Referring specifically to the execution of Sejanus' daughter and the murder of Caligula's daughter at the time of his assassination (sources below)

Sejanus' daughter "His children also were put to death by decree, the girl (whom he had betrothed to the son of Claudius) having been first outraged by the public executioner on the principle that it was unlawful for a virgin to be put to death in the prison. His wife Apicata was not condemned, to be sure, but on learning that her children were dead, and after seeing their bodies on the Stairway..." Cassius Dio, Roman History, LVIII.11.5-6.

"It was next decided to punish the remaining children of Sejanus, though the fury of the populace was subsiding, and people generally had been appeased by the previous executions. Accordingly they were carried off to prison, the boy, aware of his impending doom, and the little girl, who was so unconscious that she continually asked what was her offence, and whither she was being dragged, saying that she would do so no more, and a childish chastisement was enough for her correction. Historians of the time tell us that, as there was no precedent for the capital punishment of a virgin, she was violated by the executioner, with the rope on her neck. Then they were strangled and their bodies, mere children as they were, were flung down the Gemoniae." Tacitus, Annals, V.9.

Caligula's daughter "...and his daughter had her brains knocked out against a wall." Suetonius, Caligula, 59.

EDIT: changed Cassius Dio reference from the incorrect Cassius Dio, LVIII.5-6. (typo) to Cassius Dio, Roman History, LVIII.11.5-6. Also NSFW tag was added (presumably by a mod as I don't know how to add them, so a sincere thanks to whoever marked the post as NSFW).