I think talking through the what-ifs might be helpful, too.
Saying hey, if somehow a tornado does wreck our house, we'll be sad, but then we'd go stay with grandma and grandpa while we get things fixed up. And we pay our insurance company every year so that if our house gets wrecked, they'll help us fix it back up. So we'll stay here in our safest place, and probably everything will be a-okay.