Risk measuring under model uncertainty

The framework of this paper is that of risk measuring under uncertainty, which is when no reference probability measure is given. To every regular convex risk measure on ${\cal C}_b(Ω)$, we associate a unique equivalence class of probability measures on Borel sets, characterizing the riskless non positive elements of ${\cal C}_b(Ω)$. We prove that the convex risk measure has a dual representation with a countable set of probability measures absolutely continuous with respect to a certain probabi...