Yea, its happened to me twice. Once in VI and once in MTW. One thing I learned is that if the king is going to die of natural causes, there seems like no way to stop him.

It seems pretty obvious, but after losing my faction leaders a few times, (Im a slow learner, lol) I save every Campaign Year. Is it cheating to go back in time and do it again? Maybe, I dont know. I dont have the problem of losing my King and having spent all that time conquering the known world for nothing.