One very important aspect when moving from Cobra to PMI is the state you live in.
I live in Washington State and just exhausted my Cobra and purchased private insurance. However, I did not have to fill out a health questionnaire or go through underwriting. I was accepted without concern over pre-existing coverage or higher HIPAA prices. WA law says that since I had 24 months of continuous prior coverage and had exhausted/declined Cobra, I had to be granted coverage.
This same rule applied to our kids who just relocated (laid off) and needed private insurance. They had prior coverage in a different state and had the option of Cobra, but at greater expense than private insurance.
My understanding is that WA has what is called 'Modified Guaranteed Issue and Community Rating' for Health Insurance - the former was what meant no underwriting or exclusions and the latter meant a fixed premium for an age group, regardless of history.
Other states have various levels of Guaranteed Issue - this table