Milan Kundera's The Art of the Novel is a great treatise on this. Though he explicitly says "I am not a philosopher", his explication of what the novel is capable of that, perhaps, prose philosophy isn't, is very illuminating. His calling himself not a philosopher seems to me to be just an extreme adherence to the conceptual possibilities of conveying ideas within a novel. I think he probably imagines he is doing much better philosophy than 'philosophy' is capable of in its traditional modes. Hermann Broch is another great exponent of the philosophic possibilities of literature ("The Unknown Quantity", "Geist and Zeitgeist"). Martha Nussbaum writes on this as well.
There is a body of literature around Shakespeare's works as constituting political science, which should be of interest.
Much French philosophy operates accordingly, as has been mentioned. Beyond the obvious such as Camus and Sartre, check out Raymond Queneau's Odile (he did his PhD in philosophy, and was involved in the Kojevian scene in Paris - which he responds to in his novels). Edmond Rostand's Cyrano de Bergerac is another example (point of interest - his work Chantecler was a primary inspiration for Orwell's Animal Farm).
A good resource on this topic is "The Art of the Novel" series by the Paris Review. They did interviews with many of the 20th century's most substantial novelists, where many of them laid out their method and the philosophical questions they were trying to ask/answer in their works.
Another good resource is Noble Prize acceptance speeches. Many authors will outline their philosophical programs in said speeches. Naguib Mahfouz comes to mind, also an author who considered himself to be doing philosophy (often called the Egyptian existentialist).
One might say there is a difference between those who write philosophically and those who write literary philosophy. I am not of that mind, but is a distinction to be aware of.