Make sure you file a claim with your insurance company and you have a picture of the jewelry. Some insurance companies require that you have a police report to prove you are not trying to be deceitful. And the picture can be distributed to pawn shops to see if anyone has tried to pawn it.
First off file a report with your local police department if you haven't done that yet. After you have a copy of the police report contact your insurance company and inform them the ring has been stolen and that you have a police report. They will help you from there.
Gather all pictures, documentation, etc concerning the ring. Then report the time, date and approximate area the ring was stolen in. Include a copy of police report if needed.