The smart grid is a typical cyber-physical system, which deeply integrates power systems and information systems. Network security attacks against power CPS not only damage the integrity, confidentiality and availability of the power system, but may also affect the stable operation of the power system or even power outages. A risk analysis method that integrated safety and security can effectively model and analyze security threat scenarios in which network attack lead to system failure. This paper reviews the current power CPS risk modelling and analysis methods that integrated safety and security. Firstly, the relationship and difference between safety and security are analyzed. Secondly, a power CPS modelling and analysis framework that integrated safety and security is proposed. Then, taken into account this framework, the existing research work is reviewed from three aspects, including risk modelling, qualitative analysis and quantitative analysis. Finally, the problems in the existing research work are summarized and future research directions are advised. This review can provide reference for risk modeling and analysis of power cyber-physical system.