If you can make your connection, your bag almost certainly will. Thus, it is the least of your worries.
In the event that your bag is delayed, SK will be responsible for your interim reasonable necessities up to a maximum of EUR 1,150. If the bag is lost, after 20 days, the fair market value of the losses less any interim payments.
Baggage insurance is most often included in more comprehensive policies and can be worthwhile because it may pay out more easily and in greater amounts (if you have expensive clothing which is hard to replace).
As always, it makes sense to travel with your first 3-4 days of clothing given the generous carry-on allowances and stress-reducing impact of not having to run around shopping.