I just changed jobs a month ago and it took exactly a month to get my letter about COBRA eligibility, which is retroactive for up to 60 days,
AFAIK. The deceased's insurance is probably good through the end of the month in which he passed. But even if it's not, if another tragedy strikes, you can just pay the COBRA premiums retroactively. Long ago when I was going to have to wait a month or more for the new job's insurance to kick in, I actually filled out the COBRA paperwork, wrote the check, dated it for that day, put a stamp on the envelope and told my then-GF to mail it if I got into a bad car or bike wreck as soon as she heard about it. My HR dir. said that would definitely work.