arXiv subjects

Bruno Deprez

Publications and source records attributed to Bruno Deprez.

5 recordsLinked to original sources

arXiv2026

Is TabPFN the Silver Bullet for Insurance Pricing?

Modelling claim frequency and severity for non-life insurance pricing predominantly relies on generalised linear models, with gradient-boosted machines as the leading machine learning alternative. Tabular foundation models (TFMs) present a fundamentally different inference paradigm. By pre-training on large collections of synthetic datasets, TFMs enable inference on new data through in-context learning, without any dataset-specific fitting or hyperparameter tuning. This paper presents a first empirical evaluation of TabPFN for motor insurance pricing, benchmarking it against GLM and XGBoost on two publicly available MTPL datasets. Our results show that TabPFN does not consistently outperform established baselines, exhibits substantially longer inference times, and is sensitive to the size of the in-context training set. While tabular foundation models represent a promising direction, particularly in data-scarce settings, their current performance does not offer a viable replacement for established actuarial methods.

q-fin.RM↗

arXiv2025

Inductive inference of gradient-boosted decision trees on graphs for insurance fraud detection

Graph-based methods are becoming increasingly popular in machine learning due to their ability to model complex data and relations. Insurance fraud is a prime use case, since fraudulent claims are often the result of organised criminals that stage accidents or the same persons filing erroneous claims on multiple policies. One challenge is that graph-based approaches struggle to find meaningful representations of the data because of the high class imbalance present in fraud data. In addition, insurance graphs are heterogeneous and dynamic, given the changing relations among people, companies and policies. As a result, gradient-boosted tree approaches on tabular data still dominate the field. Therefore, we present a novel inductive graph gradient boosting machine (G-GBM) for supervised learning on heterogeneous and dynamic graphs. G-GBM combines the class-imbalance robustness of gradient boosting with heterogeneous graph information encoded through interpretable path-level feature concatenations, while preserving access to the original tabular feature space. In addition, the explicit representation of neighbourhood information enables transparent SHAP-based explanations at the metapath and feature level. We demonstrate G-GBM for insurance fraud detection on an open-source and a real-world, proprietary dataset, and find that G-GBM performs on par or better than the state-of-the-art. The associated insurance fraud dataset is publicly released to facilitate reproducibility.

cs.LG↗

arXiv2025

GARG-AML against Smurfing: A Scalable and Interpretable Graph-Based Framework for Anti-Money Laundering

Purpose: We introduce GARG-AML, a fast and transparent graph-based method to catch `smurfing', a common money-laundering tactic. It assigns a single, easy-to-understand risk score to every account in both directed and undirected networks. Unlike overly complex models, it balances detection power with the speed and clarity that investigators require. Methodology: The method maps an account's immediate and secondary connections (its second-order neighbourhood) into an adjacency matrix. By measuring the density of specific blocks within this matrix, GARG-AML flags patterns that mimic smurfing behaviour. We further boost the model's performance using decision trees and gradient-boosting classifiers, testing the results against current state-of-the-art on both synthetic and open-source data. Findings: GARG-AML matches or beats state-of-the-art performance across all tested datasets. Crucially, it easily processes the massive transaction graphs typical of large financial institutions. By leveraging only the adjacency matrix of the second-order neighbourhood and basic network features, this work highlights the potential of fundamental network properties towards advancing fraud detection. Originality: The originality lies in the translation of human expert knowledge of smurfing directly into a simple network representation, rather than relying on uninterpretable deep learning. Because GARG-AML is built expressly for the real-world business demands of scalability and interpretability, banks can easily incorporate it in their existing AML solutions.

cs.SI↗

arXiv2025

Advances in Continual Graph Learning for Anti-Money Laundering Systems: A Comprehensive Review

Financial institutions are required by regulation to report suspicious financial transactions related to money laundering. Therefore, they need to constantly monitor vast amounts of incoming and outgoing transactions. A particular challenge in detecting money laundering is that money launderers continuously adapt their tactics to evade detection. Hence, detection methods need constant fine-tuning. Traditional machine learning models suffer from catastrophic forgetting when fine-tuning the model on new data, thereby limiting their effectiveness in dynamic environments. Continual learning methods may address this issue and enhance current anti-money laundering (AML) practices, by allowing models to incorporate new information while retaining prior knowledge. Research on continual graph learning for AML, however, is still scarce. In this review, we critically evaluate state-of-the-art continual graph learning approaches for AML applications. We categorise methods into replay-based, regularization-based, and architecture-based strategies within the graph neural network (GNN) framework, and we provide in-depth experimental evaluations on both synthetic and real-world AML data sets that showcase the effect of the different hyperparameters. Our analysis demonstrates that continual learning improves model adaptability and robustness in the face of extreme class imbalances and evolving fraud patterns. Finally, we outline key challenges and propose directions for future research.

cs.LG↗

arXiv2024

Network Analytics for Anti-Money Laundering -- A Systematic Literature Review and Experimental Evaluation

Money laundering presents a pervasive challenge, burdening society by financing illegal activities. The use of network information is increasingly being explored to effectively combat money laundering, given it involves connected parties. This led to a surge in research on network analytics for anti-money laundering (AML). The literature is, however, fragmented and a comprehensive overview of existing work is missing. This results in limited understanding of the methods to apply and their comparative detection power. This paper presents an extensive and unique literature review, based on 97 papers from Web of Science and Scopus, resulting in a taxonomy following a recently proposed fraud analytics framework. We conclude that most research relies on expert-based rules and manual features, while deep learning methods have been gaining traction. This paper also presents a comprehensive framework to evaluate and compare the performance of prominent methods in a standardized setup. We compare manual feature engineering, random walk-based, and deep learning methods on two publicly available data sets. We conclude that (1) network analytics increases the predictive power, but caution is needed when applying GNNs in the face of class imbalance and network topology, and that (2) care should be taken with synthetic data as this can give overly optimistic results. The open-source implementation facilitates researchers and practitioners to extend this work on proprietary data, promoting a standardised approach for the analysis and evaluation of network analytics for AML.

cs.SI↗