# Darth Vader Rule: what is the reason for its name, and a formal proof?

I often hear the term "Darth Vader Rule" when calculating the expected value using the survival function and taking the integral where it is defined.

I am not quite sure why it is called that (is it customary?) and I would also like to know a formal proof of it. I tried to look around, but I have a feeling that the name of this rule is not official and I cannot seem to find it right away.

• It's when you question a proof, and the speaker finds your lack of faith to be disturbing. – Asaf Karagila Sep 4 '14 at 20:17
• Before anyone else votes to close this question, please note that web search for "darth vader rule" does show that the term is widely-used in actuarial circles. So presumably the question, which is "what is a proof of it", is perfectly clear to someone who is familiar with actuarial matters. – MJD Sep 4 '14 at 20:22
• See for example here. Google first! – Winther Sep 4 '14 at 20:22
• For intuitive explanations as well as more formal proofs, see the answers to this question. – Dilip Sarwate Sep 4 '14 at 20:33
• statsravingmad.wordpress.com/2010/01/25/… says the joke is that Darth Vader was a "true survivor". I still don't get it. – Nate Eldredge Sep 4 '14 at 21:06

A basic proof uses Lebesgue Integration.

Let $S(x)$ be a survival function on $x\in [0,\infty]$, then $S(x)$ is a monotonically decreasing function starting at $S(0)=1$ and $\lim\limits_{x\rightarrow \infty} S(x)= 0$.

Now, lets calculate the area under the curve using a Lebesgue Sum, of $S(x)$.

$L_S:= \sum\limits_{\eta_i\in \chi_S} \Delta(\eta_i)\mu(S^{-1}(\eta_i))$

Where:

• $\chi_S$ is a partition of the range of $S(x)$ into a set of intervals.
• $\Delta(\eta_i)$ is the length of interval $\eta_i \in \chi_S$
• $\mu(S^{-1}(\eta_i))$ is the Lebesgue measure $\mu$ (i.e., total length) of the interval on the x-axis where $S(x)\geq \inf \eta_i$

Such an integral can be hard to interpret. However, since $S(x)$ is monotonic-decreasing, we know that the set of $x$ values in each term of the summation will have a special property: $\mu(S^{-1}(\eta_i))=x_i:S(x)=\inf \eta_i$, which means we can dispense with the Lebesgue measure and just use the actual function inverse:

$L_S := \sum\limits_{\eta_i\in \chi_S} \Delta(\eta_i)S^{-1}(\eta_i)$

Now, lets take the limit of the Lebesgue sum to get a Lebesgue Integral:

$\lim\limits_{\Delta(\eta_i)\rightarrow 0} \sum\limits_{\eta_i\in\chi_S} \eta_i\mu(S^{-1}(\eta_i)) = \int_0^1 S^{-1}(z)dz$ [This can be envisioned as the limit of a series of stacked rectangles (i.e. a Riemann sum on the inverse of S)].

However, note that $dz = dS = dP$; thus, an interval on the y-axis represents a probability, and the limit of this interval represents a density, so we can re-write the integral using the fact that $\int f(x) dx = \int f^{-1}(y) dy$:

$\int_0^1 S^{-1}(z)dz = \int_0^{\infty} xdS=\int_0^{\infty} xdP = E[X]\;\;\text{ where } F_X(x)=1-S(x)$

• wow, I did not think that it would be so beyond my knowledge. Thank you for your help, though. Hopefully someday I will come back here and be able to understand your proof. – hyg17 Sep 5 '14 at 7:27
• @hyg17 sorry, I didn't intend to confuse...was trying to satisfy the "formal" part of your request for a proof. I am actually an applied math person myself, so the way I actually view this is simply as a regular integral, except you treat the Y axis as the domain, and the X axis as the range (i.e., value of the function). This will get you the same result: dy=dP and the horizontal "rectangles" (in a Riemann sense) will give the area under the curve (once you integrate over all values of Y) – user76844 Sep 5 '14 at 15:20