The Cox regression, a semi‐parametric method of survival analysis, is extremely popular in biomedical applications. The proportional hazards assumption is a key requirement in the Cox model. To accommodate non‐proportional hazards, we propose to parameterize the shape parameter of the baseline hazard function using the additional, separate Cox‐regression term which depends on the vector of the covariates. This parametrization retains the general form of the hazard function over the strata and is similar to one in Devarajan and Ebrahimi (Comput Stat Data Anal. 2011;55:667–676) in the case of the Weibull distribution, but differs for other hazard functions. We call this model the double‐Cox model. We formally introduce the double‐Cox model with shared frailty and investigate, by simulation, the estimation bias and the coverage of the proposed point and interval estimation methods for the Gompertz and the Weibull baseline hazards. For real‐life applications with low frailty variance and a large number of clusters, the marginal likelihood estimation is almost unbiased and the profile likelihood‐based confidence intervals provide good coverage for all model parameters. We also compare the results from the over‐parametrized double‐Cox model to those from the standard Cox model with frailty in the case of the scale‐only proportional hazards. The model is illustrated on an example of the survival after a diagnosis of type 2 diabetes mellitus. The R programs for fitting the double‐Cox model are available on Github.