I think people are confusing health insurance and life insurance .
As far as health insurance goes, I've never heard of companies discriminating against climbers. But when it comes to life insurance, I think they do. If you sign up for life insurance, they ask you tons of questions, including questions about what dangerous sports you participate in. I believe the life insurance companies can deny coverage if you die doing those dangerous sports. If you lie on the application and tell them you don't climb and then you go off and die climbing or base jumping and they found out you lied (ie climbed at time of application) then your family could be screwed. Wasn't there a discussion on the life insurance issue on cc.com a while back?
On another note - you always hear people saying that driving is more dangerous than climbing, but is it? Or is it just a way for climbers to tell themselves their sport isn't that dangerous. Where's the data? Is it based on per capita or total accidents? I guess to really answer this question you have to take a look at different sub-groups within climbing as well and compare them. Bouldering not dangerous (unless you're climbing 30' highballs), free soloing himalayan alpine routes dangerous. Discuss.