Life On The Pleasure Planet?

[Phil N]

I'm a film student looking for a story that would make for a good short film adapation, but one that could be done on a modest budget. I remember a story that I think was titled "Life on the Pleasure Planet". The plot went as follows: The main character is a very depressed man. Everything in his life is just one misery after another - he's always ill, his son is injured in a horrible accident, etc. He also has dreams and visions of another world. He starts seeing a therapist, but the dreams continue. He begins to imagine that he's really an alien. One who must have committed a terrible crime and has been exiled to life on Earth as punishment. At the end, the aliens do arrive and take him away. He doesn't remember his former life, so he asks about what he had done to deserve such torture. However, the aliens actually revere him and tell him that life everywhere else in the galaxy is unbearably awful and only the lucky few are sometimes sent to Earth as a reward, to experience life on the pleasure planet.
I'm not even sure about the title, but that's how I remember it.

[hegemon]

I remember this story well enough to recall a detail -- just about the only mildly happy moment he experiences is a cold, windy day and he is on a beach lying on wet sand and thinking, this isn't all that bad.

But I can't remember the title or author.