www.mpsonline.org.uk/mpsr/
This is the website for the mailing preference service.
If you register the name and address with them, it should stop the mail.
When I registered a death, the Registrar gave me a card to fill in with the deceased's details which also seemed to stop the mail. You could check with your Registrar of Deaths to find out if this still happens.
Alternatively, if you write 'deceased' on the letters and put them back in the post, this might stop them.
All the best, it's tough to have this happen.