dying is so nonsense then, yeah you get respawned at the last checkpoint wow, no death penalty? like loss of money?!?

You can read some more thoughts on that here - http://steamcommunity.com/app/345180/discussions/0/371918937287614058/

If you need more of a challenge to stay alive and not to die often then try enabling all the hexes or play on hard mode with them enabled from level 1.
You will weep when you die because those champions and buffed enemies wont hold anything back. So your penalty will be to prolong the fighting and redo it if you die. ;)