Yes but this kind of thing generally falls under "act of god" which you simply cannot buy insurance against.

Now I'd be curious to see SXSW's actual insurance policy, but honestly I don't believe there's anything available they could possibly have done to protect against this.

Force majeure. If that would not be in insurance agreements then every insurance company in the world could go broke in case of a pandemic.

Shouldn't actuaries take this possibility into account?

I am sure they do and that is why it exist. Basically, it is an exemption for Black Swan events that affects a lot of people at the same time.