  In this paper, we first study a new sensitivity index that is based on higher
moments and generalizes the so-called Sobol one. Further, following an idea of
Borgonovo ([3]), we define and study a new sensitivity index based on the
Cram{\'e}r von Mises distance. This new index appears to be more general than
the Sobol one as it takes into account, not only the variance, but the whole
distribution of the random variable. Furthermore, we study the statistical
properties of a Monte Carlo estimate of this new index.
