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If the life of all three of the party members will drop to 0 points then there's "game over". As long though as one of the party members is still alive the others will regenerate again through resting or can be healed by the remaining party member.
Seeing it that way, you can't die in this game in the true meaning of death, if the life of the party members drops to 0 they become unconscious but will regenerate with time or through magic again, unless all three are unconscious.

Speaking of fear, it's a game mate. Face it instead of trying to avoid it, go on and experience the dying in the games while remembering that it's just game and you can reload anytime, and the fear will lose it's might over you. It's only difficult to face, but if you try you'll see this fear going. You need to face a fear to defeat it - something you know well isn't scary but common.