Apparently there is a gene for pain sensitivity, this Norwegian talk show[1] hosts [2] got their tested and their sidekick has a higher tolerance for pain. They tested this by putting their hands above some tea lights from 9:30 onwards.

[1] https://www.youtube.com/watch?v=zQBs2xPDGKU (English subtitles available) [2] Incidentally they're the ones who made the hit "What Does the Fox Say?"