Select Options > Missed Reminders (Or Missed Alarms) on the Calendar application. The Missed alarm option is visible if there are missed alarms.
Note: In Symbian Anna devices the missed alarms are visible also in the notification area (top right corner) of the device. You can add Notifications widget to you home screen to see the missed calls, missed alarms etc.
Note: In Nokia Belle devices the missed alarms are visible also behind the pull down menu in the Notification bar.