When a host DC’s, you get to keep all of the pilgrims coins that you currently have without any reduction. Lost connection to host immediately upon loading into a map (Citadel intro), and loaded directly into the reconnection attempt phase. After it failed, I was booted back into the in-game lobby in the keep, and I had exactly how much money I had before the DC.
Also, I do not know whether or not the DC happened during loading or the instant that we loaded in. I do know that I loaded in with only the host and myself present and the two other people that we were playing with not in-game and showing the blank portrait when dead or still loading in.