Medical expenditure risk can pose a major threat to living standards. We derive decomposable
measures of catastrophic medical expenditure risk from reference-dependent utility with loss
aversion. We propose a quantile regression based method of estimating risk exposure from
cross-section data containing information on the means of financing health payments. We
estimate medical expenditure risk in seven Asian countries and find it is highest in Laos and
China, and is lowest in Malaysia. Exposure to risk is generally higher for households that
have less recourse to self-insurance, lower incomes, wealth and education, and suffer from
chronic illness.