Aside from multi-country consortiums like the ones I listed above, it is *sometimes* possible to buy insurance for the next country before arriving at the border. As GenXrider says, in most cases there is no reason to bother (and many reasons NOT to bother), but sometimes it's worthwhile, or even the only way it can be done.
The first examples coming to mind are Mexico, where an on-line purchase in advance can be cheaper and offer more choices, and Guyana (or Suriname, I honestly forget which), where advance purchase is required because they won't otherwise let you on the river ferry which connects the two countries. In the latter case, you learn this by paying attention to all the many streams of information available these days, and you include it in your plans--this normally means arriving the day before you plan to take the ferry in order to purchase insurance in person at the only place which sells it, then spending the night before waking up early to queue for the only boat of the day.
To repeat: you learn all this stuff by listening, reading, asking, and consulting Google frequently. Regular perusal of The HUBB will load you up with an astonishing amount of information, some of which will turn out to be essential. Every country is a little bit different, and sometimes the rules change abruptly for no apparent reason. But remember that lots of people have done it before you, and if they can do it probably so can you.
Hope that's helpful.
Mark
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