Are there known life expectancy differences in non human mammals by sex?

Are there known life expectancy differences in non human mammals by sex?

Yes, there are. It is not well studied in general, but for certain species it is. Here is a relevant excerpt (Austad, Fischer, 2016):

Females live longer than males in humans and all Old World monkeys and apes for which we have the best data. . . This appears to be true in both wild and captive populations. . . Yet whether there is a general mammalian pattern of greater female longevity under protected, captive conditions where intrinsic physiological aging dominates mortality patterns, is not known because so few species have been rigorously investigated. What is known about the best described species indicates that all show a substantially different pattern from humans.

See the linked study for more information. There is a whole section on sex differences in lifespan in mammals.

In general, in any species where males fight fiercely amongst each other for status, I would also consider it likely that males have shorter lifespan on average than females. Although I don't have a good citation for this at the moment.

In a more recent review, Lemaître et al (2020) confirmed the tendency for females to outlive males across many mammalian species:

In human populations, women consistently outlive men, which suggests profound biological foundations for sex differences in survival. Quantifying whether such sex differences are also pervasive in wild mammals is a crucial challenge in both evolutionary biology and biogerontology. Here, we compile demographic data from 134 mammal populations, encompassing 101 species, to show that the female’s median lifespan is on average 18.6% longer than that of conspecific males, whereas in humans the female advantage is on average 7.8%. On the contrary, we do not find any consistent sex differences in aging rates. In addition, sex differences in median adult lifespan and aging rates are both highly variable across species. Our analyses suggest that the magnitude of sex differences in mammalian mortality patterns is likely shaped by local environmental conditions in interaction with the sex-specific costs of sexual selection.