The second series ended its run in Denmark in November. The last I heard, there hadn't been a decision yet on whether it would be shown on BBC4, but I'd have been surprised if it wasn't, as the first series seems to have gone down well.
The third series won't be broadcast in Denmark until the Autumn. Be afraid though: there's been serious talk of an American remake. I can't imagine how that would work in a country that doesn't really "do" coalition politics, though...