I am looking for a finite-dimensional family of distributions $F_X(x)$ with all the following properties:
- Supported on $[0, +\infty)$,
- Fat tailed, i.e. $(1-F_X(x)) \sim x^{-\alpha}$ for $x\to +\infty$ and some $\alpha>0$,
- The mean is finite (this implies $\alpha>1$ in 2.),
- Stable under sum of i.i.d. variables: If $X_1,\ldots,X_n\sim F_X$ are i.i.d., then $Y=\sum_{j=1}^nX_j$ belongs to the same family?
There are several examples if any of the conditions is removed:
- The symmetric stable distributions with $\alpha>1$.
- Many examples here: Gamma, Inverse Gaussian just to cite two.
- The Levy distribution (and other one-sided stable distributions with $0<\alpha<1$.
- Many examples here too: Pareto, Burr, Log-Gamma, etc.
Is there a family satisfying all of them, or is there a reason why it is impossible?
Updated: Clarify that the family has to be finite-dimensional.