[…] The kurtosis statistic is also biased. The output from PROC MEANS includes the Monte Carlo estimates for the expected value of the sample mean, variance, skewness, and (excess) kurtosis. For the exponential distribution, the parameter values are 1, 1, 2, and 6, respectively. The Monte Carlo estimates for the sample mean and variance are close to the parameter values because these are unbiased estimators. However, the estimates for the skewness and kurtosis are biased towards zero. …