Accuracy of the Pearson‐Tukey three‐point approximation is measured in units of standard deviation and compared with that of Monte Carlo simulation. Using a variety of well‐known distributions, comparisons are made for the mean of a random variable and for common functions of one and two random variables. Comparisons are also made for the mean of an assortment of risk‐analysis (Monte Carlo) models drawn from the literature. The results suggest that the Pearson‐Tukey approximation is a useful alternative to simulation in risk‐analysis