How many times have your house burned down?
Events worth insuring against are so rare that you can't use experience from the last time to pick a better insurance company.
Hence, why the market is regulated.
Actually, I think my both renters and auto insurance contains a legal assistance insurance component, which is probably useful if I need to sue the insurance company :)
(I'm not sure it's as large as it ought to be, but the idea is nice)