I haven't used my Claro phone outside of Peru. But just to be sure, I can suggest checking your phone first: insert Movistar or any other provider's SIM card in your phone and see if it connects to that network. If not, it means your phone is locked by Claro.
In this case, you can unlock it by going to Claro website to get a code for unlocking http://www.claro.com.pe/wps/portal/pe/s ... esbloqueo/
or by going to Claro office to have them unlock it for you. Claro announced this unlocking service starting Jan 2 this year, sent me a text that it's free of charge, not sure if any conditions apply though. Hope this helps:-)