In his first show at the Edinburgh Festival Fringe, the veteran broadcaster showed a long clip of an interview he filmed with the late Christopher Hitchens, the writer and journalist, who was also a friend.
Hitchens discussed his "resistance" to cancer, before his death in 2011.
The show is aided by a wheel, which Paxman spins to generate a new topic of discussion or film clip, and yesterday, at the first daytime show of the festival run, it landed on Death.
He said: "Death is the one thing that awaits every one of us and of course it is completely unknowable.
"It seems to me we should all be making some preparation for a decent death, and speaking for myself, I have no objection to assisted suicide, at all.
"If it requires someone to help you, I think they should be entitled to help you."
In the one hour one-man show at the Cabaret Bar of the Pleasance venue at the Fringe, Paxman leads his audience through his own views on a series of topics ranging from his love of fly fishing, to the success of University Challenge, and his interviews with politicians and notable figures, but notably stays away from his own political views.
The show involves Paxman expounding on a number of subjects, as well as clips from his career at the BBC, including the interview in 2012 where he compared First Minister Alex Salmond to Robert Mugabe.
The show did not touch on the issue of Scottish independence.