The way the Warband advances is to spend gold on more troops and then over time on better troops. If a soldier is 'taken out' during the game you roll for them at the end to see what happens. There is a 20% chance of death and I have noted that the soldier is removed from the roster and all his equipment is lost. This will be important because the next way to advance the Warband is by increasing the quality of equipment, the type of equipment and use of magical items, potions etc.
So the Warband gets better over time and it would be hard to lose a member that had been properly tooled up. You might start with a 20 gold crown (gc) Thief who has a dagger (-1 damage modifier) that gives him +1 Fight and 10 Health. Then you upgrade to say a Barbarian at 100gc who has a two handed weapon (+2 damage modifier) that gives +4 Fight and 14 Health. This is a decent stat improvement.
He has one more item that can be given to him. So lets say ... Gloves of Strength 300gc. This would give him +2 damage modifier. That is 400gc on one member of the Warband. It would take many games to be able to afford to gear up the Warband and it would be a loss if an individual died.
(Modified following feedback, thx DT)