In order to avoid decision makers from making wrong decisions as much as possible and reduce the losses caused by wrong decisions, a new aggregation method of interval loss function is proposed based on incomplete information system. Firstly, the missing values are filled according to their characteristics and combined with probability, and on this basis, the measurement method of similarity is given, and the horizontal similarity class of each object is obtained according to the similarity between objects. Secondly, according to the number of times each object in the similar class appears in its corresponding horizontal similar class, the corresponding weight is obtained; Then the interval loss function of similar class is defined as the aggregation of interval loss functions of all objects in similar class, and each interval is weighted according to the weight, so that multiple intervals in similar class are aggregated into an interval, and then the aggregated interval is converted into a single value by using the conversion function. Finally, according to the aggregation method, three decision rules are given to make decisions, and the effectiveness of the method is verified by a case.