As people said above. It really makes me frustrated when the package was label "delivered" and is not there.

As people said, FedEx/UPS has a claim service.
FedEx is easier and faster in that area than UPS.

FedEx Ground usually have upto 100, and 500 for express even without sender purchasing the insurance.
Even with FedEx, it usually takes about 1-2 weeks for you to receive a check.
They tend to send the claim to sender as well, so you might need to talk with seller about claim.