This page explains how to avoid losing your olives when you get a game over.
Get a Password from a God
In order to avoid losing your olives, you first have to talk to a God and get a password from him or her.
The next time you get a Game Over, choose Retry. You will return to the first door of the area where you talked to the God, and you will still have the same number of olives as when you talked to the God.