To share with you the experience I have had together with the problems that there is with car hire at Malaga Airport, there are two things to be aware of:

1. Get full tank, leave as empty as possible. This was standard until last year. Many clients felt tricked since they didn't want to take a chance running out of fuel on their way to the Airport. And many didn't use all fuel. So the government put pressure on that they need to refund for the remaining fuel. Some of the Company now also offer "get full tank, leave full tank". The price for the petrol/diesel is high, but you have to accept this.
   
2. Insurance. This is still a very big problem. Normally there is a basic Insurance. Then you will be offered an extra Insurance (covering things the basic Insurance don't cover). If you don't take that Insurance they will reserve betweeen €300-€1600 (even more if you rent a very expensive car) on your debet/creditcard and will charge you for all damage.
   

My recommendations about Insurance is to either pay with a card that have an rent-a-car-Insurance and to accept the reservation/security deposit. Or to buy the Insurance locally (not the one offered on the websites, since they are not connected to the rent-a-car-portals I have recommend above) and to see the rental price together with the Insurance (€12-25/day depending on car category) as what it cost.