 Feature Engineering for Anti-Fraud Models Based on Anomaly DetectionDamian Przekop ()
Central European Journal of Economic Modelling and Econometrics, 2020, vol. 12, issue 3, 301-316 Abstract: The paper presents two algorithms as a solution to the problem of identifying fraud intentions of a customer. Their purpose is to generate variables that contribute to fraud models’ predictive power improvement. In this article, a novel approach to the feature engineering, based on anomaly detection, is presented. As the choice of statistical model used in the research improves predictive capabilities of a solution to some extent, most of the attention should be paid to the choice of proper predictors. The main finding of the research is that model enrichment with additional predictors leads to the further improvement of predictive power and better interpretability of anti-fraud model. The paper is a contribution to the fraud prediction problem but the method presented may generate variable input to every tool equipped with variableselection algorithm. The cost is the increased complexity of the models obtained. The approach is illustrated on a dataset from one of the European banks. Keywords: fraud detection; application fraud; feature engineering; anomaly detection; risk modeling (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:12:y:2020:i:3:p:301-316 Access Statistics for this article More articles in Central European Journal of Economic Modelling and Econometrics from Central European Journal of Economic Modelling and Econometrics |
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