Yes. All students of Peking University are required to be medically insured throughout their entire period of study (for students enrolled for more than 6 months) by a local Chinese insurance company. PKU Shenzhen recommends purchasing the Comprehensive Insurance Plan of Foreign Students provided by Ping An Insurance Company (recognized and recommended by the Chinese Ministry of Education), which covers accidental injuries and hospitalization - but not outpatient care.
See the Medical Services page for more related information.
If you would like more information, you can also refer to the insurance company's website here. The insurance company has a 24-7 hotline with qualified English-speaking staff: 4008105119
There are several insurance-related information documents available on our Resources page.