Why do I have constant thoughts about death?

I am normally a very happy person, very successful and in love with my life. Except there has been some occasions every couple of years that for months at a time I cannot stop feeling depressed about dying (I cant get over the fact that all our lives are leading up to is death). I am in a depression right now, and I have seen a counselor and been told that I have severe anxiety. I am taking prozac, but it doesnt seem to be helping much, especially when I am pmsing. I cannot stand these feelings, and am trying desperately to revert to who I was before. I was always grateful for life, and while a little afraid of death I knew it was far off and I never thought about it. I have this constant pit in my stomach that I just want to go away. Last time this happened to me I was 16 and got rid of it after 4 months. I am 20 now and Its already been a month, but I feel my desperation is increasing. Is there anything that can help me through this? I feel hopeless, but I know I can feel better.