Interestingly, I recently modified my home insurance policy to cover my camera gear at home and abroad against theft, accidental damage etc. The increased cover, up to 90 days abroad for a total "Full Camera bag" value of £3000 was £7 per month. I asked about my 70-200mm f2.8, as I bought that second hand for ~£945, and they said that the policy is new for old, regardless of whether the item was actually new when bought... I asked the guy to confirm that if I dropped my £945 lens into a river, that they would cover me for a brand new, retail lens currently selling for £1500 and he said "Yes, we would look to have the finds for replacement with you within 7 days, maybe 10 if you are abroad"
So depending on your moral compass, just make sure your grey market camera is well insured!