Deep Neural Networks (DNN) represent the state of the art in many tasks. However, due to their overparameterization, their generalization capabilities are in doubt and still a field under study. Consequently, DNN can overfit and assign overconfident predictions -- effects that have been shown to affect the calibration of the confidences assigned to unseen data. Data Augmentation (DA) strategies have been proposed to regularize these models, being Mixup one of the most popular due to its ability to improve the accuracy, the uncertainty quantification and the calibration of DNN. In this work however we argue and provide empirical evidence that, due to its fundamentals, Mixup does not necessarily improve calibration. Based on our observations we propose a new loss function that improves the calibration, and also sometimes the accuracy, of DNN trained with this DA technique. Our loss is inspired by Bayes decision theory and introduces a new training framework for designing losses for probabilistic modelling. We provide state-of-the-art accuracy with consistent improvements in calibration performance. Appendix and code are provided here: https://github.com/jmaronas/calibration_MixupDNN_ARCLoss.pytorch.git