Over the years, Martin Short has lost many of his closest loved ones - and he's now sharing in a new documentary exactly how he got through it all. Most recently, the comedian lost his daughter, Katherine Short, in February, just weeks after the death of his friend Catherine O'Hara. But grief is something Martin has carried for most of his life. 'Marty, Life is Short' In the trailer for the upcoming Netflix documentary Marty, Life is Short, the actor opens up about how he coped with the deaths of his parents and older brother. "In life, sometimes you hit a green light.