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.