I'm trying to prove the next:
Let $$L_{1}=\inf\{j\geq 2: X_j\space\text{is a record}\}.$$
Prove that $E(L_{1})=\infty.$
Here, we say $X_n$ is a record if $X_n>\max\{X_2,\ldots,X_{n-1}\}$ and $\{X_n\}$ is a sequence of i.i.d. with continuous distribution.
I'm having prblems proving this; this is my attempt:
For $k\geq 2$ we have $\{L_1=k\}=\{X_{k-1}<\ldots<X_{1}<X_{k}\},$ so we have $P(\{L_1=k\})=\frac{1}{k!},$ but this is not the density of random variable $L_1$ because $\sum_{k\geq 2}P(\{L_1=k\})=e^{1}-2.$
In fact $E(L_1)<\infty$ because of the above.
How to prove the expectation is infinity? What's wrong with the previous?
Any kind of help is thanked in advanced.