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... so I guess I would have to buy insurance from a US company even if I am a Mexican citizen, am I correct? could the ferry pilot buy such insurance?

I think you should ask either AOPA Insurance Agency (you don't have to be an AOPA member) or a Mexican aviation insurance agency to see how it should be handle. As for the ferry pilot buying the insurance, it's kinda hard to do because he's not the owner of the plane.

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