Foreign citizen must be covered by health insurance. If you are a European citizen, conditions may vary depending on your country of origin. Please check your country's Embassy web site.
In Italy you can access the National Health Service (SSN) in different ways depending on the reason for your stay. For PhD students the registration is on a voluntary basis through the payment of an annual flat-rate contribution.
Please see this usuful link
Otherwise you are free to take out a private health insurance.