There are a couple ways for a PC to die:

• If they suffer level 4 fatal harm and they don't resist it, they die. Sometimes this is a choice a player wants to make, because they feel like it wouldn't make sense for the character to survive or it seems right for their character to die here.
• If they need to record harm at level 3 and it's already filled, they suffer a catastrophic consequence, which might mean sudden death (depending on the circumstances).

When your character dies, you have options:

• You can create a new scoundrel to play. Maybe you "promote" one of the NPC gang members to a PC, or create a brand new character who joins the crew.