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How to deal with banter/teasing?

Hey,
There's a new chef at the hotel i work at and since day one of meeting him i got a good idea of what he's like ( I consider myself to be extremely good at reading people!) Anyway, he's the typical cocky, goby and overly confident kind of guy. I get along with him, and he seems quite fond of me too. My problem is, he keeps teasing me about things. He's one of these people that loves to wind others up, and he even admitted that to me today.
I on the other hand am the complete opposite. I'm very shy although i try to act like I'm not, and i also have social anxiety. As much as i hate it i am also a very insecure person. I work very hard and get incredibly offended if people criticise my work.
An ideal situation for me is to go to work, do my best for the customers and not have any negative involvement with other staff. I find the comments made to me very annoying at times and i hate that people see me as an easy target because of my shy nature. I am capable of standing up for myself but if i where to make a huge issue about mild teasing then i would look very silly, and would probably make it worse.
Some people just like to tease others as their way of bonding. I really don't like this. What can i do to help me either get over it or make it stop? Thanks for reading.