Just because a spirit is knowledgeable concerning mythology doesn't make what they say true. It just means they are real and that you are indeed not imagining it, which is a good start.
If they are threatening harm, whether they are capable of doing so or not, it's usually not a good idea to allow them to stick around. There are crazies in the spiritual just as much (if not more so) than there is physically. Deities or higher beings in generally usually do not follow you and threaten to kill you. If they want to kill you, they won't give you a heads up and have small talk about it. There are spirits out there that think they are Spiderman, that doesn't make them Spiderman. Does he think he's Baldr and you're Loki... maybe?
Have you tried to banish him? Don't think "baldr", just focus on the way his presence feels and the sound of his voice. That should allow you to target the spirit effectively, especially if it is merely a spirit of the dead that was delusional in life. I don't think this spirit is that crafty. He will probably find another loki he wants to kill but can't until he snaps out of it.
Another option is to perhaps get Hel involved. Most people now a days die of old age or disease, so she is over them. If he believed in the Norse pantheon than she would be the one to take him. Otherwise, any form of psychopomp will due. It's better that he be taken somewhere than roam around scaring people like yourself.