In a Lutheran context to speak of "assurance" is to speak of our faith, hope, and confidence in the certainty of the Gospel. It does not mean, "I am saved, and nothing I can do will ever jeopardize that", but that we are confident, according to God's promise to us, that we indeed belong to Him; as we are baptized, clothed in Christ, and have received the Holy Spirit of promise.
That assurance is the assurance of faith, the confidence of faith, to say "I am baptized!" and knowing full and well what that means according to the promise of God's gracious word.
I am confident, not by an arrogance of my own ability, but by solemn promise of God. If left up to my own devices I most certainly have no assurance, no confidence, and no hope--I am a worthless beggar, a sinner full of wrath. But it is God's good and gracious word to me that I, sinner that I am, belong to God in Christ, and He keeps me according to His own good word.
Such assurance is not bravado, it is not the arrogance of the flesh; it is faith in the Gospel, that the Gospel is true and the Gospel is Gospel.
-CryptoLutheran