for example, Schied [@Schd; @2007] and Hernández-Hernández and Pérez-Hernández [@PerHer]), using techniques of duality, the minimality property is a necessary condition in order to have a well posed dual problem. More recently, the dual representations of dynamic risk measures were analyzed by Barrieu and El Karoui [@BaElKa2009], while the connection with BSDEs and $g-$expectations have been studied by Delbaen *et. al.* [@DelPenRz]. The minimality of the penalty function also plays a crucial role in the characterization of the time consistency property for dynamic risk measures (see Bion-Nadal [BionNa2008]{}, [@BionNa2009]).

In the next sections we will show some of the difficulties that appear to prove the minimality of the penalty function when the probability space $(\Omega, \mathcal{F},\mathbb{P})$ supports a Lévy process. However, to establish the results of this section we only need to fix a probability space $(\Omega, \mathcal{F}, \mathbb{P})$.

When we deal with a set of absolutely continuous probability measures $\mathcal{K}\subset \mathcal{Q}_{\ll }(\mathbb{P})$ it is necessary to make reference to some topological concepts, meaning that we are considering the corresponding set of densities and the strong topology in $L^{1}\left(
\mathbb{P}\right) .$ Recall that within a locally convex space, a convex set $\mathcal{K}$ is weakly closed if and only if $\mathcal{K}$ 