Neat. The minimal example would be if each risk had 50% chance of happening: then the observable correlation coefficient would be -0.5 (not -1, since there is 1/3 chance to get neither risk). If the chance of no disaster happening is N/(N+2), then the correlation will be -1/(N+1).

It is interesting to note that many insurance copula methods are used to make size-dependent correlations, but these are nearly always of the type of stronger positive correlations in the tail. This suggests - unsurprisingly - that insurance does not encounter much anthropic risk.