I haven't played the game. If the game's premise is that there's a one-of-a-kind rampage going on that's causing all sorts of mayhem that couldn't have been predicted, then I agree that buying shares in an insurance company would be a bad idea.
But if the game's premise is that the mayhem is normal within the world, then insurance would be stupid expensive. But, assuming the market can bear those prices, insurance would be a good business to be in.
It's a game where getting into a fender bender with a cop car often results in hundreds of blown up cars, numerous car-jackings, and several crashed helicopters an hour or two later, but only if your character is involved.
But if the game's premise is that the mayhem is normal within the world, then insurance would be stupid expensive. But, assuming the market can bear those prices, insurance would be a good business to be in.