I would set up my house like a freak show with dead bodies so when he came in it looked like I was an even worse serial killer and have him call the cops, then just explain the setup to the cops, prove it's not real and taunt the serial killer cause he just turned himself in lol.
I would force my family to move and go somewhere odd that would be hard to track. Change our names and then call the police again begging them to put us under some sort of protection.
What if you are a serial killer after you and your family...
Then you have to decide if you want help or if you'd prefer to complete the task on your own. If you choose the latter, you'll have one more victim, a crafty one at that, to take care of.