In this article we explore how host survival and fecundity are affected by host-parasite coevolution. We examine a situation in which hosts upon being infected can mount a defensive response to clear the infection, but in which there is a fecundity cost to such immunological up-regulation. We also suppose that the parasite exploits the host and thereby causes an elevated host mortality rate. We determine the coevolutionary stable strategies of the parasite's level of exploitation and the host's level of up-regulation, and illustrate the patterns of reduced host fitness (i.e., virulence) that these produce. We find that counterintuitive patterns of virulence are often expected to arise as a result of the interaction between coevolved host and parasite strategies. In particular, despite the fact that the parasite imposes only a mortality cost on the host, coevolution by the host results in a pattern whereby infected hosts always have the same probability of death from infection, but they vary in the extent to which their fecundity is reduced. This contrasts with previous results and arises from our inclusion of two important factors absent from previous theory: costs of immunological up-regulation and a more suitable measure of parasite-induced mortality.