This paper provides a method for estimating the probability distributions of the levelized costs of electricity. These probability distributions can be used to find cost-risk minimizing portfolios of electricity generating assets including Combined-Cycle Gas Turbines (burning natural gas), coal-fired power plants with sulfur scrubbers, and Small Modular Reactors, SMRs. Probability densities are proposed for a dozen electricity generation cost drivers, including fuel prices and externalities costs. Given the long time horizons involved in the planning, construction, operation, refurbishment, and post-retirement management of generating assets, price data from the last half century are used to represent long-run price probabilities. This paper shows that SMRs can competitively replace coal units in a portfolio of coal and natural gas generating stations to reduce the levelized cost risk associated with the volatility of natural gas prices and unknown carbon costs.