You don't lose skill in a game. Can lose your ship or life, but not your skill.
I have been sunk before this update, but it was probably due to bug. I just opened my journal and called my ship again. Don't know what happens if they sink you this time around.
You might have to buy back a new ship or repair the existing one you have. Although I don't know how you would repair a ship at the bottom of the sea.
