You have nothing to lose - means you have already lost everything, life can harm you no further. You have everything to gain - means that you have already lost everything, so every small or large thing you get will be a gain for you. It's all a single fixed expression.
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CliveYou have everything to gainCan I accept ‘everything to gain’ as an absolute phrase meaning ‘everything is for him to gain,’ not as ‘who has everything to gain’?