Jason Connery said his father "had many of his family who could be in the Bahamas around him" when he died overnight in Nassau.
He said: "We are all working at understanding this huge event as it only happened so recently, even though my dad has been unwell for some time.
"A sad day for all who knew and loved my dad and a sad loss for all people around the world who enjoyed the wonderful gift he had as an actor."
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