Although there exists some rating agencies which benchmark the performance of the banking industry in Nigeria such agencies are not available in the insurance industry thereby making a choice among the insurance companies a difficult one. This study uses Data Envelopment Analysis to determine the relative efficiencies of commercial insurance companies in Nigeria. The study reveals that not all the companies were efficient with respect to Scale Efficiency and that contrary to what might have been expected, the most efficient insurance company is neither the biggest nor the oldest. Key words: Nigerian Insurance Companies, Data Envelopment Analysis, Performance, Technical Efficiency, Scale Efficiency, Benchmarking.