Having to pay subproducers increases expenses and reduces your control over the business. You'll need time to gather data and analyze it yourself, perhaps have some actuarial work done, get fronting and reinsurance quotes, organize a TPA to handle the claims, and so on. Some of this can be done simultaneously. Multiline captive programs are more difficult to structure than monoline. I know that's a blinding flash of the obvious, but I'm frequently approached with what appear to be large books of business that on examination become significantly smaller because some lines are not suitable.
Captive programs are most appropriate for long-tail lines of business with loss frequency.
Leave out the umbrella and, if possible, avoid the property. Because of the catastrophic nature of these lines, the reinsurance cost of including them in the program can be prohibitive. At the beginning, don't try to do everything. The agent's role in a captive program can be extensive and may encompass everything from retail sales to policy issuance. If you don't have the experience to perform the rate, quote, bind, and policy issuance process, leave it with the carrier or have a third-party vendor do it.