With FHA you have an upfront Mortgage Insurance Premium charge that is usually financed into your loan. Then you will have monthly mortgage insurance which I believe is now for 3 years. This insurance protects the lender in case of default. While it used to be that the monthly insurance required was only if you didn't have 20% down, I believe anyone who uses FHA now has to have it, but I could be wrong.
With conventional loans, anytime you have less than 20% down you will have PMI.
I recommend that you speak to your mortgage specialist for a comprehensive overview of how mortgage insurance works. But in the meantime, I hope this helps.
All my best,