Hazard Function

Definition

The hazard function (or hazard rate) is defined as

$$ h(x) = \frac{f(x)}{S(x)} = \frac{f(x)}{1 - F(x)}, $$

where $f$ is the PDF and $S$ is the Survival Function.

Interpretation

$h(x)\,dx$ approximates the probability of failure in the interval $[x, x+dx)$ given survival up to time $x$.

Cumulative Hazard

$$ H(x) = \int_0^x h(t)\, dt = -\log S(x). $$