Credit Card Fraud Detection with Artificial Immune System

Authors:
Manoel Fernando Gadi;Xidi Wang;Alair Pereira Lago
Affiliations:
Departamento de Ciência de Computação Instituto de Matemática e Estatística, Universidade de São Paulo, São Paulo, Brazil 05508-090 and Grupo Santander, Abbey Na ...;Citibank, São Paulo, Brazil;Departamento de Ciência de Computação Instituto de Matemática e Estatística, Universidade de São Paulo, São Paulo, Brazil 05508-090
Venue:
ICARIS '08 Proceedings of the 7th international conference on Artificial Immune Systems
Year:
2008

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Abstract

We apply Artificial Immune Systems(AIS) [4] for credit card fraud detection and we compare it to other methods such as Neural Nets(NN) [8] and Bayesian Nets(BN) [2], Naive Bayes(NB) and Decision Trees(DT) [13]. Exhaustive search and Genetic Algorithm(GA) [7] are used to select optimized parameters sets, which minimizes the fraud cost for a credit card database provided by a Brazilian card issuer. The specifics of the fraud database are taken into account, such as skewness of data and different costs associated with false positives and negatives. Tests are done with holdout sample sets, and all executions are run using Weka [18], a publicly available software. Our results are consistent with the early result of Maes in [12] which concludes that BN is better than NN, and this occurred in all our evaluated tests. Although NN is widely used in the market today, the evaluated implementation of NN is among the worse methods for our database. In spite of a poor behavior if used with the default parameters set, AIS has the best performance when parameters optimized by GA are used.