The purpose if insurance is not to help us pay for things that we literally do not have enough money to pay for. It does help in that situation, but the purpose of insurance is much broader than that. What insurance does is help us avoid large drawndowns on our accumulated wealth, in order for our wealth to gather compound interest faster.
Think about that. Even though insurance is an expected loss, it helps us earn more money in the long run. This comes back to the Kelly criterion, which teaches us that the compounding effects on wealth can make it worth paying a little up front to avoid a potential large loss later.
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