Students under 28 get a French Student Health Insurance policy. It comes with the EHESS student ID and will be valid until August 31. It does not cover psychological sessions nor repatriation.
The AON insurance is 471, 60 euros /year and covers medical costs (doctors, hospitals) including psychological therapy. AON is a european company based in the Netherlands, chosen by most of European universities enrolling non-European students, that offers a very good coverage in France, during research travels around the world and even during eight weeks in the student home country (however only accidents are covered outside France).
Students above 28 must enroll with a private insurance company.