According to the influence of non-systemic risk (mortality risk) and systemic risk (inflation risk) on the optimal investment of DC pension, among which mortality and inflation risk are independent of each other, the optimal investment strategy issue of DC pension hedging liability based on mortality risk and inflation is proposed. This paper assumes that the pension players invest their pension in stock market and banks before retirement, that inflation, returns from the investment in stock and banks, members’ salaries and pension liabilities are all stochastic process and that Lee-Carter Model is used to predict mortality, therefore, a DC pension dynamic value model for hedging liabilities under continuous time is established, the corresponding HJB equation is derived in the combination with stochastic control theory, and the optimal investment proportion of DC pension hedging liabilities based on mortality and inflation risk is obtained by using Legendre transform method. Finally, through numerical simulation, the paper analyzes the influence of the optimal investment strategy on the inflation risk more than on mortality risk with the increasing of investment period.