If you are in Dubai than first you have to follow these steps-
Upon receiving the police report, get it stamped by the relevant UAE court, Public Prosecution and General Directorate of Residency & Foreigners Affairs (GDRFA) in the emirate where the visa was issued.
After these endorsements, you can return the police report to the station from where you received it and they will issue you a formal ‘lost passport certificate’ in Arabic.
Based on the formal ‘lost passport certificate’, a person can apply for a new passport at his embassy/consulate in the UAE. Check with your embassy for the requirements.
When your passport is issued, you have to go back to the GDRFA to stamp your residence visa. Check with the relevant GDRFA about application and fees.
GDRFA will issue a residence visa with the same validity period as of the old visa is still valid, or it will issue a new residence permit if the visa expired while you were inside the UAE.