I have a 50% retention rate on overwintered chili plants. It is very
dependant on the actual variety and its low temperature withstand
ability and the variations of temperature during day and night. They
also do not like the dampness and the resultant rot.

Very often they die back from the tips, and as winter progresses the
die back goes further. Hoping that it has not gone all the way, the
plants then shoot out again in spring.

I only ever keep them over 1 winter, and then chuck them out.

http://www.gb-online.co.uk/

They are perennial, but because they are not native to the UK, they
don't like the low light levels in winter (and certainly wouldn't
survive outdoors). So although you can keep them over winter, they get
leggy, and die back a bit, and it's generally better to re-grow from
seed each year.