My agency went straight to the carriers. I did a few with FM Global and DiscoverRe back in the day. Travelers was even in on it, but I think they were just the name ion the paper. FM Global is still around. It really depends on the 'use' of the autos you want to cover.
Can you tell me more? I might even know some folks at LM that could be interested in being the go-between with the reinsurers that do this stuff. Makes you more money!
An informative link for those asking what this is:
Protected or Segregated Cell Rental Captive Insurance Companies