Insurance exists to transfer risks you cannot survive. That gives a simple decision rule: insure what would ruin you; self-insure what would merely annoy you. A house fire, a disability that ends your income, a serious illness, liability for injuring someone — these can be financially unrecoverable, so pay someone else to carry them. A cracked phone screen, a broken toaster, a rental car scratch — these are affordable, so carrying the risk yourself is cheaper than paying a premium plus the insurer's profit margin.
This is why extended warranties and product-protection plans are so profitable: they insure inconveniences at prices that assume you haven't done this arithmetic. The same rule explains deductibles — raising your deductible means self-insuring the small stuff and paying only for the catastrophic tail, which lowers your premium. Every insurance product priced to be profitable pays out less than it collects on average; you buy it anyway for the risks where 'on average' doesn't help you.