Why do women live longer than men?
The best explanation I have come across so far is that male sex hormones have an adverse affect on longevity. 

The effect may simply be that a high testosterone level suppresses the immune response against a variety of infections.

There was a recent study about korean eunuchs from a few hundred years back, that found that "The average lifespan of eunuchs was 70.0 ± 1.76 years, which was 14.4–19.1 years longer than the lifespan of non-castrated men of similar socio-economic status."

That's a pretty hefty difference and a strong argument for testosterone as risk factor for an earlier death. This would also vibe well with reports about increased risk of cardio-vascular death in steroid users.