Nephila Capital Limited was founded in 1997 in London as part of Willis Limited, at the time the world's third largest reinsurance broker. As part of its growth strategy, the company relocated to Bermuda in 1999 in order to establish a local presence and to deepen existing relationships in the world's largest catastrophe reinsurance center.

Nephila's investment philosophy is based on the premise there is no natural counterparty for insurance companies who are therefore willing to pay a premium for reinsurance and that institutional investors are attracted to the non-correlated returns offered by insurance linked instruments. The instruments in which Nephila invests have evolved over time, along with investors’ risk appetite. The company currently manages multiple investment vehicles exclusively for sophisticated institutional investors. In addition to insurance linked instruments, which are predominantly focused on natural catastrophe risk, the company has been trading weather risk since 2000 and launched a dedicated weather vehicle in 2005.

Nephila relocated from London to Bermuda in 1999. At the time Bermuda was viewed as a rapidly evolving reinsurance market and the move was considered essential to grow the business and to deepen the existing relationships within the reinsurance market. Bermuda has since proven to be the jurisdiction of choice for many reinsurance companies, as demonstrated by the number of start-up companies following the terrorist attacks of Sept. 11, 2001 and the hurricanes of 2005. Bermuda is considered the center of catastrophe reinsurance expertise, and is now one of the largest reinsurance markets in the world, estimated to provide over 50% of the worldwide property catastrophe capacity.

In 2010 Nephila Advisors LLC was established, predominantly to assist in investor relations, develop strategic trading relationships and business development in the United States.