There are several types of Captive insurance products available today. If you are a Middle Market Customer (premiums over $150,000) it is something you should consider. Other factors that make you a candidate:
Good Loss Ratio's over the last 5 years
Quality Safety programs in place
Profitable for most of the last few years
Entrepreneurial - you must risk "some" money to make some money
Typically these coverages can generally be placed in a captive or group captive:
You can also consider a Captive for a single line of coverage. A good example of this is professional liability. If you pay a high premium for this or have unfavorable terms (deductibles, and payment terms) you may want to consider a captive to insure some or all of this line of coverage or even to insure deductibles.