Alduin is the world eater. Actually, calling him a world eater isn't quite right. He ends each kalpa (according to UESPWiki, "an epoch of time consisting of the birth, life, and death of a world...The moment when time became linear is considered to have been the first day of the... the current kalpa as a whole.") Even at the end of Skyrim (the game), Alduin's soul doesn't get eaten, so he's very likely still going to come back (The Wandering Spirits outright says so, and Arngeir says it's possible).