When studying the robustness of the optimal orders and the expected gain in the newsboy model, it has appeared that a new measure of the dispersion of the demand, namely the intermeans parameter, is interesting.
In this paper, we have investigated the information value of this parameter. We have also investigated how this parameter can be obtained from historical data and have obtained several results concerning the sampling distribution of this parameter when the demand distribution is given. Some general results (i.e. "distribution free") have been obtained.
The fact that the more robust decision depends heavily on our actual knowledge, and that this knowledge is not as "distribution free" as it could appear has its importance when investigating how prices are fixed by the market for risky products: in the long run, the sellers will reorient their activity if they don't obtain in the average at least the average remuneration for their capital. Thus the final price must contain not only the costs and the usual remuneration, but also (at least) an insurance for the risks.