Hindu celebrates the special relation twice with the festival of Raksha Bandhan & Bhai Dooj. Bhai Dooj is also known as Bhai Phota(in Bengal) , Bhau Beej(Karnataka, Goa, Maharastra & Gujrat) & Bhai Tika (in Nepal).
According to Hindu mythology, Yama & Yami were the twin children of Sun God. Yama was the first monrtal man & yami was the first mortal woman of the earth.As Yama was first man created on earth so he was the first one to die.He died before Yami. Yami filled with pain as she lost her lovable brother.
When the life on the earth was created initially then there no day & night.So, Yami, without knowing how many days and hours passed, poured her heart with continuous tears on seeing the dead Yama.
Moved by the sorrow of Yami, the Devas (Gods) created day and night and helped her. Also, they made Yama, the deity of death (it is logical as he was the first one to die in the world).
Before Yama took charge as the god of death, Yami blessed him with aarti and applied tilak on his forehead blessing him with all success.The day Yama becomes the deity of death and the day when Yami blessed him with Tilak is celebrated as Bhai Dooj.