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We provide a new method, the “MV+CVaR approach,” for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach optimizes the mean–variance trade‐off of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of moments and the maximum entropy method to analyze the efficiency of MV+CVaR mortality portfolios relative to traditional Markowitz mean–variance portfolios. Our numerical examples illustrate the superiority of the MV+CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance.