Parents?

Me and my boyfriend are young. Im 16 and he is 16 turning 17 this month. Obviously we know we probably shouldn't be having sex, but we do. We've been doing it since I was 15. We've been dating since May 2016 and waited until December 2016 for our first time. We lost our virginities to eachother. All that information is pointless though. Im on the pill for my periods and we ALWAYS use other protection, but sometimes we think we should tell our parents that were sexually involved just in case something were to happen. We've only had a pregnancy scare once and it was just me being paranoid. Ive tried to casually bring it up to my mom but I always chicken out. Should we tell our parents?