We consider conditional and dynamic risk measures of Orlicz spaces and study
their robust representation. For this purpose, given a probability space
(Ω,E,P), a sub-σ-algebra F of
E, and a Young function φ, we study the relation between
the classical Orlicz space Lφ(E) and the modular Orlicz-type
module LFφ(E); based on conditional set theory,
we describe the conditional order continuous dual of a Orlicz-type module; and
by using scalarization and modular extensions of conditional risk measures
together with elements of conditional set theory, we finally characterize the
robust representation of conditional risk measures of Orlicz spaces