We define "tragedy" as a sequence of events that leads to a chaotic and sad ending. This applies to nearly every genre that deals with a plot involving situations that are out of the reach of the control of the characters.
In "Death of a Salesman", by Arthur Miller, we certainly see in Willy Loman the epitome of the antihero whose actions and choices set the wheels in motion for a chaotic ending to a chaotic life.
Tragedy can be best appreciated when the reader identifies with the pain and suffering of the character. This means that the author treated the topic effectively and appealing to the senses of the audience. Therefore, "Death of a Salesman" is particularly tragic in seeing the contrast between Willy's idealized life and his reality. Every time Willy has a hallucination he reverts back to a point in his past that had remained in his conscience. Yet, when you look at these hallucinations, you realize that Willy had also been making up things in his mind, and now they are part of his immediate memory!
Another instance of tragedy in the play is found on Act II, when Willy goes to Howard to ask him for a position in New York, we feel the humiliating situation of seeing how Howard, a man much younger than Willy, denies Willy not only the position, but his job altogether. The devastation with which Willy leaves the office makes the audience's heart sink. Moreover, when we realize that Willy is about to borrow money again just makes the situation more undesirable.
In the end, as in every tragedy, something completely horrid happens: Willy kills himself in order to leave some insurance money to his sons and wife. How sadder can that get? That is a tragedy in full circle: A life that has been made up of bad choices that led to a bad ending.