Proof?
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Maybe he was Grim Reaper first but then people started using Phoenix Downs so his employer weren´t satisfied anymore and he got fired. Current Death makes pretty lousy job too since every dead characters spirit still comes helping and kicking bad guys asses.
Exodus?
After what? The escape of the Jews from Egypt in the Bible?
Or does it simply mean that he is a character who runs away from things?
I don't see how the character relates to anything that has to do with Exodus.
They probably named him Ex-Death because, for all I can tell, that must mean "Alive" (which he is), and even that tritely basic aspect of his character is more relevant than Exodus.
Another possibility is that he is an Ex-Death (the same way somebody might be an Ex-Spouse), which means that he has fallen out of death or been divorced from death- that is, Dude and Death mutually agreed that Ex-Death should be allowed to live after dying or merely live without the option of dying.
This theory is obviously false since (SPOILER)ExDeath is killed at the end of the game.
Gilgamesh's name doesn't really make much sense either. Square seemed to like naming people with mythological references without really putting much thought into why they were making them.
True, Dissidia has him listed as Exdeath despite Golbez and Firion being called by their correct spellings.