And even if you don't have the assets, you can self-insure the first few million USD, and use reinsurance for the rest.

That's what insurance companies do for risks with a long tail.

Think of it as buying car insurance with a very high excess. Those can be very cheap.

I have always wished that I could as an individual could reinsure my long tail risk. I am happy to take on the risk that I can afford to lose and just let me pass on the risk I can't.

If you chat with the right insurance agent, that might be possible. While it wouldn't go by the name 'reinsurance', look for a policy with a large deductible and a large maximum payout.

I recently did for a sports club. It wasn't an option.

Thing is, insurers live by the law of large numbers (https://en.wikipedia.org/wiki/Law_of_large_numbers).

Cutting away the high risk, low payout parts of the insurance decreases the number of payouts significantly. That does mean variance in payouts goes up.

So, insurers will either need to find lots of new customers to get N up again, or relatively high amounts of capital to survive those high payouts.

If they think they cannot find those customers, they need more capital. To finance that, they need more income, which means charging you more, which means fewer customers, which means charging you even more, etc.

I'm sure you get that insurance through Lloyd's, but it wouldn't be cheap.

I'm fairly certain there are policies designed for high net worth individuals who can cover the first million in losses themselves but don't want to be exposed to long tail risk. I've definitely heard people talking about it, particularly for real estate.

If reinsurance is available to insurance companies there is nothing in theory stopping it being available to individuals. This sounds like a market that is ripe for disintermediation.

They have programs like these for health care in the US. Can be quite cheap, if you can stomach paying the first 6k USD (per year or so?) yourself.

I am in Australia so I am not concerned about health insurance - more things like house, disability and car insurance. I can afford to carry quite a bit of risk, it is just the long tail that is an issue.

For disability insurance, I assume a high excess would translate into a longer time before the insurance kicks in?

For car insurance, isn't an excess you can choose a standard feature? (Some insurance companies give you a no-claims rebase, which is the same as a high excess---only shifted in time.) I don't know about house insurance. What does house insurance insure against?