Just Retirement, a FTSE 250 company, listed in November last year, only a few months before the surprise reforms were announced. The changes that come into effect in April will allow retirees more freedom on what to do with their pension savings, with no requirement to buy an income-providing annuity.

The company's individual annuity sales fell 59 percent year on year to 129 million pounds, the company said in a trading statement for the three months to Sept. 30, its financial first quarter. Total sales fell 42 percent to 255 million pounds.

"There is a risk of further volatility ahead of the new rules," Finance Director Simon Thomas told reporters.

Large annuity providers such as Legal & General and Standard Life have also seen annuity sales fall by about 50 percent since the changes were announced in March.

Insurers have looked to offset the slump by selling so-called bulk annuities to companies wanting to outsource all or part of their pension scheme liabilities.

Just Retirement's sales of bulk annuities rose to 25 million pounds at Sept. 30, from 3 million pounds a year earlier.

In addition, Just Retirement last month agreed a 75 million pound bulk deal and said on Monday that it is completing a further 76 million pound deal this week.

Thomas said that margins on bulk sales are higher than on individual annuities and that the company is also looking to launch new individual products that offer flexible investment and a regular income.

Just Retirement's stock has slumped 40 percent this year, damaged by the pension changes, but it has been hit less severely than rival Partnership Assurance, which has plunged 65 percent.

Panmure analyst Barrie Cornes said the sales figures were better than expected and represented a "buy" opportunity.

Just Retirement's shares rose 1.9 percent to 128 pence by 0826 GMT.

(Editing by David Goodman)

By Carolyn Cohn