They were supposed to call me back and didn't. I ended up just setting a 90 day fraud alert on my credit profile[1] and with ChexSystems[2]. Both are free for people who believe their identity may be compromised; you don't need a police report. They also give you a link to get a free credit report. Both may be renewed after the 90 days expires.

I may still call Anthem back out of principle.

1. https://www.alerts.equifax.com/ - should automatically propagate to the other two

2. https://www.consumerdebit.com/consumerinfo/us/en/chexsystems...