Mathematica v9.0 gives $\int_0^{\infty } \exp (k x-\exp (x)) \, dx$ = $\Gamma (k,1)$ with
$\Gamma (k,1)$ = $\frac{\sum _{i=0}^{k-1} \frac{(k-1)!}{i!}}{e}$ on condition the real part of k >0
Obviously, increasing your $\alpha$ is equivalent to decreasing 'my' k in the result above. Remark that $\Gamma (z,1)$ is defined for complex z, not just integer x. See <