I would actually go to the police over the threats he has made to you.
Doesn't matter if you've no evidence - get it on record, tell them you're dumping him and you're very concerned he will respond violently/dangerously when he realises you actually mean it.
Because he probably will - you need to ensure EVERYONE around you knows you are dumping him/have dumped him and that he is volatile and dangerous.
He is likely to throw at you that he will kill himself, or kill you, believe him. That doesn not mean don't dump him, it means if he makes a threat of either nature, you call the police, and tell them this.
They can deal with it.
Id also ensure he can ONLY communicate with you via recorded message, voice mail or texts/messenger etc... NOT phone calls that are just between you or face to face conversations.
That way you gather evidence of his threats, and he really will make them. Please stay safe, this is a dangerous man, he does not love you he wants to possess and control you, thats NOT the same thing at all.