For the past few decades, many statistical methods in genome-wide association studies (GWAS) have been developed to identify SNP-SNP interactions for case-control studies. However, there has been less work for prospective cohort studies, involving the survival time. Recently, Gui et al. (2011) proposed a novel method, called Surv-MDR, for detecting gene-gene interactions associated with survival time. Surv-MDR is an extension of the multifactor dimensionality reduction (MDR) method to the survival phenotype by using the log-rank test for defining a binary attribute. However, the Surv-MDR method has some drawbacks in the sense that it needs more intensive computations and does not allow for a covariate adjustment. In this article, we propose a new approach, called Cox-MDR, which is an extension of the generalized multifactor dimensionality reduction (GMDR) to the survival phenotype by using a martingale residual as a score to classify multi-level genotypes as high- and low-risk groups. The advantages of Cox-MDR over Surv-MDR are to allow for the effects of discrete and quantitative covariates in the frame of Cox regression model and to require less computation than Surv-MDR.