Nope, it doesn't work like that. Insurance is about reducing variance. If I know the chance of crashing my car and losing a leg is exactly 1 / 50000 (per year)

Nope, it doesn't work like that. Insurance is about reducing variance. If I know the chance of crashing my car and losing a leg is exactly 1 / 50000 (per year), and if I can insure against that at roughly that rate, I would still get insurance, because $20 bucks a year doesn't affect my life, but a million will help a lot when I do lose that leg. In this case risk is still pooled and the insurance company can still function because the misfortune of the individual is paid for by the more fortunate. There is still a need for insurance companies exist in a world with perfect information. Of course the insurance rates would shift. For example, when in a large group of people a few have a high chance of an expensive disease the insurance company wouldn't give the same rate to everybody. You'd still want to get insurance, though.