I agree, losing a random skill point or 2 would be a fair implementation. There are already mods that allow you to keep your character on death but drop all equipment. I think once MP drops, similar mods/features will become very popular as they will make the game more accessible to novice players plus add some security and longevity to the late game.
I think regardless Mods for this feature will be common place so the sandbox/MP options may as well implement them.