As mentioned - report the missing bag to whichever airline actually operated the flight where the bag failed to be delivered to

As far as compensation goes, the airline is liable to a max of XDR1288 ( approximately $1670 ) for delay/loss of baggage. Keep receipts for anything that you need to purchase and can claim. If you have travel insurance, it will likely be much quicker and easier to claim off of insurance unless your claim will exceed the insurance limits