It is shown that, while the value of the expectation $E(X + Y)$ always depends on the random variables $X$ and $Y$ only through their marginal distributions, the same kind of statement cannot be made for $E(X + Y + Z)$.
"An Unexpected Expectation." Ann. Probab. 5 (1) 157 - 158, February, 1977. https://doi.org/10.1214/aop/1176995902