The Land of the Dead is the only afterlife in the world of Daventry. It is made up of several layers. Three main layers are know, the surface of the Isle of the Dead, the Underworld, and further down the Dimension of Death. The so-called Dimension of Death is one of the deeper realms of the Land of the Dead, but there may be other layers still deeper. Lord Azriel (unofficial) is but a caretaker of one of the deeper realms along the River Styx, and not the ruler of the realm. His master is Lord of the Dead (unofficial); Samhain, who rules from the second level the Underworld. 
Note: In in the Original Canon (separate from the Reboot Canon), the Realm of the Dead and Dimension of Death are two separate lands (with no noticeable connection). One is the Land of the Dead for those living in the Green Isles, are close to the edge of the world. The other is the realm where those living in Daventry go. Both are ruled by separate beings (as shown in the games, and mentioned in the manuals), who act as judges leading spirits onto the next stage of life. Both are known as the Lord of the Dead or Death.
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