Incurred medical epenses between job. Can I retroactively apply for COBRA?

Hi,I changed my job voluntary and my last date of employment was 04/24/2009 and usually my employer is giving me salary of current month after 1 month means I got salary of ending period of 04/24/2009 on 05/22/2009.Due to some circumstances, I have to used my old employer health insurance between 04/24/2009 to 05/31/2009 but every time before going to hospital / pharmacy, I called insurance company and ask my health insurance plan is valid or not and they said it is active that’s why I used my old employer health insurance plan.On 05/28/2009, my old employer informed insurance company to terminate my health insurance plan from 04/24/2009 & my new employer insurance is started on 06/01/2009.My old employer didn’t inform me about COBRA Insurance as well as they are terminating my health insurance plan.Now insurance company is declined my all medical claims which I used between 04/24/2009 to 05/31/2009 which is around $ 5,000.00.Is there any way I apply for COBRA Insurance or any other way to come out from these issues?Waiting for your reply.Thanks,Dhiraj Berodia.Mob. # :- 240 – 478 -0024