Self-employed people are not required to pay into an occupational (second-pillar) pension fund. But there's nothing stopping you from doing this, either.
There are also a number of individual (third-pillar) retirement products that, in addition to building up your tax-advantaged retirement savings, pay benefits in the event of disability or death.
Finally, as a self-employed person you may consider taking out professional accident insurance and/or loss-of-income insurance, particularly if you have a family.