There isn't one. Mainly because it is not needed. There is no present perfect, either. "should have" is a kind of past tense. Compare it to the past simple of other verbs and you will realise this.
So, you may wonder about reported speech, right? Well,when reporting "should have", you simply use "should have". Such is English!
"You shouldn't have put that arrow in your head."
He said I shouldn't have put that arrow in my head.