Hi Jamansuy
Most travel insurance policies provide cover for the following:-
Missed Departure - Covering you for any additional transport and accomodation charges to get you to your final destination if you are delayed on your way to the first international departure point.
Travel Delay - A compensation payment if the take off of your first international flight is delayed for more than a specific time (normally around 12 hours). The benefit payable is quite low and is to cover costs incurred for food, drink, magazines etc. After a period of time (againg usually 12 hours) you can elect to cancel the entire trip.
The cover that you are after is Missed Connection, this would provide cover for any additional charges incurred to get you to your final destination if you arrive too late to make any of your connecting flights. Unfortunately this cover is rarely available now and none of the main policies seem to cover it.
It may be that the airlines that you are being carried by offer some protection so it would be worth contacting them to find out what happens if the flight from London to Sao Paulo is delayed causing you to miss the connecting flight.
Hope this helps