Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 29 / 1 / a

Write $S(t)=\mathbb{P}(T>t)$ for the survival function; this is the function denoted $F_T$ in the survival notation. For a proper continuous event-time distribution with hazard function $h$, its cumulative hazard function is $H(t)={\int }_0^{t}h(s)ds=-\log S(t)$. The probability integral transform makes $S(T)$ uniform on $(0,1)$, including when $S$ has flat intervals: those intervals have zero event probability. ConsequentlyThus the cumulative hazard probability transformation gives $\boxed{H(T)\sim \mathrm{Exponential}(1)}$. No strict monotonicity of $H$ is needed on intervals that carry no event mass. The usual proper continuous survival law is essential; an atom of subjects who never fail would instead require separate treatment of the mass at infinity.