Yes. Well, at least there was fantasy football insurance. Our research shows that FantasyPlayerProtect (FPP) offered the first fantasy insurance product in 2014. Several other fantasy insurance companies popped up after that, but as of this writing it appears that the last couple options may have died off after the 2021 season.
With fantasy sports insurance you would choose specific players that you would like to insure, and if they miss a certain number of games due to injury then you would get paid out. Premiums were set based on a player's injury history.