Being in a smaller company means typically you can be more involved and potentially see and learn more in terms of breadth of experience than with consultancy.
I don't think this is necessarily true all the time. My first job was at small company and I worked there for just over 5 years whilst getting close to qualification. Yes, you're exposed to a lot within the space that you're in, but that's part of the problem - i.e. the space itself can be fairly confined. So even though you're taking care of projects from start to end and having to consider and communicate with a much wider range of stakeholders than you might do if you're in a large company and have fairly structured, defined roles, you're somewhat handicapped by what sorts of problems and tasks you might tackle. I would further disagree in that, if you actually worked in a large consultancy (as opposed to merely working in a large insurance company for example), you're almost certain to be exposed to a very wide range of tasks. You'll have different clients to work with and they'll all have different needs and tasks to be completed. I would think that a large consultancy provides the best opportunity for varied work.
Also, there may not be enough data always to carry out the sorts of tasks that you would typically expect actuarial analysts / graduates to get well acquainted with. (On the other hand, that sometimes means that you need to look at things in an unconventional way, which can perhaps lead to some innovative thinking.)
The other big negative I experienced was that there wasn't a solid mentor-ship plan. Sometimes in smaller companies you could be one of a few student actuarial analysts and perhaps there's a qualified actuary who's leading the team. In more extreme cases there are only students and in the most extreme, you may be the only actuarial employee. Whatever the case, the point is that you've got fewer people who've "been there and done that" to learn from. And depending on your situation, that can slow your own progress down.
...when I try to move to one after about 2-3 years. This may be complete naivety on my part though so I'd like to get some advise?
Indeed, when you try to move, you'll probably be applying for a mid-to-senior analyst type of role. Potential interviewers might identify your lack of breadth (lack of exposure to products, lack of typical actuarial analysis, lack of experience in judgement with regards to the analysis you'll be expected to perform at large companies) and if their clients are large insurers etc. that might just end up working against you. This happened with me - I felt that I'd had good pricing experience only to realise ultimately that it really was quite different to what gets done by actuaries in big companies, and that was because of not having sufficient internal data and concentrating on a few products for much too long at the start of my career. So instead of moving up to a next level, I'd almost practically found myself moving into a second entry-level position (thankfully at a big company).
