You can add an insurance value to your UPS shipments by adding the 'Insured' enhancement to your UPS shipping rules:
This will add insurance to the total value of the shipment as sent to Shiptheory from your sales channel.
For multi-parcel shipments, the total value is equally divided between each parcel in the shipment, e.g. For a £1000 shipment of 4 parcels, each parcel will be insured to £250.