The simplest option or one very feasible option is put on the output net a capacitor that moving the dominant pole. Other possible effective option is decreasing the nominal value of resistor(s).
Also u can read the following paper available in IEEE:
title={A curvature-compensated bandgap reference with improved PSRR},
author={Xiao Du and Li Wei-min and Zhu Xiao-fei and Fu Xiao-dong},
journal={ASIC, 2005. ASICON 2005. 6th International Conference On},
year={2005},
month={Oct.},
volume={2},
number={},
pages={ 529-533},