about your wife: sometimes it is possible to transfer "rights" obtained from unemployment insurance system in other EU-countries .
But the detailed rules about this is out of the scope for our website.
You must contact an A-kasse in Denmark (you can find them all at our site www.a-kasser.dk).
You must also for both you and your wife be aware of rules that say you have to apply for membership in a danish A-kasse within some deadlines. Please also ask the danish A-kasse about this.