The almost universal approach to the economic evaluation of health technologies is to compare the cost-effectiveness of treatments, using metrics such as the ‘cost per quality adjusted life year’. This is based on the reasonable view that a prime objective of the health system is to maximize health. However, another fundamental role of universal health insurance is to protect citizens from financial catastrophe associated with sickness. Financial protection is an especially high priority in many developing countries, but is also returning to prominence in high income settings, where some policy makers are beginning to question sustainability of comprehensive statutory health insurance. This paper develops a simple model in which risk averse individuals care about health, but also place a value on protection from the financial consequences of rare but costly events. The paper shows how conventional cost-effectiveness analysis can readily be augmented to take account of financial protection objectives. The results depend on whether or not there exists a market in complementary private health insurance. They have important implications for the methodology adopted by health technology assessment agencies, and for the broader design of health systems.