The answer to this question is provided by the European Commission.

Article 13(13) of Directive 2009/138/EC (Solvency II Directive) covers the definition of the "Member State where the risk is situated". It essentially identifies the Member State where the risk is situated for three specific situations, and provides for a default identification in other situations:
a. the Member State where the property is situated (if insurance relates to buildings etc.),
b. the Member State of registration (when the insurance relates to vehicles),
c. the Member State where the policy holder took out the policy (travel insurance for less than four months), or
d. for all other cases not explicitly covered by (a) to (c), the Member State of the habitual residence of the policy holder, or the Member State where the policy holder's establishment is located if the policy holder is a legal person.

In this sense the European Court of Justice clarified that “the Community legislature intended to propose, for all types of risk insured, a solution enabling the State where the risk is situated to be determined on the basis of concrete and physical, rather than legal criteria. The purpose was that there should be a concrete factor corresponding to each risk which would allow it to be localised in a specific Member State” (judgement of 14 June 2001, Kvaerner, C-191/99, EU:C:2001:332, paragraph 44).
Moreover, the Court has stated that the objective of Article 13(13) point (d) of Directive 2009/138, was “in particular to lay down a residual rule for the determination of the place where a business risk is situated when that risk is not specifically linked to a building, a vehicle or travel. To that end, emphasis is placed on the place where the activity whose risk is covered by the contract is exercised” (see, to that effect, judgment of 14 June 2001, Kvaerner, C-191/99, EU:C:2001:332, paragraph 46).
In relation to contracts that cover multiple risks, the ECJ highlighted support for the interpretation given by the Insurance Committee created pursuant to Article 1 of Council Directive 91/675/EEC of 19 December 1991 setting up an insurance committee (OJ 1991 L 374, p. 32) at its 16th meeting on 8 April 1997. That Committee declared that: “In the event that a single insurance contract covers risks/commitments belonging to a policy-holder's subsidiaries or branches, the location of the various risks/commitments covered by this contract must be determined on an individual basis for each risk/commitment”, (judgement of 14 June 2001, Kvaerner, C-191/99, EU:C:2001:332, paragraph 54).

Furthermore, even in the context of Article 13 point (13) (a) and (b) the wording acknowledges that an insurance policy may cover several buildings (and their contents) or several vehicles, without envisaging that those are situated in the same Member States. It follows that even under the specific scenarios there may be several Member States where the risk is situated for the same insurance policy.
Therefore, when an insurance contract relates to buildings which are situated in one Member State and also to vehicles registered in a different Member State, the risks are situated in those two Member States in accordance with Article 13(13)(a) and (b).

Disclaimer provided by the European Commission:

The answers clarify provisions already contained in the applicable legislation. They do not extend in any way the rights and obligations deriving from such legislation nor do they introduce any additional requirements for the concerned operators and competent authorities. The answers are merely intended to assist natural or legal persons, including competent authorities and Union institutions and bodies in clarifying the application or implementation of the relevant legal provisions. Only the Court of Justice of the European Union is competent to authoritatively interpret Union law. The views expressed in the internal Commission Decision cannot prejudge the position that the European Commission might take before the Union and national courts.