We consider an investor with a general state-dependent utility, in that she uses different utility functions for the states of survival and death. We explicitly derive her optimal life-contingent payoff, assuming that a provider charges actuarially fair premiums for mortality risk. In real markets, however, a risk loading applies, and the optimal life-contingent payoff can no longer be purchased directly. Instead, we propose a peer-to-peer solution that approximates the optimal life-contingent payoff via a pool, which delivers a proxy payout to each pool member. We show that the proxy payout converges almost surely to the optimal life-contingent payoff and performs very well in realistic scenarios where pools are finite. In particular, our solution demonstrates the potential for developing a capital market that can effectively manage longevity risk.