It depends on the characteristics and exposures of the risk you're insuring.

Managing the cost of risk can be done in a few ways, but assuming you're talking about personal lines your best bet is balancing risk transfer (insurance) and risk retention (deductibles). For example, having a $0 deductible on your car insurance typically isn't worth the additional premium it costs you. You're better off retaining losses below a dollar threshold where you're comfortable, because first dollar coverage is expensive as shit.

I work in the commercial E&S sector, so that's where my expertise is, but the same fundamental concept of managing the cost of risk applies to any individual, or organization.