The Pyramid at the End of the World - S10-E8
Trivia: UNIT, and its director Kate Lethbridge-Stewart, was originally going to appear in this episode, but actor scheduling conflicts prevented this - hence the Secretary-General of the UN and the three military officers.
Trivia: The portrait of Queen Victoria visible in the soldiers' camp is not a portrait of the real Queen, but of her as portrayed by Pauline Collins in the Tenth Doctor episode "Tooth and Claw."
Chosen answer: The Master knows that deep down, he deserves death for the crimes that he's committed throughout his life, and since he regards The Doctor as his arch-foe, he expects it to be at his hands. The fact that The Doctor is still willing to forgive him for all of his crimes hurts him more deeply than death would.
Captain Defenestrator