This study is set out to explore how cognitive biases, gambler’s fallacy and hot hand effect, exert an effect on individual crop insurance purchase decision. A laboratory experiment comprised of two separate games was used to establish an insurance purchase environment to induce individual’s behavior. The gambler’s fallacy and hot hand effect failed to be found in the experiment. But the subjects’ perceived probability of loss plays a significant role in determine their purchase decisions—the higher probability they predicted, the more likely to buy insurance they were. It is also fascinating to find that the longer the exposure to random risks the subjects had, the more willing to engage in insurance protection they were.