Here's a solid synopsis of Penalties for NOT having Workers Comp Insurance.
RED CARD. You're out of the Match, and probably not going to get back on the pitch of business for some time. This includes lapses in coverage. Meaning, you get WC, and then forget to pay it for a while, you might have trouble finding a carrier to cover you.
There's always SCIF: State of California Insurance Fund. They'll take anybody, but they are also the most expensive.