CREATE TABLE MYTABLE (
	CUSTOMER	CHAR(1) NOT NULL,
	CONTRACT	SMALLINT NOT NULL,
	VALID_FROM	DATE NOT NULL,
	VALID_TO	DATE NOT NULL,
	CONSTRAINt PK_MYTABLE PRIMARY KEY (CUSTOMER, CONTRACT, VALID_FROM)
);

INSERT INTO MYTABLE VALUES ('A', 1, '01/01/2000', '01/02/2001'); --
INSERT INTO MYTABLE VALUES ('A', 1, '02/02/2001', '01/04/2001');
INSERT INTO MYTABLE VALUES ('A', 1, '02/04/2001', '01/12/2001');
INSERT INTO MYTABLE VALUES ('A', 1, '02/12/2001', '01/02/2002');
INSERT INTO MYTABLE VALUES ('A', 1, '01/03/2002', '01/04/2002'); --
INSERT INTO MYTABLE VALUES ('A', 1, '02/04/2002', '01/02/2003');
INSERT INTO MYTABLE VALUES ('A', 1, '02/02/2003', '01/12/2004');
INSERT INTO MYTABLE VALUES ('A', 2, '01/03/2002', '01/04/2002'); --
INSERT INTO MYTABLE VALUES ('A', 2, '02/04/2002', '01/02/2003');
INSERT INTO MYTABLE VALUES ('B', 1, '01/01/2000', '01/02/2001'); --
INSERT INTO MYTABLE VALUES ('B', 1, '02/02/2001', '01/04/2001');
INSERT INTO MYTABLE VALUES ('B', 1, '02/04/2001', '01/12/2001');
INSERT INTO MYTABLE VALUES ('B', 1, '02/12/2001', '01/02/2002');
INSERT INTO MYTABLE VALUES ('C', 1, '02/12/2001', '01/02/2002'); --
 (dates are in DD//MM/YYYY format)

The result should be:
	A	1	01/01/2000	01/02/2002
	A	1	01/03/2002	01/12/2004
	A	2	01/03/2002	01/02/2003
	B	1	01/01/2000	01/02/2002
	C	1	02/12/2001	01/02/2002

WITH RPL (customer, contract, valid_from, valid_to, iter) AS
(
-- Insert all records from MYTABLE when for that customer/contract 
-- combination, the valid_from is not preceded by another contract-period 
-- (i.e. it is the first record of 1 or more consecutive contract periods). 
-- Marked with "--" after the INSERT statements.

SELECT T1.customer, T1.contract, T1.valid_from, T1.valid_to, 0
FROM MYTABLE T1
WHERE NOT EXISTS (SELECT 1
		FROM MYTABLE T2
		WHERE T1.customer = T2.customer AND
			T1.contract = T2.contract AND
			T1.valid_from <> T2.valid_from AND
			T1.valid_from = T2.valid_to + 1 DAY
		)

UNION ALL

-- make a new record with the consecutive valid_to for that 
-- customer/contract-combination, until there is no consecutive 
-- mytable.valid_to to be found. You can check iter to find out how many 
-- iterations were necessary.

SELECT RPL.customer, RPL.contract, RPL.valid_from, MYTABLE.valid_to, RPL.iter+1
FROM RPL, MYTABLE
WHERE MYTABLE.customer = RPL.customer AND
	MYTABLE.contract = RPL.contract AND
	MYTABLE.valid_from = RPL.valid_to + 1 DAY
)
-- Get those records per customer/contract/valid_from-combination 
-- with the highest valid_to

SELECT customer, contract, valid_from, max(valid_to)
FROM RPL
GROUP BY customer, contract, valid_from
ORDER BY customer, contract, valid_from
;
 
The result:
A;1;2000-01-01;2002-02-01;
A;1;2002-03-01;2004-12-01;
A;2;2002-03-01;2003-02-01;
B;1;2000-01-01;2002-02-01;
C;1;2001-12-02;2002-02-01;