Over the last few decades, machine learning and data mining have been increasingly used for clinical prediction in ICUs. However, there is still a huge gap in making full use of the time-series data generated from ICUs. Aiming at filling this gap, we propose a novel approach entitled Time Slicing Cox regression (TS-Cox), which extends the classical Cox regression into a classification method on multi-dimensional time-series. Unlike traditional classifiers such as logistic regression and support vector machines, our model not only incorporates the discriminative features derived from the time-series, but also naturally exploits the temporal orders of these features based on a Cox-like function. Empirical evaluation on MIMIC-II database demonstrates the efficacy of the TS-Cox model. Our TS-Cox model outperforms all other baseline models by a good margin in terms of AUC_PR, sensitivity and PPV, which indicates that TS-Cox may be a promising tool for mortality prediction in ICUs.