Norway's bestselling writer is ensconced, back against the wall, in a smart bar on a residential west Oslo street. It is 9am and pouring with rain.

This is the Norwegian capital in winter, and since arriving the previous day, my main impression has been of wealth. Apart from Luxembourg, a principality and tax haven that is also home to 500,000 people, Norway is Europe's richest country. Crime writer Jo Nesbø, who was a footballer, stockbroker and rock star before he turned to writing, is probably its richest writer.

His name (Jo is pronounced Yoo in Norwegian) is on a billboard outside the national theatre because a stage version of his children's book Doctor Proctor's Fart Powder is about to open, with a film premiere to follow. He is about to publish the English translation of his latest thriller, The Son, having decided to give his most famous creation, detective Harry Hole (pronounced Hoola) a rest after a run of 10 books and around 20m sales (he has "no plans" to bring Harry back for now but this doesn't mean it won't happen). Last year the film of another Nesbø thriller, Headhunters, won a Bafta. He is under commission, as part of a starry line-up including Margaret Atwood, to write a contemporary version of Macbeth. Literary headlines may be dominated by Nesbø's near-contemporary, the controversial autobiographer-novelist Karl Ove Knausgaard, but Nesbø is on a roll.

And now, following the international success of Scandinavian series including The Killing, Borgen and The Bridge, Nesbø is moving into TV. This month his first drama serial begins shooting in Norway. Called Occupied, it is set in the aftermath of a Russian invasion.

"When I presented this idea about two years ago, they said the problem is it's a bit far-fetched," he says happily. "A Russian occupation? They don't really shoot people, they just come and show you they're in control."

Events of the past months in Ukraine have, he thinks, proved him right. "I think the feeling we are secure and things can't really change is an illusion," he says. "That is the scary bit, because things can change very fast. The thing about Scandinavia is that we take things for granted. That is the lesson from other countries. Take Yugoslavia in the 1990s – a democratic country on the right track, and it took Slobodan Milosevic six months to take it to civil war."

Still, it's a stretch from the real-life, peaceful and prosperous Oslo to the drug- and gangster-infested hellhole depicted in Nesbø's books. Harry Hole investigates serial killers and assassins. The Son describes the escape from jail of a junkie wrongly convicted of murder, who embarks on a crusade of vengeance and encounters villains – in the police, prison service and upper echelons of society as well as on the street – at every turn. Is this a fantasy land superimposed on a real place?

"No, it's there," says Nesbø. "It's both hidden and not hidden. If you had taken one of the other exits from the central station you would have been in the midst of some of the busier heroin markets in Europe. I could point you to the persons you could buy heroin from. One guy in a wheelchair sitting there, he's a drug dealer. He has the drugs, the girl with him has the money. This is right out of The Wire, it's exactly the same thing."

The comparison with gun-ridden Baltimore seems fanciful, but Norway has a history with heroin. Around 240 people die here of overdoses each year – more than are killed in car crashes. And while Nesbø says the police are not as bad as they are in his books, a senior Oslo anti-drugs officer, Eirik Jensen, was charged with corruption last month, and the story is all over the press.

"International crime has entered Norway in the last 20 years, and now it's probably more organised, but it's still not like there are two or three big drug lords running the business. To tell a story you have to organise things and make them simpler. In The Son, I made it a kingpin," he says. "I'd say 90% of the book is an accurate description of the city, but if the things I need for my stories aren't there, I'll put them there. It's Oslo, with a dark twist."

It is years since publishers began to emblazon "the next Stieg Larsson" on the covers of Nesbø's thrillers with the aim of pushing him into the vacancy created by the Swede's death (Nesbø's first English translation was published in 2005, the year after Larsson died of a heart attack aged 50, leaving the Millennium trilogy behind).

A dozen books later, Nesbø is still a long way off Larsson's phenomenal reach, but his place in the Scandinavian crime canon alongside Kurt Wallander's creator, Henning Mankell, and others, is secure. Though there is plenty that separates these writers, their books do share chilly northern settings, horribly damaged detectives, extreme violence and a layer of social commentary that contrasts with that found in US crime – both because "Scandi" authors have a distinctive outlook, and because the societies they describe are so different (in 2012 Norwegian mass murderer Anders Behring Breivik received the maximum sentence of just 21 years).

