  Let $(\xi,\eta)$ be a bivariate L\'evy process such that the integral
$\int\_0^\infty e^{-\xi\_{t-}} d\eta\_t$ converges almost surely. We
characterise, in terms of their \LL measures, those L\'evy processes for which
(the distribution of) this integral has atoms. We then turn attention to almost
surely convergent integrals of the form $I:=\int\_0^\infty g(\xi\_t) dt$, where
$g$ is a deterministic function. We give sufficient conditions ensuring that
$I$ has no atoms, and under further conditions derive that $I$ has a Lebesgue
density. The results are also extended to certain integrals of the form
$\int\_0^\infty g(\xi\_t) dY\_t$, where $Y$ is an almost surely strictly
increasing stochastic process, independent of $\xi$.
