Which border did you come through?
If you came from Hat Yai in Thailand and into Malaysia at AH2 it should definetively be possible to purchase insurance at the border. Its on the right hand side right after the entry point to Malaysia.
I had exactly the same problem as you, I came through at a samll bordercrossing from the Satun province of Thailand and when I asked for insurance at the border at was told it was not open or not possible or something like that and that I could get it in any bank in any town/city in Malaysia (which was pure nonsense BTW)
So I rode into Malaysia and tried to find insurance there, asked a lot of places, I sent mails, I went to insurance offices by myself and told then my wish, I made telephone calls - but to no use. In the end I choose to ride back to the main border crossing to get an insurance there - something I barly was able to.
I had a thread about it earlier on in this section but I cannot dind it for the moment.
So if you came through one of the minor crossings it should be possible if you go back to the main one like I did...
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In the end everything will be fine. If its not fine its not the end....
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