You will need to wait until you are in receipt of your annuity and then complete the DT individual UK/France, which you can find here:
Double Taxation: UK-France (SI 2009 Number 226) (Form France-Individual)
You should complete the form and send it to the French tax authorities for validation.
The French authorities will sign and stamp the form to confirm that you are resident in France for tax purposes and your annuity is taxable there. They will return the form to you, at which point you send it to HMRC at the address on the form.
Once the validated form is processed, we can repay any tax deducted by the annuity provider.