A few years ago a saw a documentary on the Dutch box of a (non-celeb) Dutchman, who did exactly that. In his case it was eminently plannable, since he intended to be (and was) euthanised. I'm not so sure filming your last month works that well in more traditional deaths. How does one know when that last month will start?
Anyway, that Dutch docu showed a awkward interview with an undertaker, with whom funeral arrangments were made. Awkward for the undertaker, that is. His soon-to-be-dead customer cheerfully (and successfully) haggled on grounds that the whole business could be planned in advance and no rush was involved. It's obvious undertakers are used to dealing with grieved relatives, rather than the star of the show.
regards,
Hein