There are few ways to get health insurance covering you in Sweden.
1) If you are an European Union citizen the most basic one is provided by your own country healthcare system in form of The European Health Insurance Card (in Poland commonly known as EKUZ). However, be aware that it covers only most basic medical treatment. For Polish citizens one can check what is covered by the insurance here:
or in any NFZ office. As for the rest, I am pretty sure that your national healthcare system provides similar information.
2) So if you want to be fully insured it is advised to buy private insurance. When deciding on the matter you must bear in mind that they are usually expensive (especially for such a long period as 5 months or a year), so it is good to compare few offers. But, if you are under 30 (and European Citzien once again) there is (according to me) perfect solution to that matter in form of Euro26 Card (The European Youth Card), which except from many students discounts offers also a yearly health insurance at affordable price (in 2016 in Poland I paid 84 PLN). The health insurance covers world without US and Canada. The rest of details you can find here:
for Polish students: http://euro26.pl/
for other European students (I'm not sure if the insurance is part of the deal in other countries so please check here): https://www.eyca.org/
3) As you already know I chose EURO26, but there are more students cards offering discounts and special offers for students such as for example ISIC Card. (For more details about this one visit: https://www.isic.org/).
So, now you know everything about health insurance (or at least as much as I do). Decision is only yours. Do research, choose what best suits you and have a safe Erasmus+ experience!