The social security net is indeed very strong in Denmark. If you pay a low monthly fee while being employed, you are entitled to a special unemployment benefit rate for up to two years, which almost corresponds to minimum wage salary (Which in it self is very high, compared to other countries). There are some obligations to actively seek new work and you could be sent on various training sessions, so it's not a complete free ride, but close enough.

I know that at least compared to Germany, it's a lot easier to fire people, legally speaking. I'm not sure if that makes Denmark or Germany the outlier, but probably the former.