First, ask your airline because they usually have policies that cover lost baggage. If they don't have that, turn to your travel insurance company instead. After confirming the loss of your baggage with the airline desk, tell them that you are making a travel insurance claim and ask for a report number as well as any other relevant documents about this loss. Next, gather all the proof that shows your ownership of those lost items (receipts, photos, etc.). Don't forget to keep your travel tags and flight tickets as evidence too. If you ever buy items to replace those items that you've lost, save the receipts too. (As always, check the fine print with your insurer to see what they will cover or not).