Multivariate risk measures provide as straightforward interpretation of how risky a position is, with the underlying dependence structure. We will illustrate some use of multivariate risk measures for insurance protections against environmental risks. In this presentation, we will see how multivariate risk measures can bring insightful information and help assessing dependent risks. Moreover, special attention will be brought to providing a semi-parametric estimator for multivariate extreme expectiles. Illustrations using simulated and real data will be provided.