Studying the interaction or co-expression of the proteins or markers in the tumor microenvironment of cancer subjects can be crucial in the assessment of risks, such as death or recurrence. In the conventional approach, the cells need to be declared positive or negative for a marker based on its intensity. For multiple markers, manual thresholds are required for all the markers, which can become cumbersome. The performance of the subsequent analysis relies heavily on this step and thus suffers from subjectivity and lacks robustness.;We present a new method where different marker intensities are viewed as dependent random variables, and the mutual information (MI) between them is considered to be a metric of co-expression. Estimation of the joint density, as required in the traditional form of MI, becomes increasingly challenging as the number of markers increases. We consider an alternative formulation of MI which is conceptually similar but has an efficient estimation technique for which we develop a new generalization. With the proposed method, we analyzed a lung cancer dataset finding the co-expression of the markers, HLA-DR and CK to be associated with survival. We also analyzed a triple negative breast cancer dataset finding the co-expression of the immuno-regulatory proteins, PD1, PD-L1, Lag3 and IDO, to be associated with disease recurrence. We demonstrated the robustness of our method through different simulation studies.;The associated R package can be found here, https://github.com/sealx017/MIAMI.;Supplementary data are available at Bioinformatics online.