The comments are included in a new charity book, in which the Prime Minister, pictured with his wife at her funeral, describes how his initial joy at Jennifer's birth gave way to grief after they learned the prematurely born 2lb baby wouldn't survive.
"I was overjoyed," he told writer Julia Ogilvy on the subject of becoming a father for the first time. "The happiness of seeing a first child, a daughter, born is something that you just cannot describe, even when it happens in difficult circumstances."
His voice breaking with emotion, Mr Brown described how he tried to be strong as her life ebbed away. "We just had to keep going for Jennifer, and I had to keep going for Sarah."
Some consolation came from the fact that Jennifer knew, he says, "that love surrounded her. You feel that she recognised our voices and our touch".