It's a strange thing about English: we never use "an" or "a" with insurance. We do use "the" if it's a specific noun ("I have the insurance that my company offers"), but if it's a general one, we don't use an article. We just say "I have auto insurance" or "I don't have health insurance" or whatever.
(I guess it's that we consider insurance uncountable. I have water, I have bread, I have insurance...)