Matthias Kaspar Schepp wrote in a Feb. 3 letter from Italy that 6-year-olds Alessia and Livia were dead and he would now kill himself, and his body was found later that day, police from the Swiss canton (state) of Vaud said.
Police say Schepp threw himself under a train in the southern Italian city of Cerignola. His letter did not say when or where he killed his children. The girls were reported missing by their mother Jan. 30 when her husband didn't return them to her home in Saint-Sulpice, part of Lausanne, Switzerland.
"The father declared he had killed his two daughters and he was in Cerignola where he was going to kill himself," police spokesman Jean-Christophe Sauterel said.
Police said earlier that Schepp, 43, had used his work computer to trawl the Internet for information on firearms, poisons and suicide.
Roberto Mestichelli, a cousin of Irina Lucidi, the twins' mother, said the family was devastated.
"There was never a thread of hope. There is no hope" of finding the girls alive, he told The Associated Press.
Schepp sent eight letters postmarked from Bari, Italy, to his wife in Switzerland, police said Friday. Seven contained euro4,400 ($6,000) in euro50($68) notes. In the eighth letter, he said he killed the girls and would kill himself. It is not clear exactly when police and the family found out about the letters - the mother went before TV cameras on Wednesday to say there was new hope after police determined the girls were on the ferry to Corsica.
Italian police found two more envelopes containing euro1,500 ($2,000) that Schepp tried to mail to his wife but which he put in unused mailboxes.
Investigators in Switzerland, France and Italy continued their search Friday for the girls, focusing on the French island of Corsica, where Schepp took the girls by overnight ferry from Marseille, France, arriving Feb. 1. French police say Schepp left Corsica alone later that day on a ferry to Toulon, France.
On Corsica, investigators were searching the city of Propriano, where the ferry arrived from Marseille, the towns of Macinaggio and Calvi and spots where the family had vacationed together in happier times. They were flying over in helicopters, checking hotels and camping spots and interviewing people, the Ajaccio gendarmes' office said, but had turned up nothing so far.
In Marseille, police have been probing pharmacies to find out whether Schepp may have bought sleeping pills or other drugs for use on his daughters, the prosecutor's office said. Police checks on about 30 hotels turned up no sign of Schepp or his daughters.
The French newspaper Le Parisien said Schepp's deadly plan was also contained in a will he left in his home in Saint-Sulpice, an affluent community on Lake Geneva. Swiss police said he wrote the will on Jan. 27.
Swiss news agency SDA carried a statement Friday from Schepp's family saying he must have suffered a breakdown. The family in Ettingen, Switzerland, near Basel, described Schepp as a loving and caring father whose family meant everything to him.
"We are united in the certainty that our son and brother could only have committed such terrible acts if he suffered a serious emotional breakdown," the family said.
Associated Press writers Nicole Winfield in Rome, Frank Jordans in Geneva and Angela Doland in Paris contributed.