Death insurance would defeat the purpose of the gold loss, which is to prevent people from doing things they know are dangerous because death doesn't matter. So in short, yes it would be good for the player, but bad for the server because we WANT death to suck.
Logging out while your character is dead is illegal on a number of servers, maybe we can try that. I also log off when I'm dead, but if it's against the rules I wouldn't.