Why would corporations lay off duration risk/reward, if it had a captive insurance company? They probably shouldn't, if it is a risk they can get their arms around. In the post SOX era aren't corporations looking for real transfer of risk opportunities to better justify the existence of their captives? And wouldn't a natural be a risk that they could control...like severance insurance?
There are plenty of companies out there with self-insuring cultures who have captives. Why wouldn't they want to end-run the traditional insurance channels, insure through their captive and reinsure that portion of the risk they wanted to cede? I suspect they would.