The whole point of those mails is to cause the reaction they’re having here.
And to be blunt, harassment tends to escalate.
You’ll need to see if the web portal for your mail provider offers rules-based filtering at the mail server.
Yahoo does offer rules in at least some configurations: https://help.yahoo.com/kb/SLN28071.html
I would again suggest saving the harassing email, not deleting it. You don’t have to ever look at it—hopefully—but you’ll want to have it available as evidence should this escalate, as these too often do.