Are there any reports of fatal or life-threatening incidents with LEGO? My older kids love LEGO, so my younger kid is also very keen on playing with them, rather than only playing with DUPLO. I am however concerned that it might be risky for him.

Most pieces are either too small or too large to be, at least in my opinion, frankly harmful. It appears that fatal or life-threatening incidents may have occurred with LEGO in the remote or recent past, such as this one: Boy, 5, chokes on Lego block.

Is anybody aware of any other incident?
I'm aware of two serious incidents, but not life-threatening. 

One, a young child put a rubber tire on their finger like a ring and went to sleep. This restricted bloodflow and caused swelling. IIRC, an ER visit was necessary but there was no lasting damage. 

Another, a child removed a piece using their teeth, and accidentally bit through the element, which stuck to their teeth necessitating oral surgery. 

I know multiple children have had bricks stick to their teeth. Always teach your children to use a brick separator or an adult, and never use their mouth or utensils (knives/forks) to pull pieces apart. 

As for small parts, you should generally be safe if you follow the age guidelines. Sets with choking hazards are labeled as such. 

To my knowledge, there have been no reports of fatal incidents involving LEGO toys, nor invasive surgeries. 

DUPLO toys meet very high safety standards for younger children, if you're concerned. They're designed to withstand a great deal of force to prevent breakage (you could probably run them over and only get scratches), and are suited for infants and toddlers to generally handle safely.