Psychological Thriller About Recurring Dreams?

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My friend wants me to see a movie but he can't remember the title or much about it. This is all he remembers:

1. The movie was possibly released 1990-1995

2. A man has recurring dreams that begin to make him think he's going crazy.

3. In the dreams his wife often appears unexpectedly wanting to kill him (for instance he dreams he's seeing a therapist and when the therapist turns around it's his wife holding a gun on him).

4. The man worries if he dies in his dream, is it real?

5. In the end, he shoots himself in his dream to wake up, but turns out he was not dreaming (he was awake) and kills himself.