This study investigates a variety of novel estimations involving the expectation, variance, and moment functions of continuous random variables by applying a generalized proportional fractional integral operator. Additionally, a continuous random variable with a probability density function is presented in context of the proportional Riemann–Liouville fractional integral operator. We establish some interesting results of the proportional fractional expectation, variance, and moment functions. In addition, constructive examples are provided to support our conclusions. Meanwhile, we discuss a few specific examples that may be extrapolated from our primary results.