Data Envelopment Analysis (DEA) model is used to provide valuable information on investment efficiency of
industry in India. This study utilizes two inputs (shareholders’ investments and policyholders’ investments) and two outputs (net returns on investments to the shareholders and net returns on investments to the policyholders). This study focuses upon 20 private life insurance companies operating in India over a period of 4 years from 2010-11 to 2013-14. Since this study attempts to maximize output, an output oriented DEA model is used. The study finds that investment efficiency of private life insurance industry has improved on Banker, Charnes and Cooper (BCC) model and Charnes, Cooper and Rhodes (CCR) model. The study further highlights that during all years under study, 15% to 40% life insurance companies have been found on the CRS frontier and 40% to 60% life insurance companies have been found on the VRS frontier. With regard to scale efficiency issues, 15% to 40% companies have een operated at their most productive scale over the study period.