In order to make the verification of relay protection setting more scientific and effective，a new method for on-line verification of relay protection setting based on protection importance is presented. Firstly，the component outage models are developed. Secondly，the related outage event tree is constructed by using the event tree analysis method，thus resulting in obtaining different system states. Finally，the order of line importance and protection importance indicators is found by calculation based on the risk theory. According to the descending order of protection importance，on-line verifying the protection of values can be conducted. It is shown by IEEE9-bus system that the method is feasible and correct.