In the last years, the importance of an independent validation for the prediction ability of a new gene signature has been largely recognized. Recently, with the development of gene signatures which integrate rather than substitute the clinical predictors in the prediction rule, the focus has been moved to the validation of the added predictive value of a gene signature, i.e. to the verification that the inclusion of the new gene signature in a prediction model is able to improve its prediction ability. The high-dimensional nature of the data from which a new signature is derived raises challenging issues and necessitates to modify classical methods to adapt them to this framework. Here we show how to validate the added predictive value of a signature derived from high-dimensional data and critically discuss the impact of the choice of the different methods on the results. The analysis of the added predictive value of two gene signatures developed in two recent studies on the survival of leukemia patients allows us to illustrate and empirically compare different validation techniques in the high-dimensional framework.