In this study we consider a CONWIP system in which the processing times at each station follow a Coxian distribution and the demands for the finished products arrive according to a compound Poisson process. The demands that are not satisfied immediately are either backordered or lost according to the number of demands that exist at their arrival Instants. For this system we develop an approximation method to calculate performance measures such as steady state probabilities of the number of parts at each station, proportion of lost demands and the mean number of backordered demands. For the analysis of the proposed CONWIP system, we model the CONWIP system as a closed queueing network with a synchronization station and analyze the closed queueing network using a product-form approximation method. A recursive technique is used to solve the subnetwork in the application of the product-form approximation method. To test the accuracy of the approximation method, the results obtained from the approximation method are compared with those obtained by simulation. Comparisons with simulation show that the approximation method provides fairly good results.