If you know what you're doing you can fight against frigates with privateers , see post #25 in
Privateers for Dummies . I've had games where my privateers were getting better than 1 frigate for 1 privateer exchange rate. Besides that my privateers were being built with drydocks getting a 50% production bonus while the frigates weren't so it wasn't hard to stay ahead in production terms. I used spies, airships and caravels to find out where the frigates were so my privateers could choose to fight or flee. Only when the enemy started using destroyers were my privateers forced to hide / upgrade.
I've used them into the modern era to do things like
this , an epic world blockade using privateers north to south (On a large map!) in 2 spots (16 total) to completely separate trade between the continents

. (All the visible tiles in the Ocean are uncovered by privateers) I can still trade resources with people on the other continent no-one else can, and I still get trade routes that pass through the blockades (big 5-7

ones

) but even the AIs I get those routes with can't have routes back

.
Best way to keep Privateers safe against destroyers is keep them away from the cities imo.
I'm not sure why
this hasn't worked though. I've made a trade embargo against Saladin (lower right) with Gilgamesh (Upper right) with me being America holding a good portion of the continent (Lower left right up to central North).
All the odd looking blocks of vision in the sea are privateers on blockade missions, the blockades prevent any link through open ocean, but somehow he still manages to trade with people

. I know its I know the pics suck for this but the only possible routes I could find were either through me or Giggles and we both were on closed borders.
Isn't closed borders meant to block trade or am I missing something?
Would Giggles and I really need to DoW Saladin to block the trade?
This was done by just WorldBuildering an old save in case your wondering