Question

He said, "i have lost my pen". ​

Answer 1

He said that he had lost his pen...

Answer 2

$\huge\underline\mathfrak\red{Answer:}$

He said that he had lost his pen.

$\huge{\underline{\underline{\mathcal{\green{Ex}}}}}$$\huge{\underline{\underline{\mathcal{\red{pla}}}}}$$\huge{\underline{\underline{\mathcal{\purple{na}}}}}$$\huge{\underline{\underline{\mathcal{\orange{ti}}}}}$$\huge{\underline{\underline{\mathcal{\pink{on:}}}}}$

This sentence was in direct form and we converted into indirect form that means reported speech. In reported speech, said is converted into said that and the tense becomes past tense.