Hi there!
As a game design student, I'll try to give you some suggestions and tips. I want to apologize if my tips do not apply to Europe, I'm in Canada.
I'd first suggest not going in as a game artist immediately. You can aim to work as an artist, this is perfectly fine, but the current market is kinda saturated right now and portfolios are the killer. You would need to do a lot of freelance work or find a small studio that is willing to pay you less than your worth to make yourself a name, I don't recommend it. However, if you start as a designer or a programmer (they are in high demand), you can make your mark and climb the stairs in a studio you love to get to an artist position.
If you haven't finished you bachelor's yet, I'd suggest trying to add a minor (Or better, another major if possible) in a computer science related field. If you are not interested in programming that much, some universities offer computer science programs that are less intensive in programming (Mine has Interactive Technologies for example). If you can code, even only a little, it will double your chances of getting a job as a content designer. Furthermore, try to take some project or studies credit before graduating, they're really fun and they allow you to show something practical when applying afterwards. The more you have to show, the better.
If you can't add a minor, try going for a quick certificate and graduate program in computer science. What is important is that you get some programming knowledge and practical skills, having a master gives you a better pay too, so keep that in mind (For the better and worse, some companies don't want to hire masters, as they'll be too costly).
Finally, try applying for an internship at paradox, they may have a good position for your skills and it'll allow you to see if Paradox and Sweden is good for you. You never lose anything by doing an internship, it'll give you some credits and experience for the future. If you go for the graduate route, you can also visit paradox for your thesis work, which sounds amazing.
For schools, I can say which are better than the other, but I'll try to give some tips related to my own search. I'd say to try and find a school that has a course list that best fit your needs, don't worry about schools prestige or rating, do something you want to do. Second, check if the school has high entry requirements. Sweden schools, for example, have very high requirements and take very few students. Third, look for partnership with game companies, I think Paradox has deals with some Sweden universities, but I can't find the link. Partnership means that you will be able to apply directly from your school for an internship, making the process easier and increasing your chances.
Hope that helps a little, this is a complex industry, but one that is extremely rewarding
Good luck!