Do you mean a warranty or insurance? If you file an insurance claim for a lost phone, they will blacklist the old phone, charge you the appropriate fee and send you another phone. Last I checked the insurance company was Assurion. This is the standard policy and if you signed up for it, you agreed to it.
If you are talking about a manufacturer's warranty which is typically one year; that requires that you take the phone to a corporate store or ship it off to Samsung. I am not sure if the corporate store helps with the process.
It honestly sounds like you are trying to "get around" one of these systems which will not be discussed in any way on these forums per policy. You are correct, you bought the phone, paid full price and it is your phone. If you do not want it to be blacklisted/deactivated, do not report it lost or stolen. Simple as that.