With integration of large scale wind generation, many power systems utilize the chance constrained reserve plan instead of the traditional one. It brings not only the high utilization of wind energy but also outage risks. The paper thus proposes a risk transformation method with insurances for reserve risks. This paper considers both forecasting error and unit outage loss as stochastic variables to conduct research based on three types of distributions of forecasting errors and four types of distributions of unit outage loss, and to evaluate the risks with their expectation, value at risk and expected shortfall. The example results show that the forecasting error distribution would have decisive roles on the expectations and value at risks with low credit, but the tail loss with small probability including the expected shortfall and value-at-risk with high degree of confidence would be decided by both distributions of forecasting error and unit outage loss. The results also show that the power grid and insurance company can achieve win-win via the risk aversion of insurance mechanism.