[vurpo]

There are issues that game theory can't solve. Take for example the St. Petersburg paradox. From Wikipedia:

"A casino offers a game of chance for a single player in which a fair coin is tossed at each stage. The initial stake begins at 2 dollars and is doubled every time heads appears. The first time tails appears, the game ends and the player wins whatever is in the pot. Thus the player wins 2 dollars if tails appears on the first toss, 4 dollars if heads appears on the first toss and tails on the second, 8 dollars if heads appears on the first two tosses and tails on the third, and so on. Mathematically, the player wins 2^(k+1) dollars, where k is the number of consecutive head tosses. What would be a fair price to pay the casino for entering the game?"

The expectation value for how much you'll win from this game is infinite, so a naive game theory assessment might conclude that it's worth paying up to an infinite amount of money to play this game.

Of course, the issue is that nobody has an infinite amount of dollars in their pocket. That, incidentally, is also the issue with your naive assessment of insurance policies.