I'm assuming you paid by credit card, but that your card issuer doesn't offer rental insurance... And that you didn't take the optional insurance offered to you by the rental company.

I'd probably call my own insurance company first and explain the situation to them. They can likely follow up with the police or the rental company or at the very least let you know how to proceed.

I always use one of my credit cards that carries full rental insurance so I don't have to worry about situations like this. I like driving the rental knowing that I can pretty much bring it back in any condition and it'll be covered by my credit card's insurance carrier. You have to decline the rental company's insurance when you book with this type of credit card coverage.