Well, often you don't get to "dump" your pension fund. In Denmark, it is your employer deciding what pension fund to use, and you will then have to use it. It is kinda ridiculous.
AFAIK only pension contributions mentioned in a collective bargaining agreement is mandatory. If you get offered a regular contract offering a salary plus 10% pension you can accept the job, write an email to HR stating that you opt out and get the extra 10% as take home pay. You can the make voluntary pension contributions to whatever pension fund you have a private agreement with. And all the private pension companies are very happy to make such an agreement, though the terms will be worse than an employer plan from the same company. Or you could do a completely self-administered one, e.g. through Nordnet.