An Explainability-Driven SHAP-Weighted Ensemble Framework for Fraud Detection: Insights into Model Contribution Dynamics

Ensemble learning has been widely adopted in fraud detection; however, conventional ensemble strategies rely on uniform or performance-based weighting schemes that treat explainability as a post hoc annotation rather than an architectural component. This study addresses the research goal of whether SHAP attribution values can serve as a principled, instance-specific weighting mechanism within an ensemble, thereby embedding interpretability directly into the aggregation process. A SHAP-Weighted Ensemble (SWE) framework is proposed in which the L2 norm of each base model’s SHAP attribution vector, computed at prediction time, is used to derive instance-specific voting weights via Softmax normalization. Three linear base learners (logistic regression, robust LR, calibrated linear SVM) are combined, with LinearSHAP providing exact attribution values. A comprehensive evaluation protocol was applied on a real-world vehicle insurance claims dataset, including bootstrap 95% confidence intervals, McNemar’s test, a three-way ablation study comparing equal weighting, SWE, and validation-AUC weighting, F1-optimal threshold selection, expected calibration error, and cost-sensitive evaluation under asymmetric misclassification costs. The central finding is that SWE achieves performance statistically comparable to both simpler baselines across all evaluated metrics (ROC-AUC = 0.774, 95% CI [0.681, 0.862]; F1 = 0.679, 95% CI [0.569, 0.774]; McNemar p = 1.000), while producing a transparent, per-claim weighting trace that equal-weight voting cannot provide. A KernelSHAP influence analysis conducted directly on the SWE confirms that SHAP-derived weights are substantially aligned with actual model influence ratios (LR: 1.05×, LR_R: 1.05×, SVM: 0.81×), validating the weighting mechanism empirically. An exploratory analysis of a seven-model equal-weight diagnostic ensemble reveals a negative correlation (r = −0.721, p = 0.067) between individual model performance and ensemble influence; a theoretically coherent finding that does not reach statistical significance at conventional thresholds. The primary contribution of SWE is architectural and interpretability-driven: it produces an auditable, instance-level model-weighting mechanism grounded in SHAP attribution theory, supporting regulatory accountability under GDPR Article 22 and the EU AI Act.

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2026-06-18
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https://doi.org/10.3390/info17060607
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Imbalanced Data Classification Techniques
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An Explainability-Driven SHAP-Weighted Ensemble Framework for Fraud Detection: Insights into Model Contribution Dynamics

Thulane Paepae, Nadia Charlene Erasmus
Information
Imbalanced Data Classification Techniques
article

An Explainability-Driven SHAP-Weighted Ensemble Framework for Fraud Detection: Insights into Model Contribution Dynamics

Thulane Paepae, Nadia Charlene Erasmus
article en

Abstract

Ensemble learning has been widely adopted in fraud detection; however, conventional ensemble strategies rely on uniform or performance-based weighting schemes that treat explainability as a post hoc annotation rather than an architectural component. This study addresses the research goal of whether SHAP attribution values can serve as a principled, instance-specific weighting mechanism within an ensemble, thereby embedding interpretability directly into the aggregation process. A SHAP-Weighted Ensemble (SWE) framework is proposed in which the L2 norm of each base model’s SHAP attribution vector, computed at prediction time, is used to derive instance-specific voting weights via Softmax normalization. Three linear base learners (logistic regression, robust LR, calibrated linear SVM) are combined, with LinearSHAP providing exact attribution values. A comprehensive evaluation protocol was applied on a real-world vehicle insurance claims dataset, including bootstrap 95% confidence intervals, McNemar’s test, a three-way ablation study comparing equal weighting, SWE, and validation-AUC weighting, F1-optimal threshold selection, expected calibration error, and cost-sensitive evaluation under asymmetric misclassification costs. The central finding is that SWE achieves performance statistically comparable to both simpler baselines across all evaluated metrics (ROC-AUC = 0.774, 95% CI [0.681, 0.862]; F1 = 0.679, 95% CI [0.569, 0.774]; McNemar p = 1.000), while producing a transparent, per-claim weighting trace that equal-weight voting cannot provide. A KernelSHAP influence analysis conducted directly on the SWE confirms that SHAP-derived weights are substantially aligned with actual model influence ratios (LR: 1.05×, LR_R: 1.05×, SVM: 0.81×), validating the weighting mechanism empirically. An exploratory analysis of a seven-model equal-weight diagnostic ensemble reveals a negative correlation (r = −0.721, p = 0.067) between individual model performance and ensemble influence; a theoretically coherent finding that does not reach statistical significance at conventional thresholds. The primary contribution of SWE is architectural and interpretability-driven: it produces an auditable, instance-level model-weighting mechanism grounded in SHAP attribution theory, supporting regulatory accountability under GDPR Article 22 and the EU AI Act.

InformationVol. 17(6)
University of Johannesburg (ZA)
Peace, Justice and strong institutions
Openalex Percentile: Top 4%
Imbalanced Data Classification Techniques
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