"Policy" is another name for the numbers. From Wikipedia (the opening paragraph of a longer article):

"The numbers game, or policy racket, is an illegal lottery played mostly in poor neighborhoods in U.S. cities, wherein the bettor attempts to pick three or four digits to match those that will be randomly drawn the following day. The gambler places his or her bet with a bookie at a tavern, or other semi-private place that acts as a betting parlor. A runner carries the money and betting slips between the betting parlors and the headquarters, called a "numbers bank" or 'policy bank.' The name 'policy' is from a similarity to cheap insurance, both seen as a gamble on the future."