In rare cases (<1%) shipments are lost forever. We do all we can to prevent it, including great packaging, bar-coded labels and address verification for both US and international address.
For both US and International, shipments are regarded as lost after 1 calendar month. We do not insure most USPS shipments as the cost is disproportionate to the value of the contents, so to minimize our overheads we do ask that a full month passes before requesting replacement items.
The majority of 'lost' packages do eventually show up, as the most common issue is the mail carrier just delivering to your neighbor, so if the package shows as delivered, but you don't have it, give it a couple of days for things to shuffle around.