(FORTUNE Magazine) – SOME of the largest corporations in the U.S., finding that they could not get the insurance they needed, have started their own insurance company. A group of 34 mammoths, including IBM, General Electric, and Chase Manhattan, have kicked in $10 million each to set up American Casualty Excess Insurance Co. ACE, as it's called, started business in November; it offers its own shareholders and other companies high-risk coverage that big casualty insurers are unwilling to write. The guiding hand behind ACE's creation is Marsh & McLennan, the world's largest insurance broker. Early in 1985 Marsh got worried when it discovered that insurers were writing 30% to 50% fewer high risk policies than the year before. In the insurance industry a high risk is any catastrophic event with the potential for huge liability losses. Since Marsh & McLennan couldn't find enough insurance for its clients, the broker persuaded some of them to sponsor the new company. Annual premiums range from $100,000 to more than $2.5 million. That's at the high end of what other insurers charge. Companies aren't balking at the prices. Says ACE Chairman John R. Cox, 53, former president of INA, a casualty insurer, ''If you're running a large industrial corporation, you don't want to bet your company every morning because you can't buy insurance.'' ACE payouts top out at $100 million for risks such as product liability. That would not be enough to cover enormous product liability suits: A.H. Robins has already paid some $520 million in 9,450 cases involving its intrauterine contraceptive device, the Dalkon Shield. The new insurer also offers up to $50 million in hard-to-get protection for corporate directors and officers against litigation-prone stockholders. To qualify for so-called D&O insurance, companies must have at least $25 million in such insurance from other underwriters. Some risks ACE refuses to cover. Among them are airline and nuclear accidents. For the sponsors, potential earnings will be tax free because the company is chartered in the Cayman Islands and operates out of Bermuda. ACE differs in an important respect from the offshore captive insurers industrial companies have set up: it is independent, so policyholders can deduct their premiums for tax purposes. ACE policies are unique in that they bar going to court. Disputes between the insurer and policyholders must be settled by arbitration in London, far away from the tangle of state and federal jurisdictions.