Yorgos Lanthimos sits at the table outside a pub, bundled up in jacket and fleece, his breath visible in the autumn air. While he talks, I can't decide what's more telling: the fact that Lanthimos, the most talented Greek director of his generation, has just made a film about dead people; or the fact that he's now quit Greece to live in Britain instead.

Maybe he grew weary of his role as a coal-miner's canary. For now, more than ever, it's tempting to view Lanthimos's gloriously grotesque, off-kilter pictures as an ongoing autopsy of contemporary Greece – a portrait of a nation on the cusp of collapse. His 2005 debut, Kinetta, was an acid drama about the thrill of homicide; 2009's Oscar-nominated Dogtooth was a nail-bitingly claustrophobic fable about the hell of the gated community. His latest, Alps, pushes the inquiry to its logical conclusion: a ghost story of sorts, it charts the fortunes of low-rent operatives who serve as "substitutes" for the recently deceased, filling the hole at the heart of bereaved families in a modern-day Athens that looks suspiciously like a necropolis.

"It's like the other side of Dogtooth," he explains. "Dogtooth was about someone trying to break out of a family, and here it's about breaking in. The tonal sensibility is much the same, but the films are going in opposite directions." In either case, the way ahead is fraught with peril.

The first time I saw Alps, I pegged it as brilliant black comedy; the second time as out-and-out tragedy. Aggeliki Papoulia stars as the sad-eyed "Nurse", whose dedication to her work leads her worryingly off-piste. One moment she's impersonating a teenage tennis ace who was killed in a car wreck; the next she's a dead lover who enjoyed wading into chilly seas while her adoring partner watched from the beach. Nurse parrots the lines and replays precious moments. "Cold is a word that winter swimmers don't know," she assures her employer through chattering teeth.

Xan Brooks, Peter Bradshaw and Catherine Shoard review Alps guardian.co.uk

Lanthimos insists he has never felt the need of a substitute himself, although he relishes the film's idea of a human contract, an agreement that establishes the rules of a relationship and guarantees that all parties are reading from the same script. He also likes the comedy of the questionnaire, in which clients are asked to list their dearly beloved's favourite pastimes, food and "foreign actor". "The questionnaire is funny because it is so superficial. It tells us nothing about the whole human being. But maybe it shows a little glimpse of them in the moment."

Who is his own favourite foreign actor? "In the moment?" The director gives a sheepish shrug. "Daniel Day-Lewis."

Alps was shot in the teeth of the financial crisis, as backers pulled out and the budget dwindled. But the problems with the Greek film industry have still deeper roots. Lanthimos explains there is no infrastructure, no training – nothing to nurture young talent. "I learned about making films by going into advertising, making commercials," he says. "I learned about it by watching films." He chuckles. "Even today I'm not sure why I make films or what makes me want films. I think it's other people's films. Whenever I see a really great film, I think, 'I want to make a film like that.' And then I never do."

At the end of 2011, he upped sticks for London, where he now shares a home with his girlfriend, the actor Ariane Labed, who takes the role of Nurse's rival substitute. He admits the financial crash was a factor, yet stresses he has always wanted to work elsewhere, to shoot films in English. "I'm interested in many different things," he says. "I guess I just want to evolve."

Does he have mixed feelings about the move? One could argue Greece only risks sinking further into the red if its most talented citizens start jumping ship in search of better territory. "Well," says Lanthimos with a laugh. "I made three films in Greece under very difficult circumstances, so I think I've served my time. But I don't see it as jumping ship. It's not abandonment. One day I'll go back. It might be sooner rather than later."

Right now, the 39-year-old is between projects. He has plans to shoot a period drama set during the reign of Queen Anne. He has plans to shoot an update of Daniel Defoe's Journal of the Plague Year, chasing the run of a pandemic through modern-day London. He is bouncing between meetings, unsure which script will spark up first. "There's much more activity in England than in Greece," he says ruefully. "Or at least there's a lot more development, which obviously brings another set of problems."

I ask how he likes London and he says he likes it fine, even if he's constantly on the move, unable to put down roots. "I love the weather," he says. "I love the food. Both me and my girlfriend really like our food, so we try to eat out as much as possible. It's OK, I don't know. I might be here a while, I might be gone next month. I'm living like a tourist."

I leave Lanthimos out amid the elements, miles from home, in search of fresh ideas. Oddly enough, it's a role that seems to suit him, a lifestyle that chimes with his peculiarly deadpan, freeze-dried sensibility. That's the thing about winter swimmers: they never feel the cold.