Yes! - Alien Abduction Insurance is an insurance policy issued against alien abduction.¹

Alien abduction defined as: "subjectively real memories of being taken secretly and/or against one's will by apparently nonhuman entities and subjected to complex physical and psychological procedures." source: Wikipedia

Over 20,000 people have purchased this type of insurance policy.¹ via ²

Some companies offer policies for alien pregnancy. ¹ via ³

¹ http://en.wikipedia.org/wiki/Alien_abduction_insurance

² http://findarticles.com/p/articles/mi_m1318/is_n10_v52/ai_21136401/

³ http://ojar.com/view_13190.htm