How do we fairly split disaster costs without anyone leaving?

When groups pool financial risk from rare disasters, some members may end up worse off and defect. This work formalizes a "Certified Allocation Problem": devise a cost-sharing rule, cap each person's obligation, and prove nobody is harmed—all from finite data without assuming any distribution. Conformal Risk Sharing combines a tunable sharing policy with split conformal calibration to generate distribution-free guarantees for each agent. Tests on precipitation and energy cooperatives show it cuts extreme obligations for high-risk members while protecting others.