In this paper, we study the solution quality of robust optimization problems when they are used to approximate probabilistic constraints and propose a novel method to improve the quality. Two solution frameworks are first compared: (1) the traditional robust optimization framework which only uses the a priori probability bounds and (3) the approximation framework which uses the a posteriori probability bound. We illustrate that the traditional robust optimization method is computationally efficient but its solution is in general conservative. On the other hand, the a posteriori probability bound based method provides less conservative solution but it is computationally more difficult because a nonconvex optimization problem is solved. Based on the comparative study of the two methods, we propose a novel iterative solution framework which combines the advantage of the a priori bound and the a posteriori probability bound. The proposed method can improve the solution quality of traditional robust optimization framework without significantly increasing the computational effort. The effectiveness of the proposed method is illustrated through numerical examples and applications in planning and scheduling problems.