The question is still very general, so maybe my answer will be, too. Mind you, even in Europe almost every country has their very own pension scheme.
I think the main question is who is the direct owner of the funds in the pension plan. Is it you, or is it the insurance?
If you are the owner and the insurance just manages the money on your behalf, then all investments on the account that are not directly issued by the insurance would not be affected by a bankruptcy. Example: your pension portfolio consists of a few mutual funds and a note issued by your insurance. Only the latter would be affected.
If, however, the insurance owns the funds and just has an obligation to pay you in the future, all invested funds would be, theoretically, endangered in case the insurance goes bankrupt.
Which brings us to the question of rating. A BBB rating which is still considered investment grade had a long term historical default rate of about 0.3%, or 1 in 300. That's a very low probability. Plus, a default doesn't mean you lose all your money, recovery rates are typically very high with high grade issuers. Here is an interesting article on credit ratings if you wish to know more.
Personally, I wouldn't worry with this kind of risk. But ratings can change. If it drops below investment grade, you might consider switching.