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Setting up your own email server is definitely the way to go. It can be
difficult, but it's not nearly as hard as some on the Internet would have you
believe.
I, and I'm sure many others here, will be happy to provide help and advice if
needed.
You can even install a mail server on a small, low-power platform like the
Raspberry Pi, or similar devices, so it needn't cost a fortune in hardware
and electricity.
(Although I believe it's currently impossible to boot the Rπ without a
proprietary firmware blob. ymmv).
And of course, it goes without saying to use GPG wherever possible. :-)
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