  Let $X$ be a Banach lattice. A well-known problem arising from the theory of
risk measures asks when order closedness of a convex set in $X$ implies
closedness with respect to the topology $\sigma(X,X_n^\sim)$, where $X_n^\sim$
is the order continuous dual of $X$. Motivated by the solution in the Orlicz
space case, we introduce two relevant properties: the disjoint order continuity
property ($DOCP$) and the order subsequence splitting property ($OSSP$). We
show that when $X$ is monotonically complete with $OSSP$ and $X_n^\sim$
contains a strictly positive element, every order closed convex set in $X$ is
$\sigma(X,X_n^\sim)$-closed if and only if $X$ has $DOCP$ and either $X$ or
$X_n^\sim$ is order continuous. This in turn occurs if and only if either $X$
or the norm dual $X^*$ of $X$ is order continuous. We also give a modular
condition under which a Banach lattice has $OSSP$. In addition, we also give a
characterization of $X$ for which order closedness of a convex set in $X$ is
equivalent to closedness with respect to the topology $\sigma(X,X_{uo}^\sim)$,
where $X_{uo}^\sim$ is the unbounded order continuous dual of $X$.
