It seems like you want to pivot on the Month instead of ClaimCode.

Then tweak the original script to the following script.
SELECT LossStatCode,ClaimCode,[2009-10] as Month0910,[2009-11] as Month0911,[2009-12] as Month0912,[2010-01] as Month1001,[2010-02] as Month1002
FROM
(SELECT CurrentLossReserve, ClaimCode, LossStatCode, Convert(varchar(7),DateReport,121) [YYYYMM]
FROM tblClaims) p
PIVOT
(
SUM (CurrentLossReserve)
FOR [YYYYMM] IN
( [2009-10],[2009-11],[2009-12],[2010-01],[2010-02],[2010-03])
) AS pvt
ORDER BY LossStatCode

As the count of YYYYMM is limited and known, you may not have problem typing the target month range.