I think its an international convention that whichever airline handled the bags last before a theft was discovered, must take the claim. They will require a police report in any event.

When I had things stolen out of my checked bags, the airline (a good one!) said I should claim off my travel insurance first. The travel insurer said I should claim off the airline first. Because the travel poilcy had an excess, that silly stand-off got resolved pretty easily, but be prepared for a similar thing and be prepared to be firm with the airline.