More expensive? By what corrupt metrics?

"Life shrinks or expands in proportion to one's courage." - Anaïs Nin

http://www.ieawind.org/task_25.html

It seems that the stability of the grid does not become a problem at any penetration, i.e., solutions exist and are very affordable.

Another issue is that very high penetrations require improvements in transmission to reap the aggregation benefits. I.e., building long HVDC interconnects. There, concerns similar to yours may have a bit more validity. Somebody just has to start building the damn things ;-)