The aim of this paper is to look into the problem faced by married couples when they have to decide how to receive their pension. With this end in view, we set out an optimization model based on ideas first put forward by Brown & Poterba (2000). This model is then applied to determine the expected utility for the couple provided by programmed withdrawal, joint life annuity, and joint life annuity with a last survivor payout rule, according to the couple's possible preferences for consumption and risk perceptions. Finally, we carry out an analysis of the couple's welfare based on the concept of equivalent wealth with the aim of unravelling the so-called "annuity puzzle". Results are presented for a model specification calibrated to Spain.