Well you know I was. Even though I've gotten some nasty hate mail from posters around here, no one has yet come up with a decent argument as to why lifetime income for part of your money isn't a good idea.
To answer your very valid concern, this would be a very good reason to research the insurance company selected. IF the insurance company went belly up, there are safety features in effect to help pass along policies to other insurance companies, but the bottom line answer is, just like a bank or mutual fund going belly up, your assets are kept in a separate fund and you would get back whatever the value of your portfolio was at the time.
I think someone such as yourself follows the market closely enough that you would see the insurance company's share price dropping and you could move the money elsewhere or just take it out of the account.
I'd say if there's anything we are learning of late, is that the government steps in to save large corporations from disaster.
What happens if your bank where you buy your CD's goes belly up? Insurance companies are larger than banks.