Communicating while we are moving has been a desire since long time ago. With mobile communication systems, mobile users can make and receive calls while they are moving independent of time, location and network access. One of the most attractive feature that came with the Global System for Mobile communication (GSM) is roaming. Wireless systems are more vulnerable to fraudulent access and eavesdropping. As a remedy for that, GSM is giving more importance for the user's privacy and authentication process. Although the process is giving a reasonable security level, it is overloading the network with significant signaling traffic and increasing the call set up time. The signaling load and the authentication delay are of particular importance and become the subject of widespread research interest. In this paper, we will study and analyze the GSM authentication protocols for roaming users, and propose a new scheme with less signaling traffic and better call set up time.