Neyman-Pearson classification has been studied in several articles before. But they all proceeded in the classes of indicator functions with indicator function as the loss function, which make the calculation to be difficult. This paper investigates Neyman-Pearson classification with convex loss function in the arbitrary class of real measurable functions. A general condition is given under which Neyman-Pearson classification with convex loss function has the same classifier as that with indicator loss function. We give analysis to NP-ERM with convex loss function and prove it’s performance guarantees. An example of complexity penalty pair about convex loss function risk in terms of Rademacher averages is studied, which produces a tight PAC bound of the NP-ERM with convex loss function.