We investigate harmonic functions and the convergence of the sequence of ratios $(P_x(τ_\vartheta {>} n)/P_e(τ_\vartheta {>} n))$ for a random walk on a countable group killed up on the time $τ_\vartheta$ of the first exit from some semi-group with an identity element $e$. Several results of classical renewal theory for one dimensional random walk killed at the first exit from the positive half-line are extended to a multi-dimensional setting. For this purpose, an analogue of the ladder height process and the corresponding renewal function $V$ are introduced. The results are applied to multidimensional random walks killed upon the times of first exit from a convex cone. Our approach combines large deviation estimates and an extension of Choquet-Deny theory.