The way I solved that problem was by using larger picks that are triangular in shape (all 3 sides the same).  The larger size helped make it easier to hold onto.  If the pick slipped in my fingers it was easy to just rotate (in either direction since they are all the same) just a little bit and I was back to good with the pick.  It can be a slow process getting the pick to stay put.  I have watched other people go years before they finally got a reliable, relaxed grip. 

Try diffrent shaped picks.  Try picks that varry in thickness, this can make a diffrence in how your effective your grip is.  

Also try you might benifit by physically picking softer.   If you are banging on the strings, it is going to be harder to get the pick to stay put. 

Play with these varriables until you get it right, eventually you will find the right combination of technique and pick size/shape/ stiffness.