No, neither is correct.
"We have a project insurance policy. [Someone or something] will check with the insurance team whether the below mentioned loss of damage is covered or not."
"We have a ... policy" or "We have insurance".
You can't join two sentences with a comma, and the second needs a subject.
If you have insurance, you are covered. If you have fire insurance, you don't become covered if a fire breaks out; you are already covered or you are not.
You can't use "will be cover" - it's wrong. It's "covered" no matter what modal or auxiliary verb you use.
Student or Learner