My main concern with your current allocation is the home-bias. It's normal for people to do this, but it's generally risky. There are a few countries in the world where home bias has worked out historically, and the Nordics are certainly stable countries - but personally I'd still consider it risky.
The "easy" way to diversify while sticking with your current broker is to just buy world index ETF's. It looks like the "Xtrackers MSCI World" one near the top of the list is probably the cheapest world ETF, note that it's developed world only so adding some emerging markets (approx 10% of overall allocation) might be something to consider if you go down that route.
That ETF also appears to be Ireland domiciled (can't definitively confirm just based on the name though), which is optimal for a total world fund for dividend withholding tax reaons (outside of US domiciled ETF's which aren't available in the EU at this time).
I wouldn't recommend buying just an S&P 500 ETF. Going for single-foreign-country-bias is even riskier than going for home bias. But given that the US is approx 50% of total-world market cap (actually closer to 60% right now, but that's likely to move about), you could just go 50% S&P 500, and 50% rest of the world. But it's hard to assemble a rest-of-the-world portion with the ETF's you have available (you'd have to mix the right proportions of Europe, Pacific, Emerging - which is doable, but only if you're keen for playing with a complicated spreadsheet every time you rebalance). Hence, total-world is easier.
// Edit: I misread your post, and thought you were only buying denmark/sweden/norway/finland. Buying only US is really risky, as I explained above. Definitely diversify, try to at least match a total world index.