Open Question: Insurance Policy Canceled...?

Okay my Insurance policy was canceled because I moved and they raised the premium. They said that they sent me a letter which I never received. I have been making my monthly payments as normal. When I renewed my policy in January the agent told me to go online to the DMV and switch over to the new address because it would make my Insurance cheaper. This is what I did. Well one of my cars was stolen this weekend and now they are saying that my insurance is canceled because when I did the address changed it raised the premium. Since I did not pay the additional premium because I never received the letter they are saying there is nothing they can do. The canceled the policy 5/27 car was stolen 5/28 go figure! Is there anything that can be done?