We propose a flexible and scalable approximate Bayesian inference methodology for the Cox Proportional Hazards model with partial likelihood. The model we consider includes nonlinear covariate effects and correlated survival times. The proposed method is based on nested approximations and adaptive quadrature, and the computational burden of working with the log-partial likelihood is mitigated through automatic differentiation and Laplace approximation. We provide two simulation studies to show the accuracy of the proposed approach, compared with...