Pension buy‐ins and buy‐outs have become an important aspect of managing pension risk in recent years. As a step toward understanding these pension de‐risking instruments, we develop models for pricing investment risk and longevity risk embedded in pension buy‐ins and buy‐outs. We also bring a contingent‐claims framework to price credit risk of buy‐in bulk annuities. Overall, our model can be used to assess the pricing of investment, longevity, and credit risks being transferred in pension buy‐in and buy‐out transactions.