What do they add to your understanding of its meaning?

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I am going to assume you mean the allusions?  The allusions add to the meaning in several ways.  First, the idea of Death as a carriage driver, a kind and civil one at that, is bound to stir questions in the reader.  Death as portrayed in the allegories of the time was not civil or kind.  Yet, Emily Dickinson was a Christian who believed that there was immortality in heaven, and she provides the image of a personified death to show her faith and evoke images of the bible and heaven.  This is also true of Immortality, who is along for the ride, but sitting quietly.  The author suggests that we don't know much about Immortality, but that we don't want it go away.  It is comforting in that we know the narrator is dying, and the image of immortality, in heaven, a biblical image, gives us comfort.  The allusion to the four horsemen makes us realize that the horses' heads are always turned toward eternity, in all lives.

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