Is there any known probability distribution that behaves like a rock climber doing lead belay climbing (where they're clipping the rope in at various points as the climb up a rock) - where there are usually small gains (like how a rock climber usually makes slow, steady progress up a rock), but less frequently, there are really big drops (like when a rock climber falls)? So maybe it would look something like this:
(So usually things go pretty good, but when they go bad, they are really bad. This would also be a good model for the modeling markets prone to developing bubbles).
I suspect that such a "distribution" would be a good model for things like the "capacity utilization" in this graph:
(Note how typically, there are small gains, but periodically, there are big drops)
So my question is: is there a known distribution that would model things like this already?
The poisson reminds me of it, but is a bit different. Perhaps, the answer is a model which is 2 separate normal distributions - one for normal small gains and one for massive losses (and of course, some probability distribution that defines which of the two is drawn from in a given sample).
Recently, I was modeling some mutual funds with a Normal distribution, and a thought occurred to me: digesting historic returns of a mutual fund and outputting 2 parameters, mean and standard deviation, is a pretty big information loss. Obviously, trying to build a model is a "lossy" "compression" technique, but I'm concerned there could be some valuable information being lost in a Normal Distribution model we could maintain in a better model like the one I describe above.