In DK they just send it to your "nem konto", the same bank account that also gets your wages. More or less a sym link, so even if you move bank it will follow. Makes life easy.
In a sane world, this would just be a case of fraud between the IRS and the fraudster, and the person whose information was used would have nothing to do with it. It's unfortunate that we have this need to call it "identity theft" in order to try to shift the responsibility to some unrelated third party.