Over the last 20 years, the insurance industry in Vietnam has been rapidly growing with an average annual growth rate of 21%, one of the mostctive markets in Southeast Asia, raising the question of efficiency to managers, investors, and regulators. This article is one of the first research works using Data Envelopment Analysis combined with the Malmquist index over the period from 2016 to 2020 for 37 insurance firms inVietnam to investigate the efficiency of this sector. The value-added approach is employed with total equity and operating expensesas inputs,finance income, and gross written premium as outputs. The findings reveal that most of Vietnam’s insurance companies areoperating quite effectively, and the non-life sector is more efficient than the life sector. There is also a regression in efficiency change, whilethere is a progression in technological change and total factor productivity change during the period examined. The goal of this research is to give a fundamental understanding of the overall efficiency of insurance firms in Vietnam, and help managers, investors, policyholders, and government agencies make better decisions regarding self-assessment, M&A activities, deregulation... Consequently, the insurance sector could improve in terms of efficiency and develop sustainably over time.