Please check the query without using a function:
declare @T table(Insurance varchar(max))
insert into @T values ('wezembeek-oppem')
insert into @T values ('roeselare')
insert into @T values ('BRUGGE')
insert into @T values ('louvain-la-neuve')
select (
select upper(T.N.value('.', 'char(1)'))+
lower(stuff(T.N.value('.', 'varchar(max)'), 1, 1, ''))+(CASE WHEN RIGHT(T.N.value('.', 'varchar(max)'), 1)='-' THEN '' ELSE ' ' END)
from X.InsXML.nodes('/N') as T(N)
for xml path(''), type
).value('.', 'varchar(max)') as Insurance
from
(
select cast('<N>'+replace(
replace(
Insurance,
' ', '</N><N>'),
'-', '-</N><N>')+'</N>' as xml) as InsXML
from @T
) as X