Taking subadditivity as a main axiom, Artzner et al. (1997, 1999) introduced the so-called coherent risk measures. Song and Yan (2006) introduced risk measures which are comonotonically subadditive or convex. Recently we introduced risk measures which are not only comonotonically subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order, and give their representations in terms of Choquet integrals w.r.t. distorted probabilities. This talk is based on a recent work with Yongsheng Song.