In the Project Window, click on the Gears icon in the title bar 
and deselect “Compact Empty Middle Packages”. Then you can separately select the report package and rename it.
See also: http://www.jetbrains.com/idea/webhelp/project-tool-window.html#d242351e401
N.B. As of IntelliJ IDEA 2016.3, there is a bug in the menu and when the option is selected, it has a different label “Hide Empty Middle Packages”, see https://youtrack.jetbrains.com/issue/IDEA-168362.