India is not an insulting name. It is just a Greek / Latin way of pronouncing 'Hindu'.It's kind of weird that India still proudly go by their colonial name as others find it quite humiliating.
Most of the former colonies changed their names after decolonization, except for India, some sub-saharan African countries and small island states.
Due to Sindhu river, the people on this side of the river were called Hindu by Persians. Greeks heard this from Persians and due to no 'H' in their pronunciation, called it Indu which became India later.