Countable Intersection of Events is Event

Theorem
Let $\mathcal E$ be an experiment with a probability space $\left({\Omega, \Sigma, \Pr}\right)$.

The event space $\Sigma$ of $\mathcal E$ has the property that:
 * $\quad A_1, A_2, \ldots \in \Sigma \implies \displaystyle \bigcap_{i \mathop = 1}^\infty A_i \in \Sigma$

That is, the countable intersection of events is also an event.

Proof
By definition, a probability space $\left({\Omega, \Sigma, \Pr}\right)$ is a measure space.

So, again by definition, an event space $\Sigma$ is a $\sigma$-algebra on $\Omega$.

From Sigma-Algebra is Delta-Algebra:
 * $\displaystyle A_1, A_2, \ldots \in \Sigma \implies \bigcap_{i \mathop = 1}^\infty A_i \in \Sigma$

by definition of $\delta$-algebra.

Also see

 * Elementary Properties of Event Space