Bobby I would say the shipping insurance should be in your FFL's name since it is already booked as a transfer to him. Otherwise there'd be no insurable interest.

Whenever I have been faced with the situation you have, I've insisted the buyer pay the expense of the shipping FFL as well as the receiving FFL. I insist on an extra transfer fee in case the buyer returns the gun to my FFL and he has to book the gun back out to me. I refund the extra transfer fee if the buyer keeps the gun...Geo