Everyone participating in mountain activities needs to have insurance covering search and rescue. The insurace needs to cover the activity you are going to engage in, such as skiing, ski touring, climbing and mountaineering in a high mountain environment, outside of controlled areas. In the alps, mountain rescue almost always involve helicopters (which are expensive), so it is important that your insurance will cover the cost of helicopters for search and rescue. Rescue insurance can be obtained through membership of the Austrian alpine club, which in addition will also allow you to gain discounts at most mountain huts in the alps (link below). Another option is to donate to REGA, a Swiss rescue organisation (link below)
In addition to rescue insurance, it is recommended that you sign up for a regular travel insurance which will cover in case you need to make a late cancellation of your trip (click here to see the terms and conditions for cancelling a trip).