I have had two iPhones explode while sitting on a shelf in the past month

Neither of them "exploded". The Lithium ion battery reached its end of life and expanded. It does that specifically so it does not explode. Make a Genius Bar appointment to have them looked at, assuming it was an original Apple battery or one that was replacement from Apple. Usually Apple will replace the phone for the cost of a battery. This is not official policy, so it's best to be polite when you visit the Apple store. Genius Bar Reservation and Apple Support Options - Apple

Occasionally this can be caused by using non-certified power sources or cables when charging the phone, but usually it just happens. However, as it happened to 2 of your phones around the same time, this is a consideration.

Another possibility is the battery was left in a fully discharged condition for a long period of time (weeks, at least). Lithium batteries fail totally if the are left uncharged. Apple's recommendation is to charge a battery to about 50% if you plan to store the phone for a long period of time.

You can contact Apple if you wish. But with any and all lithium battery powered devices, it is never wise to just leave them sitting idle for very long periods of time. If not using them, or especially if they have been replaced due to age, damage or malfunction, take them to a recycling center so the battery pouch can be proper recycled. As already mentioned, aged and unused lithium batteries (or damaged batteries) are inherently prone to swelling/expansion.

P.S. when a lithium battery does actually explode, there is a great deal of heat involved, enough to ignite the plastic components of the device. So pictures clearly show the difference between a swollen battery versus and exploded battery (think Samsung Galaxy note 7 explosions from a couple of years ago that set fire to peoples luggage and even homes).

Where did you get the refurbished phone? If it was from an insurance company and not Apple it was not refurbished by Apple, so you should contact the insurance company. If it was only a month ago you should CERTAINLY contact them, as they sent you a defective phone.

Yes, definitely.

I'm sorry to tell you that Asurion does not have a great reputation for providing quality replacements. You should definitely contact them about the phone that they sent you.