Which of the following are typical properties of a statistical distribution of potential losses that...

Property I: The range of possible losses above the average loss is much greater than those below the average loss:

Statistical distributions of potential losses, especially in financial contexts, often exhibit a right-skewed pattern where extreme losses are more probable than extreme gains. This skewness results in a greater range of possible losses above the average loss.

Property II: The loss that is most likely to occur is below the average loss:

In skewed distributions, the mode (most likely value) is often different from the mean. For losses, the most likely (mode) value is typically below the average loss because the average is pulled up by the tail of extreme losses.

Property III: The loss that is most likely to occur is above the average loss:

This statement is incorrect for the typical skewed distribution described in financial risk contexts. The mode is below the mean due to the influence of extreme losses.

References

Source: How Finance Works​