That's certainly a possibility, and it certainly is done by the wealthy all the time. At least in the US it is very difficult to transfer large sums of money out of the country without accounting for it, so these end-arounds of taxation are quite difficult to pull off.

Inheritance taxes are better because they force the rich out of a hording mentality - either leave your family with sustaining businesses, which help the middle class by providing jobs, or lose half and have that reallocated. Right now, without an inheritance tax, there's no appeal to take risks on building anything. Just invest at moderate returns and the family fortune will never run out (except in extreme circumstances).