If you're implementing a custom IHttpModule or including a third party Module like NWebSec, here's one way to connect up to any events exposed by your module

nWebSecHttpHeaderSecurityModuleWrapper.cs

public class MyGlobalEventHandler : ApplicationEventHandler 
{
    protected override void ApplicationStarted(UmbracoApplicationBase umbracoApplication, ApplicationContext applicationContext)
    {
        var nWebSecHttpHeaderSecurityModule = umbracoApplication.Modules["NWebSecHttpHeaderSecurityModule"] as HttpHeaderSecurityModule;
        if (nWebSecHttpHeaderSecurityModule != null) 
        {
            nWebSecHttpHeaderSecurityModule.CspViolationReported += NWebSecHttpHeaderSecurityModule_CspViolationReported;
        }

        base.ApplicationStarted(umbracoApplication, applicationContext);
    }

    protected void NWebSecHttpHeaderSecurityModule_CspViolationReported(object sender, CspViolationReportEventArgs e)
    {
        // Do something here
     }
}