I thought I was having a nice easy pregnancy - no sickness, a little bit tired and gassy but that was it. At 9 weeks I got a very small amount of pink spotting, which got slightly heavier over the week so I went to the EPU for a scan. No pain at all. The scan found the embryo hadn't progressed beyond 7 weeks. The day after the scan I got period type cramps so took a couple of ibuprofen. Then felt a gush of blood and spent the next 40 minutes on the toilet with really heavy bleeding - literally drip, drip, drip like a tap. I passed out on the toilet so DP called an ambulance and I was rushed to hospital, where I had to lie on a bed while a very camp chinese man used one of those plastic smear test contraptions to see what was happening and the consultant removed some 'product' that had got stuck in my cervix. I had to have an erpc the next day.
It was not like I expected - there was no pain apart from the period cramps. The most painful thing was my boobs returning to their normal size the net day! I expected the emotional side to be worse (in fact I was disappointed rather than devestated) and hadn't even considered the physical (had been told it would be like a heavy period).
If you want stats, it's about 1 in 4 for miscarriage overall, although age is a big factor (1 in 6 for 20yr olds, 1 in 2 for over 40s iirc)
The risk drops to around 1% or less after 12 weeks (have also heard it's after 9 weeks if a heartbeat has been found)
Stillbirths for white British women 4.5 per 1000. A stillbirth is classed after 6 months, so full term like the tragedy that happened to louise's DD are rarer. I can't imagine what she went through. Also the stats are affected by higher risk pregnancies, like the poor mumsnetter who lost her quads a few months ago, and heavy smokers, drinkers and mums having essential medication for various diseases, and pregnancy-related illnesses. Strangely, your risk is lower if you are married and your husband works for a medium sized organisation
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You're probably going to make yourself worry more by reading threads like this, but try to remember that the stats are still in your favour, many more babies are born healthy than not, and if the worst happens there is a lot of support on here and there will be hope and happiness in your future. 