The insurance policy provided by the employer ceases to cover you once you leave your company. Also, health insurance policies have a Waiting Period for specific illnesses, during which you cannot raise a claim. The earlier you purchase a policy (and renew the same), the Waiting Period gets exhausted and you are eligible to claim for all ailments as per the policy's terms and conditions. Once you have an Individual Health Insurance policy, the coverage is continuous and not dependent on the insurance cover offered by the employer.