LONDON—Lloyd’s of London insurer Chaucer Holdings P.L.C. is considering relocating outside the United Kingdom to reduce its tax bill, a report said Tuesday.

Chief Executive Officer Robert Stuchbery said Chaucer’s peers have an advantage over the firm when it comes to taxes, according to Bloomberg news service. He declined to identify potential locations.

Chaucer, Amlin P.L.C. and Novae Group P.L.C. are the only three of 19 publicly traded Lloyd’s insurers headquartered in the United Kingdom, Bloomberg reported.

Bloomberg said Brit Insurance Holdings N.V. and Beazley P.L.C. last year said they plan to move to the Netherlands and Ireland, respectively, while Hiscox Ltd., Omega Insurance Holdings Ltd. and Hardy Underwriting Bermuda Ltd. moved previously to Bermuda.

The U.K.’s corporate tax rate is 28% and is the eighth-highest among the 27 members of the European Union, according to the report.