Unlike many other antimalware programs that look at malware signatures to see whether you're infected, this program instead analyzes the actions of applications to see whether any exhibits suspicious behaviour. If they do, AVG Identity Protection shuts down the program.
You can customise AVG Identity Protection in a variety of ways by telling it that certain applications are safe, for example. The program runs alongside your existing antimalware software and supplements it, rather than replaces it.
There's only one problem with AVG Identity Protection: its price. At £19, it's not cheap, especially considering that many antimalware programs are free. So you'll have to decide whether the extra peace of mind is worth the extra cost.
As an extra level of layered protection its hard to fault AVG Identity Protection - until you consider its price.