We have to:
Ask the kidnappers to provide proof that the hostage is alive and unharmed. Phrase the question so that only the hostage may answer it
Continue to cooperate but avoid any offers for securing the hostage's release, eg financial.
Ask for a code word which will enable you to identify the real kidnappers from any hoax callers or other extortion attempts.
Fix a time for future calls and if possible, record them. Make sure you have a pen and paper ready to take down as much of the phone conversation as possible.
Report this immediately to the Kidnap Team.