, as adjusted to reflect the two-for-one stock split distributed on
June 11, 1998:

<TABLE>
<CAPTION>
                                                                                  Period From
                                                 Three Months Ended              January 27,1998
                                                   March 31, 1999              to March 31, 1998

<S>                                              <C>                            <C>
Net income                                         $   835,425                    $2,824,439
Dividend on Preferred Shares                          (237,500)                           --
                                                   -----------                    ----------
Net income attributable to Common Shares           $   597,925                    $2,824,439
                                                   -----------                    ----------
Weighted average Common Shares outstanding           4,079,014                     4,079,014
Net income per Common Share                        $      0.15                    $     0.69

</TABLE>


                                       7
<PAGE>   8



                            DELPHI INTERNATIONAL LTD.
                     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 International Ltd. (the "Company" which term includes the
Company and its consolidated subsidiaries unless the context indicates
otherwise). This analysis should be read in conjunction with the Consolidated
Financial Statements and related notes included in this document, as well as the
Company's report on Form 10-K for the year ended December 31, 1998 and the
Company's report on Form 8-K filed on January 28, 2000. Capitalized terms used
herein without definition have the meanings ascribed to them in the Company's
report on Form 10-K for the year ended December 31, 1998.

RESULTS OF OPERATIONS

Underwriting Income. The Company did not earn any premium income from
reinsurance contracts during the three months ended March 31, 1999. Due to
excess capacity in the global reinsurance markets and the resulting lack of
attractively priced reinsurance programs, the Company did not take on any new
reinsurance business during this period. Premiums in the period ended March 31,
1998 were derived from workers' compensation aggregate excess of loss
reinsurance assumed from Safety National in the amount of $81.0 million and from
group long-term disability quota share reinsurance assumed from RSL in the
amount of $39.8 million, both of which transactions were consummated
concurrently with the completion of the rights offering pursuant to which the
Company was initially capitalized.

Investment Income. Investment income for the quarter ended March 31, 1999 was
$3.1 million compared with investment income for the period ended March 31, 1998
of $7.6 million. The 1998 period reflects exceptionally strong investment
results. The Company's investment results are derived primarily from the
performance of investment vehicles of independent investment managers.
Investment income for the quarter primarily resulted from a recovery in numerous
sectors of the global financial markets during the quarter, which impacted
positively upon the performance of the investment portfolios of the independent
investment managers.

Underwriting and Other Expenses. Losses and loss expenses incurred in the first
quarter of 1999 of $1.2 million primarily reflect the increase in discounted
values of existing reserves. Losses and loss expenses incurred for the period
ended March 31, 1998 of $116.9 million include the discounted value of reserves
for losses and loss expenses assumed from Safety National and RSL of $81.7
million and $35.2 million, respectively. Underwriting and acquisition expenses
of $6.7 million in the 1998 period include ceding commissions of $4.8 million,
profit sharing commissions and other underwriting expenses of $0.7 million and
federal excise taxes of $1.2 million related to the reinsurance agreements with
Safety National and RSL.

Interest expense and other operating expenses were higher in the 1999 period
than in the period ended March 31, 1998 primarily reflecting a full calendar
quarter of operations in the 1999 period.

Net Income. As a result of the above factors, net income was approximately $2.0
million lower in the first quarter of 1999 than in the period ended March 31,
1998.







                                       8
<PAGE>   9




                            DELPHI INTERNATIONAL LTD.
                     MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                  FINANCIAL CONDITION AND RESULTS OF OPERATIONS



LIQUIDITY AND CAPITAL RESOURCES

The Company's current liquidity needs at the holding company level include
funding operating expenses, the repayment of incorporation expenses paid by DFG
and interest payments on the Subordinated Notes. At the Company's option, the
Company may pay interest on the Subordinated Notes in additional Subordinated
Notes in lieu of cash payments during any five-year period. In the three-month
period to March 31, 1999, $1.4 million of interest due on the Subordinated Notes
was paid by the issuance of additional Subordinated Notes with an aggregate
principal amount of $1.4 million. As of March 31, 1999, the Company had $14.5
million in financial assets at the holding company level. The Company's other
source of liquidity at the holding company level consists of dividends from
Oracle Re. Dividend payments by the Company's insurance subsidiary to the
Company are subject to certain Bermuda regulatory restrictions as well as
contractual restrictions. Under the LOC Agreement, dividends by Oracle Re in any
fiscal year may generally not exceed the greater of (a) 50% of Oracle Re's
statutory net income for the preceding fiscal year and (b) the lesser of (i)
$3,000,000 and (ii) Oracle Re's statutory net income for the preceding fiscal
year.

