And this is why I wish SSRS supported ADFS claims authentication out of the box.

If you can, a trust is the way to go. If you cannot you might need to setup some type of forms-based authentication, but I believe it will take coding on your part to get it to work.

https://msdn.microsoft.com/en-us/library/cc281383.aspx?f=255&MSPPError=-2147217396