You are unlikely to find books which list the complete systematic nomenclature of all insects - they would be huge tomes and, as Matt says, subject to regular amendment.
There are standard works on Entomology which will include listings of the
orders (indeed, most fieldbooks such as the Collins guides go this far) with keys to
families although these are seldom globally complete - for instance, I have here a copy of 'An Introduction to the Study of Insects' by Borror, Triplehorn and Johnson which is as comprehensive a key to families and
sub-families with notes on some
genera for North America! Complete listings/keys to
species level are generally found at the family level (
e.g. books on the Geometridae, Carabidae, Syrphidae)
but these will usually only apply to one continent or even country.
There are sites on the internet which are working towards computerisation - such as the U. of Arizona Tree of Life project -
Tree of Life Web Project but that's a long way from completion.