Most car insurance policies in the UAE cover both UAE and Oman, but to be sure just say to your car insurance company at time of renting. There may be a surcharge but as I say normally this is standard. If not, you can buy special insurance for Oman on the border (note: there is a whole process of getting across the border which I'd advise you read up on as if you miss one step it can take ages). You will need to produce a valid insurance document before they'll let you cross.