In this paper we analyse the segmentation of society into risk-sharing coalitions voluntarily formed by agents diering with respect to risk under a unanimous acceptance rule, in the absence of …nancial markets. We obtain a partition belonging to the core of the membership game. It is homophily-based: the less risky agents congregate together and reject more risky ones into other coalitions, etc. There is perfect risk sharing within a coalition but not at the society level. The distribution of risk aects the number and the size of these coalitions. A more risky society is not necessarily more segmented than a less risky one. Finally, the empirical evidence on imperfect risk-sharing when agents rely on informal insurance schemes can be understood when the endogenous partition of society with respect to risk is taken into account.