So, you mean an estate income tax return, Form 1041.  (A coward dies 1,000 deaths, but wealthy Americans file only one 706.)  You can't say there were no assets, if there was an annuity that pays $10,000 a year.  Unless maybe someone didn't notify the insurance company of the death.  Was this maybe owned by a trust with an EIN, before death?  

Follow the money.  Where does the payment go?  Does it stay in an account that is not in the estate beneficiary's name?  Has anyone been paying tax on the distribution?  Have you seen the 1099-R?  Does it state how much is taxable?