Failure mode and effects analysis (FMEA) is a popular and useful approach applied to examine potential failures in different products, designs, processes, and services. As a vital index, the risk priority number (RPN) can determine the risk priorities of failure modes by some risk factors such as occurrence (O), severity (S), and detection (D). However, in FMEA, the traditional risk priority number approach has some shortcomings, especially in setting the weight of risk factors. This paper presents an improved risk priority number approach based on a fuzzy measure and fuzzy integral. A fuzzy measure is used to reflect the importance of the individual indicators and the indicator set and a fuzzy integral is a nonlinear function defined on the basis of fuzzy measure. The weights of risk factors given by domain experts are seen as fuzzy densities to generate a λ-fuzzy measure which can reflect the weights' difference and relevance about risk factors. Then, the Choquet integral is used to fuse every value of risk factors about failure modes so as to obtain the comprehensive evaluation result. The result can reflect the comprehensive risk level, so it has a definite physical significance. Finally, an illustrative example and a comparison with another approach are given to show the effectiveness of the proposed approach in the paper.