Question: that E[L(, )] = P{ } L(, u)d F(u) P{ } L(, u)d F(u) = E[L(, )].]

that Eθ[L(θ, θ)] = Pθ{θ∗ ≤ θ}

L(θ, u)d F(u)

≤ Pθ{θ∗ ≤ θ}

L(θ, u)d F∗(u) = Eθ[L(θ, θ∗

)].]

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