Defective renewal equation ($z=g+z\ast Q,Q([0,\infty ))<1$)

A defective renewal equation is $z(u)=g(u)+{\int }_{[0,u]}z(u-x)Q(dx)$ where the nonnegative kernel measure has total mass less than one. Its renewal representation is a convergent sum of convolutions. Exponential tilting can turn the kernel into a probability measure, enabling the key renewal theorem.

The ultimate ruin probability satisfies a tail-forced defective renewal equation. Multiplying it by $e^{Ru}$ at an adjustment coefficient turns its kernel into the probability density $k_R$. Normalization is exactly $\lambda (M(R)-1)=cR$. The density is absolutely continuous even when the original claim law has atoms; thus it has a nonarithmetic distribution.