Underdeep permadeath does not exist. When your character dies you take the loot you were carrying, you leave the dungeon, and you go back in - you return, and return, and return, until you clear it. Job levels, skills, unlocks, Orbs, Coin, the map coverage you have revealed and the markers you have placed are all kept.
Underdeep permadeath: there is none
There is no way to lose your character permanently, and no mechanic in the current build ends your run for good. Players regularly ask the developers for a real penalty for dying as an optional difficulty layer, which confirms the current state: dying costs you the run's loot and nothing more.
You keep everything except the run's loot
The loss is the loot carried in that run, and nothing else. Everything outside the run survives a death:
- Job levels, skills and unlocks
- Orbs and Coin
- The map coverage you have revealed
- The markers you have placed on tiles
How much you stand to lose is therefore decided by what is in your eight Loot slots at the moment of death, which is why the drop tables behind those slots matter so much - they are in the drop rates guide.
Why boss runs carry less
Because the loss is only what you are carrying, the usual habit is to treat a boss run as the run where you carry less than usual, and to let the duplicates you find on the way back convert into Coin on the way out. A death then costs you a couple of runs of progress instead of everything.