There are many examples of a device suffering damage from random environmental shocks. We model the damage level of such a device as a pure jump Markov process, where the incremental damage caused by a shock depends both on the magnitude of the shock and on the damage level just before the shock. We also look at the time until failure of the device, which occurs when the damage level exceeds a random threshold. The distribution of the failure time and the failure rate are examined, and conditions for the failure rate to be increasing or to have an increasing average are found.
