Define $\mathcal{A}:=\bigcup_{n}\mathcal{A}_{n}$
(1) You allready proved that yourself.
(2) If $A\in\mathcal{A}$ then $A\in\mathcal{A}_{n}$ for some $n$ and consequently $A^{c}\in\mathcal{A}_{n}\subseteq\mathcal{A}$.
(3) If $A,B\in\mathcal{A}$ then $A\in\mathcal{A}_{n}$ for some $n$ and $B\in\mathcal{A}_{m}$ for some $m$ .
If $k:=\max\left\\{ n,m\right\\} $ then $A\in\mathcal{A}_{n}\subseteq\mathcal{A}_{k}$ and $B\in\mathcal{A}_{m}\subseteq\mathcal{A}_{k}$ hence $A\cup B\in\mathcal{A}_{k}\subseteq\mathcal{A}$.