Claudia ... Calm down !! I'm not advocating anything but just saying it is perfectly possible . I know of some helicopters that worked abroad ( illegally re reg and licences ) and they had insurance cover with the full knowledge of the insurance company . I don't think it would be illegal to offer cover based upon the insurance companies own view of the risk .
If I had an insurance company I wouldn't hesitate to cover a helicopter flying from A to B , even if part of the airspace meant a different licence was required !
( obviously so long as it wasn't an R22 ...!)