I am the author of the following R packages, available for download:
The R package CIPred
(Cortese G., Andersen P.K. (2010). Competing risks and time-dependent covariates, Biometrical Journal, 52:138-158.)
The CIPred package can be used for estimating or predicting cumulative incidence probabilities and marginal
survival probabilities in a competing risks model in presence of an internal (random) time-dependent covariate.
The R package ProbYX
Cortese G., Ventura L. (2013). Accurate higher-order likelihood inference on P(Y < X). Computational Statistics, 28: 1035-1059, DOI: 10.1007/s00180-012-0343-z.
The package ProxYX can be used for inference on the stress-strength reliability model R = P(Y<X), with Y and X independent continuous random variables. It computes confidence intervals and point estimates for R, under parametric model assumptions (Gaussian and exponential models).