We rented our house out for a couple of years and had a similar problem of letters from finanacial institutions turning up. At first I did the not at this address thing but then after my husband died, I got more. It was around the time Piers Morgan's (IIRC) OH had her house sold by a tenant unbeknowst to her so I phoned the companies, I think there were three and explained that I was concerned that these letters were part of a similar scam. They all took it seriously and the letters stopped.