Title: Bounding Conditional Value-at-Risk via Auxiliary Distributions with Bounded Discrepancies
Primary area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
Keywords: CVaR, Conditional Value at Risk, Partially Observable Markov Decision Process

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 $Y$.