The best thing for you to do is to buy insurance that will start at the moment the ferry pilot picks it up. Like Jeff said, the owner most likely will cancel his policy as soon as the money changes hands; the plane is no longer his, why would he want to provide coverage for it.

Since you're in Mexico, you'll have to make sure that your insurance policy covers the ferry flight in the US. The ferry pilot needs to be included in your policy, either by specifying his name or by the clause "any qualified pilot flying the plane with owner's permission". I don't think you can find any agency that will sell a short-tem policy to cover only the ferry flight.

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