Market Failures?

My Wednesday evening flight from Newark to Ohio got cancelled due to weather, but I didn't learn of the cancellation until I arrived at the airport. Continental never notified me of the cancellation (via e-mail or phone), yet refused to pay for my cab fare back to the City or to an alternative flight out of LaGuardia; their "weather policy" doesn't "permit" such an accommodation.

Why isn't there a market for travel weather insurance? I'm risk averse, so I think I'd be willing to pay a few extra bucks for a guarantee that the airline will do everything in its power to get me to my destination on time come hell or high water. But it's not even a choice available to me.

We're looking at a market with very few large firms. Is the problem I described an example of one of those large firms flexing its market power?

Now, market advocates might say that we're not necessarily witnessing market power. Perhaps the transaction costs of negotiating the terms of such a contract would outweigh whatever consumer and producer surpluses it created. Or maybe such terms are--in most passengers' eyes--advantageous, because they save passengers a few bucks.

Thoughts?