Mads Mikkelsen performed his lines in German. Although he can be understood quite well, it is still obvious that it is not his native language. Thus, his dialogue was dubbed by Ingo Hülsmann. The German DVD and Blu-ray include an additional audio track with Mikkelsen's original voice.
According to the audio commentary, when the scene at Maja's flat was shot for the first time, Mads Mikkelsen knocked at the wrong door. The tenant of that flat (who didn't know about the filming) was pretty annoyed by this and told Mikkelsen in no uncertain terms to get lost.
The film was set intentionally in no specific city or country so the story could take place in any Northern European city (the exterior shots were filmed mostly in Potsdam, Germany). This is recognizable by the fact that the vehicle licence plates have no format used in the EU, the uniforms of the police officers are just plain black and the police car has no markings.