Good outside travel insurance won't take away the frustration of lost baggage. It will allow you to be reimbursed for the lost luggage, shipping costs and other expenses you may occur from travel mishaps like this. Good insurance is more than cancellation protection, it will cover this sort of thing (that happens all to often) as well.
I'm very sorry that you're going through this mess sjn. I hope in the long run they find and return your luggage in the condition you left it.