You really don't need it up here on cloudy days, as I said before. I think I have read somewhere that 20 or 30 minutes of sun exposure every day (without SPF) is enough to keep the vitamin D-levels up.
But honestly, it's not common to die from skincancer in Denmark unless you've spent a lot of time in tanning beds. It's not recommended by Kræftens Bekæmpelse (kind of a fund that you can donate your money to, and then they will spend it on research) that you should use SPF in the winter at all - the sun is less powerful up here, and the days are very very short. They also recommend SPF 15 for Denmark as SPF 30 blocks only 5% more:
www.cancer.dk
Yet skin cancer is somewhat common, my mom had it too, but only because my parent's generation didn't care about sun block. They spent all day on the beach without SPF all summer long...I must say that it really shows on my mom, that's why I don't tan more than once a year
You will hardly get skin cancer in DK if you don't wear SPF in the winter.