According to Theravadin Buddhism, the process of dying is a transition period, between this life and the next. Everything follows according to the Law of Cause and Effect.
According to the teachings, the last thought that you have when you're dying will influence your next birth. If we want our good Kamma to fruit at that moment, so that we are reborn in a good destination with more opportunities, then the process of dying is quite important. It is important to know how to die peacefully and wisely.
What do I personally think will happen when I die? I have no idea. I try to keep an open mind, hopefully, so that I don't have a preconceived idea of what will happen, which may clash with the reality of what does happen. But I try to prepare myself for that last mind moment.
How would you handle this? By reflecting on the different ways you could die. You can perhaps prepare yourself for the moment of death by developing the courage and confidence to deal with minor difficulties and Dukkha in this moment, strengthening these and other beneficial qualities before major difficulties and Dukkha arises.
By seeing how you react to minor Dukkha in your life, and seeing what arises for you, you can often see what you need to do in order to train yourself for more major Dukkha. In this way, we gradually develop the capacity to deal with minor Dukkha in a much more skillful way, and then when major Dukkha arises, we may have the capacity to bring up the power of our past practice, the courage and understanding that we have developed, to deal with it more skillfully.