Even if a carrier claims it is not liable for the damage, you should always attempt to file a baggage claim. If the agent won't let you, make up some excuse like I understand you guys will deny it, but I need a record of the filing for my personal insurance company. This will give you some more ammunition in case you decide to take the matter to small claims court.
If the carrier still will not let you file a claim, contact DOT ASAP (
http://airconsumer.ost.dot.gov/problems.html) and we can get the carrier to take your claim.