I have a multi-trip insurance policy that covers me for all of that, but it does have a minimum time that you are scheduled to be at the airport for, that is, it won't insure really tight connections, but when I was worried about a train journey to get me to an airport, they informed me that because I was due to be there more than 2 hours before if the trains ran on time, I would be covered. The wording is:

"... you miss a connection... because of the delay of your passenger plane, ferry, cruise ship, bus, limousine, taxi or train...the vehicle must be scheduled to arrive at your point of boarding at least 2 hours before the scheduled time of departure".

It is a Canadian policy btw, if you are Canadian I will happily PM you the company information.