I want to sue Allianz

I have been fighting with Allianz and their under writer Jefferson Insurance Company for over 2 months over medical and travel claims made while traveling abroad. They have denied all my expenses and giving denial reasons that are not stated anywhere in my policy. What can I do? I want to sue them for all the medical and travel expenses related to my illness as well as the countless days I have wasted dealing with a complete incompetent at Jefferson.