Did you buy the house as an LLC or any other type of business entity, as opposed to buying it in your own name? Reason I ask is landlord insurance, in my experience, was orders of magnitude more expensive when we owned as an LLC than when we owned as individuals.
In any case I second what Arebelspy said: you do NOT want to self-insure because all the money you think you're saving will be gone in one fell swoop if you get sued for so much as an itty-bitty slip-and-fall on the front sidewalk. You're thousands of miles away and will have to hire American lawyers (NOT CHEAP!!!) yourself, to do EVERYTHING for you. You'll be out $2000 in a matter of days, with a lot more money to spend on lawyers as time goes on. The one huge thing liability insurance does that everyone seems to forget is...
...wait for it...
GIVES YOU FREE LAWYERS if you get sued.
So yeah, in your shoes--that is, faced with a ridiculous quote for insurance--I would consider self-insuring FOR THE PROPERTY ITSELF, but ABSOLUTELY buying LIABILITY insurance. If your roof falls in, that's a repair cost out of your pocket. If your roof falls in and hurts someone, that's where your liability insurance and free lawyers come in.