The present paper is an attempt to bring together two branches of risk theory, viz. ordering of risks and premium calculation, and a topical section of decision theory, viz. risk measurement. We first introduce and compare several orderings of distributions. Then a recent model of risk measurement is introduced and shown to be related to two quantities - a probability of ``loss'' and a loss distribution - in the theory of risk processes. In the Poisson case exactly by this type of distribution one of the above developed order relations is generated. Finally we show how these results can be used to create principles of premium calculation.