customer harassment help?

Summary: I am being harassed by a customer and need advice/help

I work for a financial company as the second in command next to the owner however I do not own this Company, I am simply an employee there.

I have a customer who started out being a great person to work with. This customer was in the process of acquiring a loan however mid-way through, the customer's credit dropped to where we could no longer continue with the loan offer. We offered an other type of loan and this customer was thinking it over. A couple weeks went by, the borrower decided to not pursue the loan and then out of no-where starting harassing me making all these false accusation (the customer is - like most - suffering from financial distress and I feel this person is taking it out on me). This person now emails me obsessively with threats, completely out of line and unprofessional comments, and clearly has lost all his marbles. It's pretty much a Mr Jekyll and Mrs Hyde situation and although I have stopped responding to his crazy and notoriously erroneous emails as it gets us nowhere, he has now found my home phone number and my address. He has only called and hung up thus far but with these crazy person threats I'm afraid of what he may do, we are certainly not dealing with a sane person at this time and this person is now taking it to another level by bringing it to my home. The owner of the Company and the Company's Attorney feel that there is no issue at hand since we did nothing wrong and therefore they do not feel the need to contact this person or have time to get involved - I believe they don't understand the magnitude of the situation now.

Any advice on how I can get this crazy person to stop harassing me with ridiculous threats, can/should I get the police involved?