"'what happens to the immortals when they die?'

'No, they keep the lives, and they feed on them.  Theoretically, if they were allowed to feed each night unchecked, they could become . . . alive again, for a lack of a better word.  They need the aid of a mortal to do it but some of the elder ones can be brought back to full strength if they get enough lives.'" - Caress of Twilight