Stolen iPhone

Do you have AppleCare+ with theft and loss coverage? If so, use the file a claim page -> File an iPhone Theft and Loss Claim - Official Apple Support.

IF you have plain AppleCare+ or just the default one year warranty, those do not cover theft.

If your insurance is not through AppleCare+ with theft and loss coverage, contact your insurer about filing a claim.

"File a claim" ... with what agency? What makes you think you have a theft protection?