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Anomaly Detection Model for Imbalanced Datasets

R'egis Houssou,Stephan Robert-Nicoud

2020 · ArXiv: 2011.12390
arXiv.org · 0 Citations

TLDR

The proposed method to detect bank frauds using a mixed approach combining a stochastic intensity model with the probability of fraud observed on transactions shows better predictive power in higher imbalanced data compared to other intensity-based models.

Abstract

This paper proposes a method to detect bank frauds using a mixed approach combining a stochastic intensity model with the probability of fraud observed on transactions. It is a dynamic unsupervised approach which is able to predict financial frauds. The fraud prediction probability on the financial transaction is derived as a function of the dynamic intensities. In this context, the Kalman filter method is proposed to estimate the dynamic intensities. The application of our methodology to financial datasets shows a better predictive power in higher imbalanced data compared to other intensity-based models.