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 $X$.

Yes, the exponential distribution is the ONLY continuous distribution satisfying the property, because the above differential equation has a unique solution. For the proof of this fact you can also have a look at the page on the exponential distribution at Statlect (the rate parameter and its interpretation - proof).
