Because of inherent stochasticity, cost implication of voltage sags compared to scheduled outages are very high typically for an industrial or commercial load. Since, different types of equipment behave differently during voltage sag events, and interconnection of these types of equipment to control a process or a load is very complex, exact cost calculation of voltage sag events is difficult. The favorable or skeptical ways of cost calculation may not indicate the actual risk of process failure, which is essential for performing the cost-benefit analysis to evaluate possible mitigation solutions. Therefore, calculation of 'risk of process failure' under voltage sag events assumes significance. This paper critically reviews the concept of 'risk of process failure' as viewed by different researchers and highlights the necessity of further research in this area. The overall risk of process failure can be useful for cost-benefit analysis of mitigation methods to minimize the cost implication of voltage sags.