French family of seven kidnapped in Cameroon last week appeared in video posted online by captors demanding imprisoned Islamists be freed.
Al-Shabab says it has killed intelligence agent Denis Allex, who was their hostage, in retaliation for a failed French operation to free him.
Islamist militants say second French soldier was killed during a failed hostage rescue attempt, publishing a purported photograph of the commando.
French president orders security to be stepped up around public buildings and transport because of military operations in Africa.
Defence minister Jean-Yves Le Drian says a second soldier is missing after a rescue bid in which commandos swooped on the town of Bulo Marer.