oh yes, Air Europa....
On my recent flight to Spain from New York, they lost my luggage. Then they found it a few days later. Upon receiving the luggage, I found that a very expensive item was stolen from my suitcase.
Same story as you: they're great at giving you the runaround -- call up, report, go to the police, fax documentation. Then they get back to me telling me I need to send the documentation by mail. All the while, my vacation is wasted on them.
At this point, it seems like it's a war of attrition. I'm not done with them, but I already have the feeling they'll find a way to not compensate me....
The only reason I flew with them is because they're part of SkyTeam and I'm a Delta Elite member. But as they say, I flew with Air Europa 3 times: a first time, a last time, and one time too many....

I have AMEX luggage insurance, and I've faxed them the documentation. I haven't heard back from them yet, but I'll keep you posted whether they are any better.