The medical term is perinatal.
My brother suffered a perinatal death.
:occurring in, concerned with, or being in the period of the time around birth. [Webster's]
This is different from stillborn, generally meaning the fetus never took a breath of air. These children have usually died a few days before delivery and the uterus expels them whether full term or not.
A nuchal cord for instance, when the umbilical cord wraps around the fetal neck enough to strangulate, can occasionally result in death in which it would be ambiguous of how otherwise to categorize besides perinatal.
There are also many conditions in which the child is born in a condition not compatible with life such as encephaloceles. However, these children can live for several days, months, or even years, as in the case of Tay-Sachs Disease. It is unclear where perinatal ends and infancy begins.