To make sure you don’t stand without a penny if you suddenly should be unemployed it is a good idea to be part of a unemployment fund. There are enough to choose from, so take a good search for the recognized funds in your country. Many unemployment funds are made for certain workers; independent, bosses, unskilled and so on. The price varies from each organisation, and so does the payment you receive when you get unemployed. You may also find that there are some unemployment funds made especially for your specialization, whether you are in the IT branch or are a lawyer.
Take a further look at some danish organisations:
http://www.akasseguiden.dk/generelt/a-kasse-priser/
http://www.akasseguiden.dk/generelt/a-kasser-for-selvstaendige/