In a small country such as Norway, with its 5m people (Denmark has 5.5m; Sweden 9.5m) and a handful of internationally recognised literary stars, a voice such as Nesbø's matters. When Breivik, a rightwing extremist, murdered 77 people in 2011, Nesbø wrote a defiant article that insisted the country must "keep on as before" and "refuse to allow fear to set limits". When we met, the design of a memorial to Breivik's victims had just been unveiled. Swedish artist Jonas Dahlberg will carve a wound into the peninsula facing the island of Utoya, where 69 murders took place.

Unveiled … the design for Memory Wound by Jonas Dahlberg, which is to face the island of Utoya where Anders Behring Breivik killed 69 people. Photograph: Jonas Dahlberg Studio/AFP

Breivik's atrocity was seen by some as proof of a dark side to Scandinavia. (Had he lived to see it, Stieg Larsson would perhaps have been less surprised than most: he spent years investigating Europe's far right.) But three years on, and despite the fact that the anti-immigration Progress party to which Breivik once belonged has joined the government, Nesbø remains upbeat.

"The big picture is that social democracy is the winning team," he says. "In Norway we feel like we're at the end of the line, that we have accomplished most things. I'm an optimist and I don't think Norway is a more racist country than other countries.

"Norway is a young nation, born in 1905, and all young nations need to find the things that will be part of their self-image. For Norway, that's been the polar explorers, the somewhat shaky idea of our strong resistance to the Nazis, our athletes, and the idea of Norway as a freedom-loving, liberal, friendly country. It's sort of a happy valley, and of course people ask themselves: what is it that makes this such an outstanding country? Probably the answer is oil, because Norway was one of the poorest countries in Europe.

"If you look at Sweden and Denmark and see how they have been able to market everything from music to design, and then you look at Norway, you will see that what we've been doing is pumping up oil, cutting down timber, fishing up fish and sending them out to the world. Norway has never really invented anything. We've been a nation of manual labour, but the one thing Norway can be proud of, our biggest national quality from very early on, has been that it's a very egalitarian country. We had no nobility. We had kings, but they were small kings. It's sort of the blessing of being in a country where everyone is somewhat poor. It is a country where even the party of the right, though they may not know it themselves, at the core are social democrats."

If part of the thrill of books by Nesbø, Mankell and Larsson – and of Søren Sveistrup's Danish TV series The Killing – comes from peeling back the layers of society to find something rotten underneath, in Nesbø's case the darkest horror lies inside. A fan describes Harry Hole as "Kurt Wallander's younger brother", and means it as a compliment, but some critics found Hole's self-destructiveness, bordering on nihilism, hard to take.

Even Nesbø thinks he went too far with the violence. Of a scene in The Leopard that sees a man tortured by being tied to a wood-burning oven and woken with cold water when he passes out, he says "it was me being just a little bit too pleased with my own description of pain and horror, and looking back, I regret it, because it wasn't needed. A Finnish designer once said everything that is not needed on a house will sooner or later seem ugly. I think it's the same with words. I put those sentences there for the wrong reasons."

But if his faith in Norway's version of the Nordic social model is close to rock-solid, it doesn't mean there isn't a thrill to be had in imagining what would happen if it fell apart. During my visit it was reported that Norway's $840bn sovereign wealth fund would review its policy on fossil fuels. In Nesbø's TV series, a leftwing government has cut off the oil to combat climate change. With EU and US connivance, Russia invades.

"It's not about what's happening, it's about what could happen," he says. "Is there a potential risk this could happen? It's the same thing with The Son and the Harry Hole stories. Is this something that is plausible, in some ways, if we just use our imaginations? I think it is."

Jo Nesbø discusses his Harry Hole novel The Redbreast with John Mullan in the Guardian book club at Kings Place on 29 April. The Son is published by Harvill Secker next week.