I'm not totally sold on the skill choices, but that's a separate thing. I metagame the skill choices - that is, I pick the things that will work best within the context of the way the skill system works in the game, rather than the things that fit the character best (it's a shame that they're not the same, but anyway....) It works either way, so that's mostly just personal preference and I won't bother you with it beyond mentioning it.
Just generally, the character sounds fine. I'd only have two suggestions:
First - try to be conscious of the character all the time. For instance, you get a quest offered by someone. Don't just rush off and do it because that's what you'd do. Stop and think about the character. Is that what
he'd do? That's the important part. To successfully roleplay, everything has to make sense within the context of a given character. If the character turns out to be a coward, then the odds re that he's not going to go charging off to attack the skooma dealers in Greyland, no matter what you might think about the idea. Sort of make believe you're watching a movie - the character in the movie is a certain type of person and thus does certain things certain ways. It doesn't matter what you think about it - that's what the character is and that's what the character does.
Second - be wary of trying to set up too much of it in advance. That ties in with the first - if you get into the story with a particular character and it turns out that that character isn't the sort to do what you had planned, then that's the way it goes. The character's in charge, so your plan to make him do this or that is wasted. I find I'm better off just creating a rough outline of a character (like Khajiit thief who doesn't wear armor), then just diving into the game, paying attention to the character, and seeing how it works out.
If the character ends up doing something with which you disagree, or better yet, something you didn't even consider, then you know you're doing it right.