how to record a incoming call

I believe you can, maybe not directly with your iphone, but I believe you could using your computer. If you have Quick Time Player or something like that, you could open a new audio recording, then just open your speakerphone during the call.

Im not aware of whether there is a privacy law on this issue. The insurance company is probably recording the call anyway. But you may want to let the agent know that you are recording so that you don't have to take notes.

No. You would have to use a 3rd party service for that, which involves routing all of your calls through their servers.

Call recording is heavily regulated in most of the world.