lost or stolen watch

First, make sure you follow the streps in this article:

If your Apple Watch is lost or stolen - Apple Support

Then see:

File a claim if you have AppleCare+ with Theft and Loss coverage - Apple Support

There's no Apple Care + with Theft and Loss coverage for Watch.

Apple do not sell insurance for Watches.

If you have Apple Care +, read here and see what's covered => AppleCare Products - Watch - Apple