The principal liquidity requirement of the Company's insurance subsidiary,
Oracle Re, in addition to funding operating expenses, is the fulfilment of the
obligations under its reinsurance agreements. The primary source of funding for
these obligations, in addition to operating earnings, is the net cash flow from
the investments included in Oracle Re's investment portfolio. Each of the
Company's reinsurance agreements involved a one-time payment to Oracle Re at
inception and does not provide for ongoing reinsurance premiums. In May 1999,
the Company and RSL agreed to the partial recapture of approximately 35% of the
group long term disability liabilities ceded to the Company under its quota
share reinsurance agreement with RSL. In connection with such partial recapture
by RSL of these liabilities, $10 million in cash, the amount of the reserves
with respect to the portion of such liabilities recaptured by RSL, was
transferred to RSL.

In addition to Oracle Re's current liquidity requirements, Oracle Re is required
to provide collateral security with respect to letters of credit outstanding
under the LOC Agreement and otherwise. Under the LOC Agreement, the collateral
maintenance requirement is equal to up to 140% of the amount of the outstanding
letters of credit. In the event that sufficient collateral cannot be maintained
relative to these requirements, Oracle Re may be required to negotiate with its
reinsureds to reduce the size of the reinsurance transactions, thereby
decreasing the amounts of letters of credit and related collateral requirements
under the LOC Agreement. Moreover, if Oracle Re were unable to furnish
sufficient collateral or otherwise to fail to satisfy any covenant or
requirement under the LOC Agreement, it may be required to liquidate all or a
substantial portion of its investment portfolio or otherwise secure its
obligations under its reinsurance agreements, which would likely have a material
adverse effect on the business and operations of the Company. The Company
believes that the sources of funding available at the holding company and
insurance subsidiary levels, respectively, will be adequate to satisfy on both a
short-term and long-term basis the companies' applicable liquidity requirements.




                                       9
<PAGE>   10


                            DELPHI INTERNATIONAL LTD.
                     MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                  FINANCIAL CONDITION AND RESULTS OF OPERATIONS


IMPACT OF YEAR 2000

All of the Company's computer related systems are furnished by its third party
administrative services provider, a substantial and reputable firm which
provides similar services to other Bermuda based insurance companies. This firm
has provided the Company with an assurance that it has completed its Year 2000
assessment, and that its computer related systems are currently Year 2000
compliant, although such systems are, in this regard, subject to any further
modifications which may be advised by its computer related systems suppliers.
The Company has also requested assurances of Year 2000 compliance from its other
significant business partners and vendors in an effort to resolve any potential
problems with the products and services they provide. In most cases, alternative
vendors could be utilized in the event Year 2000 compliance problems are
encountered. During 1999, the Company will develop appropriate contingency plans
in the event any of the computer systems of its administrative services
provider, business partners and vendors are not Year 2000 compliant. The costs
of the Company's activities relating to the Year 2000 issue have not been and
are not expected to be material to the Company's financial condition or results
of operations. The Company does not believe that the Year 2000 issue will have a
material effect on its operations; however, no assurance can be given in this
regard.

MARKET RISK

There have been no material changes in the Company's exposure to market risk or
its management of such risk since December 31, 1998.

CAUTIONARY STATEMENT REGARDING FORWARD LOOKING INFORMATION

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 its readers regarding certain forward-looking statements in the
foregoing discussions and elsewhere in the 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. Some forward-looking
statements may be identified by the use of terms such as "expects," "believes,"
"anticipates," "intends," or "judgement." 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 changes in global economic and financial
conditions and markets, the Company's investment strategy and implementation
thereof, the performance of the Company's investment portfolio, the ability of
the Company to generate new business opportunities and submissions, changes in
insurance or other laws and regulations or governmental interpretations thereof,
and the ability of the Company's or significant third parties' computer systems
to process correctly dates in and after the year 2000. These uncertainties 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.


                                       10
<PAGE>   11

                           PART II. OTHER INFORMATION


Item 6.  Exhibits and Reports on Form 8-K

         (a) Exhibits

             11 - Computation of Earnings Per Common Share (incorporated herein
                  by reference to Note D to the Consolidated Financial
                  Statements included elsewhere herein)

             27 - Financial Data Schedule

         (b) Reports on Form 8-K

             The Company filed a report on Form 8-K on January 28, 2000 which
             stated that the Company had rescinded a workers' compensation
             quota share reinsurance contract with Safety National Casualty
             Corporation that had been in place since early 1999. The Company's
             net income attributable to common shares for the first nine months
             ended September 30, 1999 has been restated to exclude the effects
             of this contract.




                                   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 INTERNATIONAL LTD. (Registrant)


                                    /s/ C. O'CONNOR
                                    --------------------------------------------
                                    C. O'Connor
                                    President and Chief Executive Officer
                                    (Principal Executive Officer)

                                    /s/ D. EZEKIEL
                                    --------------------------------------------
                                    D. Ezekiel
                                    Vice President and Director
                                    (Principal Accounting and Financial Officer)

Date: February 4, 2000






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