After integrating with Nexus Mutual, the issue with buying insurance on Yearn is that there is no available cover to buy. I think a good way to increase cover is to create a new vault where users stake $WNXM, the vault converts it to $NXM, and stakes it on the Yearn contract so users can buy insurance.
Also, Yearn can use a small % of vault profits to buy cover as well so the entire ecosystem is protected against vulnerabilities.