LOTR: Are mortals and elves still able to die in the 'Undying Lands' or are forever immortal?

In the end of LOTR Frodo, Bilbo and Gandalf go with the elves to the Undying Lands, and eventually it says once Aragorn has died Legolas and Gimli go to the Lands as well. I have a question though in the Undying Lands are mortals still be able to die? Or granted immortality such as elves.