She had lived in London since 1997 and had worked in interior design and property development.
In 2014 she launched Ochun, a private social club for single people.
She told the Evening Standard: "After I divorced I realised how difficult it was to meet like-minded people who were single. I was in my early 30s.
"All my friends were married, having kids, and I remember thinking 'Will I have to go on the internet?' It was a really shocking wake-up call."
Following her divorce, she had a long-term relationship with Skype co-founder Janus Friis.
Her father, businessman Hans Christian Knudsen, committed suicide, and many years later her stepfather Ole Tholstrup died from alcoholism.
She was very close to Sir Roger and is quoted as crediting him with "turning her life around".
Wildlife activist and author Lauren St John was among the people who sent Sir Roger a message of condolence on Twitter.
She wrote:
We were all with her, surrounding her with love, at the end. pic.twitter.com/Eu5oePd2wN— Sir Roger Moore (@sirrogermoore) July 26, 2016