Deriving the exponential distribution from a shift property of its expectation (equivalent to memorylessness). Suppose $X$ is a continuous, nonnegative random variable with distribution function $F$ and probability density function $f$. If for $a>0,\ E(X|X>a)=a+E(X)$, find the distribution $F$ of $X$.


About the necessary hypotheses (and in relation to a discussion somewhat buried in the comments to @bgins's answer), here is a solution which does not assume that the distribution of $X$ has a density, but only that $X$ is integrable and unbounded (otherwise, the identity in the post makes no sense).

A useful tool here is the complementary PDF $G$ of $X$, defined by $G(a)=\mathrm P(X\gt a)$. For every $a\geqslant0$, let $m=\mathrm E(X)$. The identity in the post is equivalent to $\mathrm E(X-a\mid X\gt a)=m$, which is itself equivalent to $\mathrm E((X-a)^+)=m\mathrm P(X\gt a)=mG(a)$. Note that $m\gt0$ by hypothesis. Now, for every $x$ and $a$,
$$
(x-a)^+=\int_a^{+\infty}[x\gt z]\,\mathrm dz.
$$
Integrating this with respect to the distribution of $X$ yields
$$
\mathrm E((X-a)^+)=\int_a^{+\infty}\mathrm P(X\gt z)\,\mathrm dz,
$$
hence, for every $a\gt0$,
$$
mG(a)=\int_a^{+\infty}G(z)\,\mathrm dz.
$$
This proves ${}^{(\ast)}$ that $G$ is infinitely differentiable on $(0,+\infty)$ and that $mG'(a)=-G(a)$ for every $a\gt0$. Since the derivative of the function $a\mapsto G(a)\mathrm e^{ma}$ is zero on $a\gt0$ and $G$ is continuous from the right on $(0,+\infty)$, one gets $G(a)=G(0)\mathrm e^{-ma}$ for every $a\geqslant0$.
Two cases arise: either $G(0)=1$, then the distribution of $X$ is exponential with parameter $1/m$; or $G(0)\lt1$, then the distribution of $X$ is a barycenter of a Dirac mass at $0$ and an exponential distribution. If the distribution of $X$ is continuous, the former case occurs.
${}^{(\ast)}$ By the usual seesaw technique: the RHS converges hence the RHS is a continuous function of $a$, hence the LHS is also a continuous function of $a$, hence the RHS integrates a continuous function of $a$, hence the RHS is a $C^1$ function of $a$, hence the LHS is also a $C^1$ function of $a$... and so on.
