I suspect that what you really want is limiting, not compression. My suggestion would be to record the shows with 24-bit settings that allow you to capture the peaks without distortion. Then when you get back home, use a limiter effect in your editing software, with very short attack and release times, so that the explosions are a few dB above the loudest musical levels, but still not quite clipping. That way the explosions will still be startling, but they won't accidentally damage your loudspeakers or anyone's hearing.
The main differences between a limiter and a compressor are that (a) a compressor may raise gain to boost the quiet parts of a program (in addition to reducing the gain during the louder parts), and (b) in general, compressors adjust gain slowly while limiters adjust it more rapidly--sometimes almost instantaneously, depending on how you set their controls.
Limiters are normally used to duck the levels of momentary peaks so as to prevent overload. They're like a backstop--normally they're set to have no audible effect until/unless something really requires the intervention. Compressors on the other hand are used to maintain a relatively constant long-term average level, so that listeners don't constantly feel that they have to raise and lower their volume controls. A compressor may well be varying its gain all the time in normal use. Compressors and ALCs (automatic level controls) are close relatives.
My local NPR FM station (WNYC) abuses its compressor badly, flattening out the dynamics of all the music they play. Judging by ear I would estimate that their compressor reduces the gain of the highest-level ignals by as much as 15-20 dB. Imagine a Beethoven string quartet or symphony in which the pianissimo passages and the fortissimo passages are about equally loud--that's what comes out. If they play Ravel's Bolero, the orchestra sounds as if it's getting farther and farther away the whole time, since the full orchestra can hardly get any louder than ostinato percussion part and the flute solo with which the piece begins.
This is NOT the effect you want on your "two buss" (the main, mixed-down stereo channels) for music recording! And it has almost nothing to do with avoiding overmodulation of their FM signal (FCC regulations)--I'm sure they have a fast-acting limiter for that purpose.
--best regards