Before revision:  In this setting, we present a thorough analysis of the relationship between order closedness of a convex set \mathcal{C ] in L^\Phi and the closedness of \mathcal{C topology \sigma(L^\Phi,L^\Psi) , culminating in the following surprising result:If (and only if) an Orlicz function \Phi and its conjugate \Psi both fail the \Delta_2-condition, then there exists a coherent risk measure on L^\Phi that has the Fatou property but does not admit a dual representation via L^{\Psi .
After revision:  In this setting, we present a thorough analysis of the relationship between order closedness of a convex set \mathcal{C ] in L^\Phi and the closedness of \mathcal{C topology \sigma(L^\Phi,L^\Psi) If (and only if) an Orlicz function \Phi and its conjugate \Psi both fail the \Delta_2-condition, then there exists a coherent risk measure on L^\Phi that has the Fatou property but does not admit a dual representation via L^{\Psi .