Insurance *should* cost you money, on average. The point of insurance is that you are buying a reduction in the risk of experiencing large losses. Even if the carrier paid out 100% of the premiums, most people would end up spending a little more so that some people could avoid huge charges.
This is why I don't e.g. buy trip insurance most of the time, nor do I buy the extended warranties on most electronics. I'm willing to just eat the loss if something goes wrong with those. But, for a large non-refundable trip (like a cruise) I buy it.
Some of this is hidden by employer contributions. For example, mine pays the full cost of premiums for a basic dental plan. It covers routine cleanings and preventative care. I think I pay all (or maybe just most) of any other work. I can kick in to get better coverage, but our teeth are generally in good shape, so I haven't bothered.