A pension fund invesiment strategy mast protect an asset-liability ratio in an infinite horizon, so that it systematically exceeds a certain previously chosen value. The suggested proportional relative surplus insurance strategy is a time-invariant strategy [Brennan-Schwartz (1988)] applied to exchange options [Margrabe (1978)]. Its asset-liability ratio is independent of volatility and interest rate. Furthermore, the distribution of total investment between risk portfolio and mimicking portfolio does not need any readjustment over time.

Keywords: pension funds, investment strategies, time invariant strategies, exchange options.