This study develops a pension management model that is in line with the practical requirement to find the optimal amortization of unfunded accrued liability and optimal asset allocations in a defined benefit pension scheme. Tai-PERS is studied for illustration. The results of the simulation indicate: (1) A proper decision to amortization can reduce a pension’s risk. The initial fund ratio is relevant to the optimal amortization. (2) The optimal asset allocation is very aggressive. Less than 10% of assets are allocated in 2-year deposits and more than 90% of assets are invested in stock. (3) Aggressive asset allocations are helpful to increasing fund. (4) Average contribution ratios are less than one in almost all periods. There is the probability that pension benefit can be raised or the fund risk can be reduced in the long term.