Given that this is fraud prevention, the correct error function should be measured in dollars. The thing you want to minimise is money lost. Is the cost of all

Given that this is fraud prevention, the correct error function should be measured in dollars. The thing you want to minimise is money lost. Is the cost of allowing a fraudulent transaction through much greater than the cost of blocking a non-fraudulent transaction? Then the error function should reflect that. Minimising F1/accuracy/log-loss is not necessarily going to save the most money.