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Jérôme Bovay

Publications and source records attributed to Jérôme Bovay.

2 recordsLinked to original sources
arXiv2020

Anomaly and Fraud Detection in Credit Card Transactions Using the ARIMA Model

This paper addresses the problem of unsupervised approach of credit card fraud detection in unbalanced dataset using the ARIMA model. The ARIMA model is fitted on the regular spending behaviour of the customer and is used to detect fraud if some deviations or discrepancies appear. Our model is applied to credit card datasets and is compared to 4 anomaly detection approaches such as K-Means, Box-Plot, Local Outlier Factor and Isolation Forest. The results show that the ARIMA model presents a better detecting power than the benchmark models.

cs.CR↗
arXiv2019

Adaptive Financial Fraud Detection in Imbalanced Data with Time-Varying Poisson Processes

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 the financial dataset shows a better predicting power than a baseline approach, especially in the case of higher imbalanced data.

q-fin.RM↗