Adaptive financial fraud detection in imbalanced data with time-varying Poisson processes

Houssou, Régis (School of Management and Engineering Vaud, HES-SO // University of Applied Sciences Western Switzerland) ; Bovay, Jérôme (NetGuardians SA, Yverdon-les-Bains, Suisse) ; Robert, Stephan (School of Management and Engineering Vaud, HES-SO // University of Applied Sciences Western Switzerland)

This paper discusses financial fraud detection in imbalanced dataset using homogeneous and non-homogeneous Poisson processes. The probability of predicting fraud on the financial transaction is derived. Applying our methodology to financial datasets with different fraud profiles shows a better predicting power than a baseline approach, especially in the case of higher imbalanced data.


Keywords:
Article Type:
scientifique
Faculty:
Ingénierie et Architecture
School:
HEIG-VD
Institute:
IICT - Institut des Technologies de l'Information et de la Communication
Date:
2019-12
Pagination:
19 p.
Published in:
Journal of Financial Risk Management
Numeration (vol. no.):
2019, vol. 8, pp. 286-304
DOI:
ISSN:
2167-9533
Appears in Collection:



 Record created 2020-03-25, last modified 2020-03-26

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