Insurance shock

[MyManao]

I can understand why owners would choose to self-insure..

What does that mean, exactly? 

For instance, if I am self insured, does that mean I do nothing and accept the consequences? Or is there some sort of structure, like setting aside enough money to cover the eventualities? I've had mortgages and paid conventional insurers, and had cash bought and did nothing.. but never heard of a structure where as a owner I would do something along the lines of establishing my own fund.