How do self-employed workers, who constitute a growing share of employment, handle the uncertainty of their income? Unlike payroll employees, self-employed workers can lower prices to increase the chance of earning income at all. I show theoretically how such behavior, self-protection, depends on household income. I then study a welfare reform that exogenously varies household income for a subset of self-employed workers. This allows me to causally identify to what extent self-employed workers trade higher average income for lower but more certain income. My findings shed light on household income inequality and inform the design of insurance for self-employed workers.