Defining a constant in Mathematica

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ToxicBug
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Hello, I've been breaking my head over this for a couple hours now.

I'm trying to find the expected value of a Gumbel distribution.
Code:
Integrate[ y*E^(-((y - a)/b))*E^(-E^(-((y - a)/b)))/b, {y, -Infinity, Infinity},
  Assumptions -> b > 0]

If I set a = 2 and b = 5, it works. Otherwise it gives me a very complicated expression. I've tried SetAttributes[a, Constant], but it doesn't do the trick. Anyone know how can I solve this?
 
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