  In this article we consider the parameter risk in the context of internal
modelling of the reserve risk under Solvency II.
  We discuss two opposed perspectives on parameter uncertainty and point out
that standard methods of classical reserving focusing on the estimation error
of claims reserves are in general not appropriate to model the impact of
parameter uncertainty upon the actual risk of economic losses from the
undertakings's perspective.
  Referring to the requirements of Solvency II we assess methods to model
parameter uncertainty for the reserve risk by comparing the probability of
solvency actually attained when modelling the solvency risk capital requirement
based on the respective method to the required confidence level. Using the
simple example of a normal model we show that the bootstrapping approach is not
appropriate to model parameter uncertainty according to this criterion. We then
present an adaptation of the approach proposed in \cite {froehlich2014}.
Experimental results demonstrate that this new method yields a risk capital
model for the reserve risk achieving the required confidence level in good
approximation.
