No, generally not in the timeframe between being notified and the funeral. There may be an announcement in a local newspaper -- local to your deceased relative -- but this is as likely to be after the funeral as before.
I don't think there's an issue with saying "you're getting a 0 on the exam until you furnish proof of death and proof of relation, at which point you can (re)take the exam." Surely even the most bureaucratic university would have some mechanism in place to allow a student to take an exam, even a final, later than planned (or even the next semester?)