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The aim of our work is to propose a methodology for modeling the dependency between different non-life insurance portfolios through the risk factors behind such portfolios. As in reality it is difficult to build an explicit model for the risk factors and their impact on the non-life exposures, our work provides a way to approach it in an implicit way. Among the advantages of our methodology there is the ability to quantify the contribution of a risk factor to the total insurance risk and to model non-linear dependencies.