We examine the relationship between privacy metrics that utilize information density to measure information leakage between a private and a disclosed random variable. Firstly, we prove that bounding the information density from above or below in turn implies a lower or upper bound on the information density, respectively. Using this result, we establish new relationships between local information privacy, asymmetric local information privacy, pointwise maximal leakage and local differential privacy. We further provide applications of these relations to privacy mechanism design. Secondly, we provide equivalence statements of lower bounds on information density and risk-averse adversaries. More specifically, we prove an equivalence between a guessing framework and a cost-function framework that both result in the same lower bound on the information density.