It all depends on the insurance company and modifications. In general, with your standard market companies (not high-risk), if you bought a set of aftermarket rims that didn't cost "an arm and a leg" you should have no problem. The same goes for modifications. Putting in a K&N air filter for example won't result in a denied claim, but a NOS system would.
What you should worry about is a company denying a claim for material misrepresentation or non-disclosure. If your company is charging you a premium for a stock vehicle and should an insurable loss occur to this vehicle, do you blame the company when all of a sudden this "stock" vehicle claim turns out to have non-stock oversized rims, an aftermarket skirt, wing and lowering package along with a $5000 stereo installed?