Premiums in insurance markets frequently do not reflect individual differences in costs, either because consumers have private information or because prices are not risk-rated. This creates inefficiencies when consumers self-select into plans. We study this problem in health insurance markets. We develop a simple model and estimate it using data on small employers. In this setting, the welfare loss compared to the feasible risk-rated benchmark is around 2-11% of coverage costs. Three-quarters of this is due to restrictions on risk-rating employee contributions; the rest is due to inefficient contribution choices. Despite the inefficiency, we find substantial benefits from plan choice.