We analyse the survival time of a repairable duplex system characterised by cold standby and by a pre-emptive priority rule. We allow general probability distributions for failure and repair. Moreover, an important realistic feature of the system is the general assumption that the non-priority unit has a memory. This combination of features has not been analysed in the previous literature. Our (new) methodology is based on a concatenation of a Cauchy-type integral representation of the modified Heaviside unit-step function and a two-sided stochastic inequality. Finally, we introduce a security interval related to a security level and a suitable risk-criterion based on the survival function of the system. As a practical application, we analyse some particular cases of the survival function jointly with the security interval corresponding to a security level of 90. © 2012 Taylor & Francis.