Loss of earnings - proof

I am having trouble providing proof of my income as I am self employed and the insurance company wants me to provide this information to substantiate my claim. My tax return for this year was done online and to make matters worse I only had the job for a short period of time before the accident happened and have subsequently lost that position.

Can the insurance company obtain the information from the HMRC themselves?

Could someone please advise me as to what to do?