What steps would you recommend I take to protect my identity?
I used to process insurance claims for a living. I have written a few letters informing customers of a privacy breach. The vast majority of the time, the customer really had nothing to worry about. Most customers who get a check or letter that wasn't intended for them are not career criminals waiting with baited breathe to get your info. In fact, I have had to write privacy breach letters when we sent the info to the guy's father by the same name or mother whom they still lived with (or twin brother with a near identical name). Federal law compels the insurance company to inform you. But unless you see weird charges or something, you probably have nothing to be worried about.