Securing the initial funding is probably one of the most commonly heard challenges for new and established game developers alike. Across the Scandinavian countries, a number of different support schemes and initiatives are put in place to facilitate growth in the game industries.
The Nordic Game Program is created by decision of Nordic Ministers for Culture in the Nordic Council of Ministers. Besides arranging the annual Nordic Game Conference, the program offers development support ranging from 100.000 to 600.000 DKK.
Read more: www.nordicgameprogram.org/?id=23

In Denmark, the national support program is part of the film agreement 2011-2014 and administered by The Danish Film Institute. The scheme is split between support for development (major part) and development of ideas. Over the four years, a total of 20 million DKK is distributed.
Read more - in Danish www.dfi.dk/Branche_og_stoette/Spilordningen.aspx

Here you can read more about how to raise funds for your game (danish) http://kapitalrejsen.dk/

You can find specific information about funds and applications via computerspilzonen in Denmark here (danish): http://computerspilzonen.dk/node/530