Moving from deterministic to probabilistic reliability criteria for power systems necessitates probabilistic methods for socio-economic impact assessment. This paper demonstrates a probabilistic assessment of the long-term impact of the amount of transmission capacity given to the power market both on the market costs and on the expected customer interruption costs. A hydro-thermal market analysis is integrated with a contingency and reliability analysis and applied to the Nordic power system, focusing on a particular region of Norway and the transmission limits for this region. The results of this analysis are then combined in a socio-economic cost assessment that illustrates how a probabilistic approach and flexible transmission limits may allow for a more socio-economically optimal utilization of the grid. The results show that the impact of uncertainties (climatic variability) on the socio-economic cost assessment can be substantial.