Chancellor Gordon Brown and his wife Sarah were last night mourning the loss of their ten-day-old baby daughter Jennifer Jane after she died in their arms.

The tiny baby lost her battle for life at an Edinburgh Hospital, three days after suffering a brain haemorrhage.

The heartbroken couple left the Simpson Memorial Maternity Pavilion by car about an hour before the death was officially announced in a brief statement from the hospital.

It said simply: "At 5.20pm today Jennifer Jane died peacefully in her parents' arms."

Last night, Prime Minister Tony Blair offered his sympathy to the couple during a visit to Afghanistan.

Clearly upset and with a faltering voice, Mr Blair said: "I feel so desperately sorry for Gordon and Sarah. I know how much Gordon was looking forward to being a father.

"I know how proud they both were of Jennifer Jane and I know what wonderful parents they would have been to her.

"I am afraid there is very little that anyone can say of comfort at such a time, with such a tragedy, but I hope it is of some comfort to them that I know everyone in our country will be thinking of them at this time and keeping them in their prayers and that's really all I wish to say."

Jennifer Jane was transferred to the specialist neo-natal unit in Edinburgh on Friday after an ultrasound scan detected the cerebral haemorrhage.

There she was given round-the-clock care by a team of specialist doctors and nurses in Scotland's biggest neo-natal unit.

However, the brain haemorrhage proved too much for her tiny body and she died, a day after being christened.

Mr and Mrs Brown had kept a vigil at their daughter's side since she was admitted to the Edinburgh hospital.

Yesterday morning, Sarah's mother Pauline and her stepfather Patrick Vaughan called in to support the couple and spend some last moments with their granddaughter.

The Chancellor's brother, John Brown, had also been a visitor to his niece's bedside.

Jennifer was born seven weeks prematurely on December 28 by Caesarean section following concerns about her development.

She weighed only 2lb 4oz when she was delivered at the Forth Park Maternity Hospital in Kirkcaldy, Fife.

Initially, reports of her health were positive, her early jaundice cleared and she was breathing on her own and tolerating food.

During one of his visits to the Fife hospital, 50-year-old Mr Brown had spoken of how his daughter was doing well and was scarcely able to conceal his joy at her arrival.

His wife was discharged from hospital last Thursday and, although managing a brave smile for the waiting media, Mrs Brown looked upset at leaving her daughter behind.

Few announcements were made on the baby's health until it was confirmed on Saturday that she had been transferred to the unit in Edinburgh.

Then the Brown's announced yesterday that her condition had deteriorated following a brain haemorrhage.

Last night, the world of politics was united in offering sympathy to the couple.

Conservative Party leader Iain Duncan Smith said his thoughts and prayers were with the Browns at this "devastating" time.

He said: "The loss of a child is the most devastating blow any family can suffer."

Liberal Democrat leader Charles Kennedy said: "Our hearts go out to Gordon and Sarah Brown at this very sad time for them. I send them my deepest condolences and we must now all now respect their privacy."