## LESSWRONGLW

Well, let me unroll what I had in mind.

Imagine that you need to estimate a single value, a real number, and your loss function is highly skewed. For me this would work as follows:

• Get a rough unbiased estimate
• Realize that I don't care about the unbiased estimate because of my loss function
• Construct a known-biased estimate that takes into account my loss function
• Take this known-biased estimate as the estimate that I'll use from now on
• Formulate a course of action on the basis of the the biased estimate

The point is that on the road to deciding on the course of action it's very convenient to have a biased estimate that you will take as your working hypothesis.

Yes. My point is that this new biased estimate is not your 'real estimate' - this is simply not your best guess/posterior distribution given your information. But as I remarked above your rational actions given a skewed loss function resemble the actions of a rational agent with a less risk-averse loss function with a different estimate, so in order to determine your actions you can compute what [an agent with a less skewed loss function and your (deliberately) biased estimate] would do, and then just copy those actions.

But despite all of this, you still w... (read more)