From experience, losing your bag on the way home will get you pretty much nothing other than your bag, if it's found.

Normally, the only compensation anyone gets from a missing bag is reimbursement for expenses such as toiletries and underwear, and even then only when away from home. Twice I have gotten rentals (one time a tux the other golf clubs) reimbursed, but not much else.

I have learned that checking bags less than 90 minutes to departure in Denver enhanses the risk of bags not showing up, on any airline. Then again, leaving Denver was the only place my PHX bound bag went to PDX, so maybe they just need more light down in the tunnels in Denver.