My pension rise letter is returned every year, "Not here" or the like.
They've also returned debit cards, my bank just stopped sending them out.
Makes no difference, if the ONS doesn't tell them you're dead, then you're still alive.
I don't think anyone in the banks or DWP actually cares, but if you tell them different, then they will act (more than there jobs worth).
Allegedly the DWP doesn't have a current address for up to 40% of their pension claimants.