The Cox model is the model of choice when analyzing right-censored and possibly left-truncated survival data. The present paper proposes a program to estimate the hazard function in a proportional hazards model and also to treat more complex observation schemes involving general censored and left-truncated data. The hazard function estimator is defined non-parametrically as the function which maximizes a penalized likelihood, and the solution is approximated using splines. The smoothing parameter is chosen using approximate cross-validation. Confidence bands for the estimator are given. As an illustration, the age-specific incidence of dementia is estimated and one of its risk factors is studied.