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arXiv · 2507.18129

Bounding Conditional Value-at-Risk via Auxiliary Distributions with Bounded Discrepancies

Yaacov Pariente·Vadim Indelman
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Abstract

In this paper, we develop a theoretical framework for bounding the CVaR of a random variable $X$ using another related random variable $Y$, under assumptions on their cumulative and density functions. Our results yield practical tools for approximating $\operatorname{CVaR}_\alpha(X)$ when direct information about $X$ is limited or sampling is computationally expensive, by exploiting a more tractable or observable random variable $Y$. Moreover, the derived bounds provide interpretable concentration inequalities that quantify how the tail risk of $X$ can be controlled via $Y$.

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Yaacov Pariente, Vadim Indelman. 2025-07-24. Bounding Conditional Value-at-Risk via Auxiliary Distributions with Bounded Discrepancies. https://arxiv.org/abs/2507.18129

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