For the influence of wind energy connected to the power grid on security and stability of power system, a security risk constraints economic dispatch model is established based on risk management method and random optimization modeling theory. In order to quantify and limit the impact of wind power generation randomness on the system security, this paper uses conditional value-at-risk (CVaR) and entropic value-at-risk (EVaR) to depict the security margin of power system and uses risk margin threshold value to limit the security margin as the power system security risk constraints. It uses stochastic simulation method to convert the system safety risk constraints to deterministic convex constraints. Numerical simulation of the IEEE 30 node validates the rationality of the model and the effectiveness of the method, then it contrasts the dispatch results under different safety margins and confidence levels comprehensively as well as the difference of two methods which depict the security margin risk value.