A common idea in science fiction is one alien living on a different aliens world, yet this is done without mentioning the problems; Isolation, discrimination and the new world meeting your needs. Excluding things such as tourism, military service, business and other temporary trips; Why would one alien choose to make a life on a different alien world?
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1This question is too broad. Without knowing anything about either alien species, there's no way to answer this question, and any answers to this question are going to have to first answer what kinds of aliens are under consideration and speculate from there. Beyond that, this doesn't seem like a question about a World you're Building, so much as a curiosity you have regarding other stories (or, possibly, trying to get us to generate story ideas). Please narrow the scope of your question. – Azuaron Aug 04 '16 at 17:58
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1@Azuaron I'm not going to lie to you, I don't like your attitude, so I'm just going to ignore you. Cheerio. – TrEs-2b Aug 04 '16 at 18:19
4 Answers
Business is not a temporary trip. Especially if space travel takes a long enough time (i.e. months to get from system to system, say), then there is value in establishing a merchant colony among the aliens. Here comes the examples:
- Naucratis
- Galata
- Gujarati merchants taking advantage of being subjects of the British Empire to set up operations in East Africa
- Chinese doing the same thing throughout Southeast Asia
- Lebanese in West Africa (possibly a paywall) and South America
- Marco Polo went to China for business, took a job for decades with the local head honcho, Kublai Khan. Ibn Battuta came looking for a job and found one as a judge with Muhammad bin Tughluq in India.

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I'd like to point out that there are many historians who dispute Marco Polo's claims. In fact, at the time when he published his memoirs he was known as "the liar". It's a pretty controvertial topic, with plenty of support on both sides. For myself, I think there's enough key information regarding the culture, land, and people missing from his book that he must have indeed embelished heavily regarding his travels. Most importantly, the part about working for Kublai Khan is heavily in question. – AndreiROM Aug 04 '16 at 17:49
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Marco Polo was a fictional character; a common name and framing story given to connect a collected set of travel stories, by Rustichello da Pisa. The collected stories did not all happen to the same single person and are not fully accurate. Marco Polo was in fact a common generic-character name. – JDługosz Aug 04 '16 at 18:13
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That is your opinion, and the opinion of some scholars. But it isn't the majority opinion, so don't go putting it out as fact. You say he didn't travel, I say he did, we both have scholarly sources, we will never agree /fin – kingledion Aug 04 '16 at 18:26
I suppose we could start by looking at our own world and the cultures that exist, as well as the different reasons someone may leave their home.
The biggest mass exodus we can look at is the Syrian refugees - a huge civil war has erupted, forcing them to regions that they may not be acclimated to (specifically, the Scandinavian countries, or any place where there can be a fierce winter). I'm assuming that, since they seem to have the ability to travel to a planet not their own, that there can be massive weapons of destruction and planetary wars - meaning that non-fighters with no refuge will most likely flee the combat. Anything is better than having bombs land near your home.
A slightly less severe reality could deal with an alien species running from home due to cultural beliefs or persecution. Even if there is an authoritarian world order, there will always be freedom fighters and those just trying to get away - whether that be families or individuals fleeing persecution, or just the regime in general.
Finally, using a scenario like District 9, it's theorized that the aliens isolated on Earth are a worker caste. If an entire alien species is deemed worthless for whatever reason, they can be banished if there's a force large enough and powerful enough to do so.
These aren't the only reasons an alien may live on an alien world, but these are a few places to start.

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Those are the reasons an alien might live on a different world.
I say this because of the implications of the word "alien." By the time any other reasons to live there arise (such as a cultural significance to the individual), the term "alien" really doesn't apply so well. Instead you have to consider the concept of a galactic culture (of some sort) of which both species are a part.
However, writing stories that include a galactic culture are difficult, and can be even harder for a reader to understand, so it can be convenient to introduce segregation (unless the whole point of your story is to pull down such walls).

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It is probably not voluntary. Think of analogs to castaways (or convicts) shipwrecked on a desert island.

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