That's the question asked in this Christmas' issue of the British Medical Journal.
We assembled data on elected and runner-up candidates for national elections occurring in Australia, Austria, Canada, Denmark, Finland, France, Germany, Greece, Ireland, Italy, New Zealand, Norway, Poland, Spain, Sweden, the United Kingdom, and the United States, using online sources including Wikipedia and national lists of leaders..Details at the link. Photo source lost.
The sample included 540 candidates: 279 winners and 261 runners-up who never served. A total of 380 candidates were deceased by 9 September 2015. Candidates who served as a head of government lived 4.4 (95% confidence interval 2.1 to 6.6) fewer years after their last election than did candidates who never served (17.8 v 13.4 years after last election; adjusted difference 2.7 (0.6 to 4.8) years). In Cox proportional hazards analysis, which considered all candidates (alive or deceased), the mortality hazard for elected candidates relative to runners-up was 1.23 (1.00 to 1.52).