It’s hard to imagine two more different characters than Euron Greyjoy in Game of Thrones and Kasper Juul in Borgen. One is a sex-crazed, bloodthirsty, piratical lunatic fond of discussing his “big cock” in HBO’s fantasy epic, the other a suave if troubled Copenhagen spin doctor. Both, of course, are played by Pilou Asbaek.

One wouldn’t have happened without the other, and the 38-year-old Dane is grateful to Juul’s more sophisticated appeal for bringing him to the attention of what he calls “international” producers, making him one of Scandinavian drama’s biggest break-out stars. Since Borgen he has hosted the 2014 Eurovision Song Contest and has worked alongside Scarlett Johansson (in the acclaimed film Ghost in the Shell) and Sylvester Stallone (in the forthcoming action thriller Samaritan). He is nothing if not versatile.

Asbaek returned to his native Denmark to film The Investigation.

Recently, Asbaek returned to his native Denmark for a role that is surprising for a few reasons, not least that he’s not playing the lead. The Investigation, which has just started on BBC Two, is a drama like no other. Not only is it the first big Danish take on a hugely in-vogue genre (true crime), it doesn’t feature the killer — in this case the man responsible for the untimely death of the journalist Kim Wall in extraordinary circumstances aboard a homemade submarine in 2017. Out of respect to Wall’s parents, the deeply unpleasant sadist not only has no screen time, he is not even mentioned by name.

One is a sex-crazed, bloodthirsty, piratical lunatic fond of discussing his “big cock” in HBO’s fantasy epic, the other a suave if troubled Copenhagen spin doctor.

The precise and compelling focus is (as the title suggests) on the investigation. It’s led by the show’s star, Soren Malling, who plays Jens Moller, the head of Copenhagen’s homicide squad. Asbaek is Jakob Buch-Jepsen, the sober, dedicated and energetic prosecutor who, following the particular mores of the Danish justice system, chivvies the police in their painstaking search for evidence to convict Wall’s killer.

It’s an emotional watch, with much focus on the stoicism of Wall’s extraordinary parents, who were involved in the police work and the production of this drama. Over six absorbing episodes we witness a mammoth operation, including hours at sea where divers had the grisly task of finding body parts. It is tense, gripping, powerful, humane and uplifting television.

Asbaek as the spin doctor Kasper Juul in Borgen.

“When Tobias calls you just say, ‘Thank you’ and ‘When do I have to show up and work?’” Asbaek says of the series director, Tobias Lindholm, via Zoom from his home in Copenhagen. He has worked with Lindholm on and off for 12 years, including on Borgen (which Lindholm co-created) and the Oscar-winning 2015 film A War, about the trial of a soldier who fought in Afghanistan.

They have become close friends who holiday together and also neighbors. “He lives right there,” Asbaek says excitedly, pointing to the wall behind him. However, when they met on the first of their many collaborations, the grim 2010 prison movie R, they hated each other on sight, Asbaek says. The “privileged” Asbaek, scion of trendy Copenhagen gallery owners, riled the state-educated and much less privileged Lindholm (or so Asbaek says). Lindholm put Asbaek through his paces on R, where he was regularly abused and beaten up in scenes. They bonded when Lindholm finally asked his tearful leading man if he was OK.

Out of respect to Wall’s parents, the deeply unpleasant sadist not only has no screen time, he is not even mentioned by name.

“It was the first sweet thing he ever said to me and really it wasn’t that sweet anyway,” Asbaek says, laughing. “He thought everything had been given to me and he had to fight for everything. But we were both very young; we were in our twenties. And we didn’t know that the world was so complex and wasn’t black and white. I know people want to make it that way, people on Twitter who want to make it black and white, but it’s not.

Set in a maximum-security penitentiary, R is a story of neither justice nor redemption.

“No matter where you are from you will always feel alone. It doesn’t matter your social background. You can have all the money in the world, but if you feel abandoned by your rich parents it’s the same as feeling abandoned by your poor parents. The dad is an alcoholic in the rich family, or the dad is an alcoholic in the poor family. We have more in common than we imagine.”

Asbaek has an easygoing air. He breaks off to tell me a hilarious story about meeting his wife, the writer Anna Bro, when he was a cocky student making a film in the summer holidays. They had just clapped eyes on each other and he was boasting about her on a production bus, only to be told by one of his colleagues, the actor Hans Henrik Clemensen, that this woman was his daughter. Undeterred, Asbaek asked Clemensen for his daughter’s number. Fortunately, he nailed that day’s scenes and says that his future father-in-law told him: “You might be an idiot, but you’re a good actor. Here’s my daughter’s number.”

It is a characteristic tale told in a characteristic manner. In his youth Asbaek wanted to be a writer after he got into reading Hemingway, but was stymied by his dyslexia and being “the worst f***ing storyteller in the world”. He didn’t know acting was “a thing” until he fell into it at film school, pointed in that direction by a teacher who heard him read a speech from Macbeth and told the class (in his retelling): “This is a classic example of a very selfish, arrogant young man who doesn’t know it yet, but he’s an actor.”

“When I was at film school I was, like, ‘F*** no! Drama? This is like sissy men running around in tights.’ It was too feminine for me. It was tights and emotions. I hate emotions. I am Scandinavian. You have emotions, but you don’t show them.”

It is tense, gripping, powerful, humane and uplifting television.

Such bravado was soon tested when he left drama school and landed his first job as a clown in an amusement park where people threw beer at him. It was mortifying, but fun, he says, and seems to have taught him some humility. As has home-schooling his eight-year-old daughter, who has just “fired” him because he keeps losing his temper. “I go from zero to 100 in a split second,” he says, laughing.

He loved his time on Game of Thrones, but admits that when he joined in series six he was “nervous” and felt “restrained” acting in the English language. He spoke to the showrunners, David Benioff and Daniel Weiss, and asked them to make Euron Greyjoy more of a “chameleon” with a little more wildness and unpredictability.

“Villains are the best, heroes are boring,” Asbaek explained while promoting Game of Thrones.

“I said: ‘So you guys have written him like this. Would you mind if I made the costumes a little bit more swag, a little bit more like Keith Richards? I don’t mean in expression, I mean in he doesn’t give a shit.’ ” It certainly showed on screen. Euron Greyjoy took up only 20 minutes of screen time, but is unforgettable. I ask if he was happy with his work, but he hasn’t seen it. Thrones was his “favorite show in the world” before he worked on it, but “the magic disappeared” when he saw firsthand how it was made and knew what was going to happen.

“On a personal note, do I wish my character was a little bit closer to the books? Do I wish my character had a little bit more screen time? F***, yes, it’s the biggest show in the world. You want to be the lead. But that’s not the job. The job is to do the character and not what your ego tells you to do.” From what he saw of the scripts, he insists that the show had the “perfect ending” (despite what the fans say), but he is not a man who dwells on the past.

He has his sights set on another Danish drama this year. However, it won’t be the fourth series of Borgen, which Netflix is overseeing for a planned release in 2022, and which it “wasn’t possible” for him to return to.

“I did the two first seasons. I love Borgen — it is such a big part of my life — but I am also, like, ‘They are doing season four now and I wish them all the best, but it’s just not … I did it. I did it ten years ago. Why should we do it now?”

Ben Dowell is a U.K.-based journalist. He covers the arts and media

The Investigation is on HBO beginning February 1 and streaming on HBO Max