In our previous work, we have extended the classical notion of increasing
convex stochastic dominance relation with respect to a probability to the more general case of a normalized monotone (but not necessarily additive) set function, also called a capacity.
In the present paper, we pursue that work by studying the set of monetary risk measures (defined on the space of bounded real-valued measurable
functions) satisfying the properties of comonotonic additivity and consistency
with respect to the generalized stochastic dominance relation.
Under suitable assumptions on the underlying capacity space, we characterize that class of risk measures in terms of Choquet integrals with respect to a distorted capacity whose distortion function is concave. Kusuoka-type characterizations are also established. A generalization to the case of a capacity of the Tail Value at Risk is provided as an example. It is also shown that some well-known results about Choquet integrals with respect to a distorted probability do not necessarily hold true in the more general case of a distorted capacity.