In this paper, we study the optimal investment strategy in the DC pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a predetermined amount of money as premiums and the management of the pension plan invests the premiums in equities and bonds to increase the value of the accumulation. In practice, most of the DC pension plans have return of premium clauses to protect the rights of the plan members who die during the accumulation phase. In the