While it is hard to make the case that you would be better off going outside of your company's benefits plan to purchase private health insurance, the same isn't always the case when it comes to your life insurance.
The exception to this would be employees with health issues that leave them unable to secure coverage other than through their employer's guaranteed issue program. Generally, a healthy employee may indeed find substantially lower rates through a retail insurer, so long as they are able to prove medical insurability.
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Additionally, since a younger employee is statistically more likely to change employers throughout his or her working career, there is the added concern of the portability of that life insurance when changing employers. While some group policies are indeed portable, it is usually an option available at a much higher premium, making this option cost-prohibitive.
From the insurer's perspective, there appears to be greater likelihood of adverse selection for those employees who would wish to retain their coverage. Meaning, there is greater likelihood that an employee is not considered healthy, which drives the need to retain the coverage.