If the story is in a first person view and you are killing the character telling the tale, end the story mid-sentence, implying their death. (Bonus: have a final chapter from another character's view explaining the death.)

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Twix's Writing Tips: Volume 1
RandomFor this book: 30 ways to make a character's death sadder.
Way #26
If the story is in a first person view and you are killing the character telling the tale, end the story mid-sentence, implying their death. (Bonus: have a final chapter from another character's view explaining the death.)