This paper analyses peculiarities of Russian insurance market development, the factors of convergence that lay behind the Russian insurance market. Concerns a brief review of financial convergence, its impact on the insurance business, development of Russian insurance market. The purpose of the paper is to find whether there is a diminution of dispersion of performance among Russian regional and federal insurance companies. Research methodology is based on testing the set of selected Russian insurance companies for σ-convergence or divergence. Selected companies represent maximum regional coverage of Russian Federation. Authors study balance sheet data of chosen federal and regional insurance companies for sigma-convergence and conclude that there are regional disproportions in the development of Russian insurance market, centralization of administrative and financial recourses that causes the weakness of regional players. Ideas suggested in this paper can help regulator in the decision-making process for improving situation and formation of insurance services demand in the country.