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Sequence classification for credit-card fraud detection - 2018

Author(s) Name:  Johannes Jurgovsky,Michael Granitzer,Konstantin Ziegler,Sylvie Calabretto,Pierre-Edouard Portier,Liyun He-Guelton and Olivier Caelen
Journal name:  Expert Systems with Applications
Conferrence name:  
Publisher name:  ELSEVIER
DOI:  10.1016/j.eswa.2018.01.037
Research Area:  Machine Learning

Due to the growing volume of electronic payments, the monetary strain of credit-card fraud is turning into a substantial challenge for financial institutions and service providers, thus forcing them to continuously improve their fraud detection systems. However, modern data-driven and learning-based methods, despite their popularity in other domains, only slowly find their way into business applications. In this paper, we phrase the fraud detection problem as a sequence classification task and employ Long Short-Term Memory (LSTM) networks to incorporate transaction sequences. We also integrate state-of-the-art feature aggregation strategies and report our results by means of traditional retrieval metrics. A comparison to a baseline random forest (RF) classifier showed that the LSTM improves detection accuracy on offline transactions where the card-holder is physically present at a merchant. Both the sequential and non-sequential learning approaches benefit strongly from manual feature aggregation strategies. A subsequent analysis of true positives revealed that both approaches tend to detect different frauds, which suggests a combination of the two. We conclude our study with a discussion on both practical and scientific challenges that remain unsolved.

Volume Information:  Volume 100, 15 June 2018, Pages 234-245
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