The joist space is commonly insulated with fiberglass batts jammed up into the cavity. The header should have been well sealed with caulking first. (search keyword "sealing" for the title " WHERE SHOULD I SEAL AND HOW?") The batts should be covered with simple paper (an acceptable vapour barrier in this exceptional case) or, for a super job, cover them with a well-fitted piece of Styrofoam, caulked all around.
For those houses where the joists sit into (rather than on top of) a solid masonry foundation, it has been found that, despite the heat loss, this space should not be insulated. Doing so will invariably cause moisture damage in the ends of the joists. Sealing this area well on the inside with caulking will not cause moisture damage and will cut down significantly on general heat losses. Insulating from the outside of the house is the only way this type of joist/header area can be insulated without any danger of structural damage.