When their story is over in the RP sense. My first character, and true Dragonborn, will probably never retire, because she's also a 'wild child' who roams the wilderness to either hunt as a werewolf or go on adventures and discover what's left. I'm also planning on creating a thalmor spy and a Khajiit female with a vengeance against the ones who'll kill her husband, and I think that last one will actually really die after she's done. Revenge never ends well. I'm really looking forward to that one actually, she'll start out very optimistic and romantic as a flower seller and alchemist, only to completely be pulled into the "dark side" as her husband dies. I'm not sure about the Thalmor spy, he's kinda the antithesis of my Dragonborn character, it'll depend on the dlcs too.
Oohh... a Thalmor spy! Mind if I steal that idea? You've got a nice one for the Khajit too. Hmmm... I think I need to dig a bit deeper.