No.
Some shipping services include insurance. The seller goes to the shipper (who apparently lost the parcel) for her refund.
Some sellers use a third party insurer like shipsurance.com. Look at their website for more information.
Some sellers self-insure against the (rare) instance of loss. This just means adding a tiny amount to every asking price or shipping price as a premium against loss. Sometimes called Cookie Jar Insurance, these tiny premiums are kept in a virtual cookie jar and losses are taken from the jar.
But if there is a loss claim, the seller refunds and then goes to the appropriate insurer to cover the loss. Don't make the buyer go to Paypal and especially don't let the claim get to the point where PP is refunding and then coming after you for their money.
