To assess the reasons behind low demand for voluntary individual lifetime annuities, we designed an experiment with varying characteristics of annuity contracts, in order to estimate individuals’ sensitivity to their value-to-cost ratio (or money’s worth). Using different measures of objective longevity risk and subjective survival expectations, we investigate how product knowledge and mortality risk misperceptions affect the take-up of – as well as the sensitivity of the demand for – annuities. We find that annuities are not priced fairly, although they can appear to be fairly priced given an individual’s subjective mortality risk. We also find that, given their current 10% take-up rate, lowering the price of annuities to fair actuarial levels could increase demand by at most 2 percentage points. Lack of knowledge of annuities explains another 1.2 percentage points.