The difference between Thriller and Horror is that a Thriller is more into making the movie full of suspense and it commonly based on a Psychological story. This helps to create sympathy for the victim and makes you nervous for the fate of the characters on screen. This also helps to put you on 'the edge of your seat' and makes you feel uncomfortable, especially if you're watching it in a dark cinema. In addition, Thriller's pick on one specific victim the majority of the time. Whereas, in Horror's anyone can be the victim.
Furthermore, a Horror wants to make the audience fear for their own personal safety, for example scare them into avoiding mirrors, having nightmares, being scared of the dark and hiding in their blankets, (yes i have experienced this). Also, there are killings, blood and gore throughout the movie. Whereas, Thrillers mainly save the bloody scenes for the finale of the film.
Trailer of 'Orphan' (Horror Film)
Trailer of 'I Know Who Killed Me' (Erotic Thriller)