I’m a fan of this but unsure if the core team thinks the ecosystem is ready for this type of product yet.
Here is more information for options for today without this solution for anyone looking for a short term solution until something like this is available: What can you do with YFI?
In short, insurance needs to be purchased for multiple protocols (depending on the vault you’re in. For example for YFI v2 vault, you would need coverage for Yearn, MakerDAO, AAVE, and CREAM).
A long-term solution could also use tranches instead of insurance to provide some users with less risk for a more guaranteed return. I’ll leave it up to the big 
s to help figure out what’s best for a risk-adjusted opportunities for the community.