In this paper, we are interested in the spectral properties of the
generalised principal eigenvalue of some nonlocal operator. That is, we look
for the existence of some particular solution (λ,ϕ) of a nonlocal
operator. \int_{\O}K(x,y)\phi(y)\, dy +a(x)\phi(x) =-\lambda \phi(x), where
\O\subset\R^n is an open bounded connected set, K a nonnegative kernel and
a is continuous. We prove that for the generalised principal eigenvalue
\lambda_p:=\sup \{\lambda \in \R \, |\, \exists \, \phi \in C(\O), \phi > 0
\;\text{so that}\; \oplb{\phi}{\O}+ a(x)\phi + \lambda\phi\le 0\} there exists
always a solution (μ,λp) of the problem in the space of signed
measure. Moreover μ a positive measure. When μ is absolutely continuous
with respect to the Lebesgue measure, μ=ϕp(x) is called the principal
eigenfunction associated to λp. In some simple cases, we exhibit some
explicit singular measures that are solutions of the spectral problem