If you want a "death penalty", create a commoditiy like "Fuel Canister" which costs 4 millions, and is required to run your engine - otherwise you wouldn't be able to thrust and cruise.
We already have such for the wild cloaks, which require a powercell, costing 4 millions (used to be 1 million before), to run their cloak. So every time they die. They got to buy a new one.
That combined with ammo costs, gets you to +5 millions each death. I for example "lost" already hundreds of millions with that.