It all depends on the context!

There is this, which seems to relate to something like a letter of marque, note the lines in red:

“The loss of the navy can only be described with one word! It was catastrophic for Denmark-Norway, there was neither time, economics or enough oak trees to build a new navy.
Therefore the decision was made to put all efforts into the building of smaller gunboats in large numbers. The advantages in the gunboats were that they could be built fast in large numbers and in every part of the country.
Another was that they could be placed all over the country along the coastlines where they would sit and wait fishing for the British convoys to pas by.
Guerilla warfare at sea had begun.
In June, 1808, gunboats succeeded in capturing the first two British war ships, the TICKLER and the TURBULENT.
While the navy were mass producing gunboats, piracy was now made legal.
King Frederik VI sent out rules of engagement and now any one could be granted Caper rights, set sail and claim any enemy ships to be Danish-Norwegian.
During the war 1807-1814 a total of 10 British warships and quite a large number of trade ships were taken by these gunboats.”

Then again, there is a film (released in 2003) called ‘Rembrandt’ about an art theft in Denmark that certainly could be called the Danish caper.

There is also a Danish venture scout group:

http://www.capersapiens.dk/

As I said it depends on context. I did wonder if Capparis spinosa was grown, perhaps under glass, in Denmark; but it seems not.