Since I recently got two requests, from two researchers who asked me how to inclued proper references of papers that can be downloaded from this blog, I can mention that there is a bibtex file here including most of my publications (since I do not mention them precisely on that blog). To be more specific, on the estimation of densities of copulas (mentioned here, with R codes).

Charpentier, A., Fermanian, O., and Scaillet, O. (2007). The Estimation of Copulas: Theory and Practice. in Copulas: From theory to application in finance, J. Rank Editor. Risk Books; 35-62.
and for catastrophe options,
Charpentier, A. (2008). Pricing catastrophe options in incomplete market. in Proceedings of the Actuarial and Financial Mathematics Conference, M.Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, H. Reynaerts,W. Schoutens & P. Van Goethem Editors, WK, 19-31.
That paper was mentioned there.