This paper focuses on the study of a new method for detecting masqueraders in computer systems. The main feature of such masqueraders is that they have knowledge about the behavior profile of legitimate users. The dataset provided by Schonlau et al. [1], called SEA, has been modified for including synthetic sessions created by masqueraders using the behavior profile of the users intended to impersonate. It is proposed an hybrid method for detection of masqueraders based on the compression of the users sessions and Hidden Markov Models. The performance of the proposed method is evaluated using ROC curves and compared against other known methods. As shown by our experimental results, the proposed detection mechanism is the best of the methods here considered.