In this paper, a novel approach is proposed for multi-target joint detection, tracking and classification based on the labeled random finite set and generalized Bayesian risk using Radar and ESM sensors. A new Bayesian risk is defined for the labeled random finite set variables involving the costs of multi-target cardinality estimation (detection), state estimation (tracking) and classification. The inter-dependence of detection, tracking and classification is then utilized with the minimum Bayesian risk. Furthermore, the conditional labeled multi-Bernoulli filter is developed to calculate the estimates and costs for different hypotheses and decisions of target classes using attribute and dynamical measurements. Moreover, the performance is analyzed. The effectiveness and superiority of the proposed approach are verified using numerical simulations.