This paper investigates the secrecy performance of a full-duplex relaying (FDR) system with a full-duplex (FD) receiver. A novel cooperative jamming protocol is proposed to improve physical layer security, where the FD receiver sends interference to the eavesdropper to degrade its received signal-to-noise ratio when receiving signals from the relay and the source. Taking the residual self-interference (RSI) at both the relay and the FD receiver into consideration, the expressions of secrecy outage probability of the system are derived, where two independent behaviors of the relay toward the jamming signal are considered, 1) the jamming signal from the FD receiver is recognized as an interference at the relay; and 2) the jamming signal is priori known at the relay. Simulation results verified the correctness of the derived expressions and the effectiveness of the proposed protocol. It is demonstrated that the secrecy performance of the system can be significantly enhanced and the gain in terms of the decreased secrecy outage probability becomes more evident in case that the RSI is somewhat low when the proposed protocol is used.