In a defined contribution (DC) pension plan, the contribution rate is determined in advance and the pension payment depends on the contribution and investment return during the pension accumulation stage, and the investment risk is borne by the pension members themselves. In this situation, to realize the precise investment in pension funds and to improve the payment efficiency of pension funds has great theoretical and practical significance for relieving the current pension pressure. The interest rate model is described by the Cox-Ingersoll-Ross (CIR) dynamics. In addition, in order to keep the living standard of members, the terminal value of the pension plan should exceed a guarantee which serves as an annuity after retirement. By applying the principle of Lagrangian duality theorem and stochastic dynamic programming, the extended Hamilton-Jacobi-Bellman (HJB) equation is solved, we obtain the mean-variance efficient strategy and the efficient frontier explicitly. The result shows that the capital market line in the environment of the interest rate risk, the inflation risk and the salary risk is still a straight line in the mean-standard deviation plane.