Size bias, sampling, the waiting time paradox, and infinite divisibility: when is the increment independent?

With $X^{\ast }$ denoting a random variable with the $X$-size bias distribution, what are all distributions for $X$ such that it is possible to have $X^{\ast }=X+Y$, $Y\ge 0$, with $X$ and $Y$ {\em independent}? We give the answer, due to Steutel \cite{steutel}, and also discuss the relations of size biasing to the waiting time paradox, renewal theory, sampling, tightness and uniform integrability, compound Poisson distributions, infinite divisibility, and the lognormal distributions.