How to file a case in consumer forum?

I have invested in bajaj allianz life insurance company.i have paid Rs 10000 every six months(not on regular basis).I have paid 7 installments instead of six as per requirement of policy.In the annual statement send by bajaj my alloted shares has been sold without informing me and again purchased back at higher rate than it was sold.it incurred me a heavy loss.what to do please suggest.