If you are talking of CTs with oil impregnated paper insulated windings, periodic testing of tan delta will tell you the health of the insulation.
Conducting the knee point voltage test for PS class CTs, occassionally, is another one.
When it comes to the question, why CTs explode, I think the most likely cause is open circuiting of CT secondary wiring. This can give rise to high voltage spikes across the CT secondary winding.
I have also seen failure of CTs (24kV class) with solid insulation and a shield (as part of insulation coordination). The suspected cause was loose wiring in connection shield - to - the primary conductor.