The Dragonborn can hire him to go to all capital cities for a price of 20 or 50 . He can also tell the Dragonborn about Riften when asked.
If he's attacked, he will jump off of his carriage and either run or proceed to attack the Dragonborn. This, however, depends on how much he likes or dislikes the Dragonborn. If the Dragonborn attempts to Pickpocket anything from him, there will be nothing in his inventory. Only after he is killed can anything be taken from him.