Damage to, or loss of, baggage should be reported immediately and personally to a representative of the airline company at the airport. You will be given a copy of the registration of the loss baggage - a so-called PIR-report. Should anything happen to your baggage, you will be reimbursed in accordance with the existing airline company rules.
Please note that the airline’s reimbursement for lost of damaged baggage is limited. If you have travel, or home, insurance, this normally also covers damaged or lost baggage. Ask your insurance company for the details.