The Silmarillion is what happens before LotR, and the Hobbit come to that. There are instances in there of elves and mortals forming couples and no mention of the elves losing their immortality being made...I haven't read the LotR books in a while but I'm not sure if it isn't something they introduced to the films to give the romance angle a bit more emphasis, since Arwen isn't in the books half as much as she is in the films.
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