People buy auto insurance because the law requires them to.
When I was younger and it was not required, there was a thriving car insurance business. It was a very prudent thing to have. But as is the case with health insurance today, not everybody had it. Some liked to fly without a net. I even did for a bit.
Many do. You can argue prudence and risk, but the fact is that the state requires it. You can't get your car regisrered or your license renewed in Missouri without proof in insurance. Get pulled over and failure to show insurance results in an additional charge. Remove those legal requirements and a much larger percentage of your population will drop their insurance altogether.