An insult is something negative that somebody says or does to you that would make you feel offended or degraded. To have an insult, you must have somebody doing the insulting and somebody to be insulted.
Embarrassed is when you feel uncomfortable around other people. Say your pants rip or you spill sauce on your shirt. You would feel embarrassed to be seen by other people.
Humiliation is to feel embarrassed to the point of feeling ashamed. It is embarrassment to a greater degree.
A person caught for stealing money from the company he works for would feel humiliation if the police arrest him in front of his neighbors.
You might be able to laugh about an incident that made you feel embarrassed, but not one that made you feel humiliated.