Okay, I can answer this question from the perspective of my research. I would not always agree with your reasoning why reinsurance is relatively more expensive than post-loss funding: in some reinsurance arrangements (but not all), from what I know the reinsurers do get their money back (as odd as that may sound), but in other ways (the types of other ways are not relevant for the ARM course objectives).
The reason for the difference in costs is as follows.
Insurers have two options to protect themselves from super-large losses (e.g. catastrophe-related losses): they can either reinsure it or they can securitise it in the capital markets. The latter markets (which are your investment markets) are much larger and less interlinked than the reinsurance markets, hence the latter are argued to have a much larger appetite for such risks. Therefore, investors in the capital markets (i.e. those who provide post-loss funding) will be willing to pay less to take on this risk (via bespoke post-loss funding arrangements). However, the reinsurance markets are comparatively much smaller and much more interlinked than the capital markets; hence, they will charge more to take on the risk of large losses (e.g. catastrophe risks).
For interest's sake, note that governments are one of the largest providers of post loss funding in the capital markets.
I hope this clears things up.