This seems to be the case in a population of feral sheep from a remote Scottish island. Individuals with better immunity, and therefore longer-lived, do not manage to reproduce as successfully as their less healthy peers. However, in the long run they compensate that by participating in more reproductive seasons over their lives.
The two tendencies in dynamic equilibrium run along families.
Full story at Science Daily.
Ref. Andrea L. Graham et al. Fitness Correlates of Heritable Variation in Antibody Responsiveness in a Wild Mammal. Science, 2010. Pay per view.