Retirement income around the world is increasingly dependent on private savings, creating an expanding demand for lifetime annuities. However, and with a few exceptions, annuity markets around the world have not developed as well as other insurance products. One explanation is that adverse selection could limit the scope for development of this product in voluntary markets; standardized contracts would attract individuals with exceptional longevity prospects, therefore reducing the annuity amount offered to the average participant. The Chilean case is particularly interesting in this sense, as the entire pension system relies on individual savings through compulsory individual retirement accounts. Upon retirement, workers with sufficient funds in their accounts must choose between two main pension options: programmed withdrawals or life annuities. Using a large administrative dataset on Chilean retirees, we study whether annuitants live longer than workers who chose a programmed withdrawal schedule. Unlike previous studies for Chile, we estimate survival models as a function of pension choice, providing direct evidence of adverse selection in the annuity market. Interestingly, we find that after the introduction of the SCOMP (i.e., for retirees after 2004), the adverse selection effect is larger and is present both for men and women retiring at normal age. Women (men) who choose an annuity live on average 2.3 (1.9) years longer than those choosing the phased withdrawal option. He evidence found is consistent with the SCOMP introducing transparency and rationality to the retirement decision, exacerbating the adverse selection effect in the market.