Claim Status is a list that can be added to from Admin -> Lists -> List Item Entry

1. Navigate to Admin -> Lists -> List Item Entry, Select the list named "Claim Status"

2. Scroll to  the bottom where the blank row is and type in the List Item Name and Description of the status you want to add:

3. There are several already added that are not able to be edited. Once you tab out or click out of the Description cell, it is saved.