Linearity of convex mean residual life (Q5955595)

For a random variable \(X\) with distribution function \(F(x)\) define \[ M(a,z)= aE(X\mid X\leq z)+(1-a) E(X\mid X>z), \] where \(0\leq a\leq 1\), and \(z\) is such that \(0<F(z)<1\). The authors show that the linearity of \(M(a,z)\) characterizes \(F(z)\) upto a scale parameter. Closed forms of \(F(z)\) are given only for three values of \(A\), assuming that \(M(1/2,z)=Az\).