Traditional insurance models build on the assumption of independence of risks. One of the main causes of the recent financial crisis, this assumption has facilitated the quantification of risks for decades, but it has often lead to risks' under-estimation and as a result under-pricing. Importantly, one of the prime pillars of the novel concept of Enterprise Risk Management is the requirement that insurance companies have a clear understanding of risks' interconnections within the risk portfolios. However, modeling dependence is not an easy call.