[Baalz]

PD won't help you, abandon that strategy. You've got two choices if he's dropping horrors with regularity.

1) recruit a bunch of indie commanders, and I do mean a bunch. Script them all to retreat from the back row. Every turn have one of them move to each of your provinces. If they're in one which is attacked by horrors they'll run away. If they move onto an empty province that a horror just cleared they'll recapture it for you. Assuming he's also using scouts to capture provinces cleared by horrors use assassination spells to kill his scouts (seeking arrows should work for Vanheim). Note: this is a kind of miserable micro intensive half measure solution when you're up against a wall and can't do something better. It'll keep him from making huge gains on you, but you'll still be losing temples, PD, unrest, etc. If you've got the chance to prepare for this you'll want to do something better.

2) Something better: Realizing that PD won't help you at all, figure any province with no extra support is essentially empty of defenders so park somebody who can kill a horror (with the aid of PD) in each province. This isn't as hard as it sounds. For Vanheim specifically orb lighting should do a good job on horrors, but there's lots of spells which work decently (you don't need a 100% success rate, just a pretty good chance). If you've got a little blood economy leech works good to. Frozen heart & incinerate are good choices if you have access to them. Besides mages, there are a couple items you can stick on cheap indie commanders which work pretty well. The best (though not cheap) is the rod of the phoenix...a good choice say if you've got the Forge of the Ancients and the Eternal Pyre up. Surprisingly, moon blades work fairly well for the price against horrors if you're backed by PD as the horror tends to jump in the middle of the PD where it's defense is overwhelmed and the moonblade does so much damage it generally kills it in one hit if your commander gets a chance to swing (happens fairly regularly with the horror jumping around). Depending on what items/forgers you've got available plenty of items will work decently, but of course the point is to get the cheapest ones you can and try to get one shot kill weapons if you're using melee because you don't generally get too many swings. Note: it's also a decent idea to give a couple bodyguards to your dudes because they guy dropping horrors on you also has access to disease demons. With a couple bodyguards though your moonblade (or whatever) should make short work of those guys as well.