The policeman, identified as Hanuman Sahay, was taken to a hospital where he died, they added.
The police van, with which he was attached, was out of order and it was taken by staff to Old Police Lines for repair, police said.
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It was there that the policeman shot himself in the head, they said.It was found that he was under depression for the last four-five years and was undergoing treatment at the Ram Manohar Lohia Hospital, they said.