This is a post-peer-review, pre-copyedit version of an article published in the Geneva papers. The definitive publisher-authenticated version: The Geneva Papers, Volume 29, Number 3, July 2004 , pp. 371-393(23) is available online at: http://www.ingentaconnect.com/This paper constructs a time series of annuity rates in the U.K. for 1957–2002, and examines the pricing of U.K. annuities, and the relationship between the accumulation and decumulation phases of a defined contribution pension scheme by focusing on the properties of the pension replacement ratio. The paper computes the money's worth of annuities over the sample period, and finds that on average the money's worth has been just less than unity, implying that annuities are fairly priced. Using data on annuity returns and the returns on other financial assets, the paper simulates replacement ratios, to build up a frequency distribution of the pension replacement ratio for a U.K. individual. These frequency distributions illustrate the risk in the pension replacement ratio faced by an individual who saves in a typical defined contribution pension scheme.