We consider the problem of supervised classification. We focus on the problem of calibrating the classifier's outputs. We show that the p-values provided by Inductive Conformal Prediction (ICP) can be interpreted as a possibility distribution over the set of classes. This allows us to use ICP to compute a predictive belief function which is calibrated by construction. We also propose a learning method which provides p-values in a simpler and faster way, by making use of a multi-output regression model. Results obtained on the Cifar10 and Digits data sets show that our approach is comparable to standard ICP in terms of accuracy and calibration, while offering a reduced complexity and avoiding the use of a calibration set.