You can't but it's fun trying, or letting others try.
Being run over by a train couldn't even do it. How would one go about trying to kill your dream body while lucid and expect to have a simulated death experience? maybe if you believe that you can you might be able to create an experience of shooting yourself and then leaving your body to another afterlife or something. But guns have not been able to do me any harm in dreams, nothing has been able to for that matter.
I have however, had dreams where I thought I might have died and I wasn't sure if I actually died or was just in a dream and my body sleeping. Turns out, I was just dreaming as I'm still here to tell it.