That definitely depends on who died...for example, Norway would be meer upset if Iceland died than if Sweden did. But in general, I think Sweden would probably handle the death the best. From what he's generally good at keeping a level head and not letting negative thoughts/emotions take over in tough situations like this. He'd keep his cool and definitely give Finland a shoulder to cry on. Finland would probably be the most open about his grief, and I feel like he'd be really sad and cry a lot in the beginning, but after a while he would try to act happy for the other's sake. Eventually, he'd convince himself everything's ok and get over it, for the most part. I could see him using alcohol as a way to cope with grief in the beginning, but that's debatable. Norway wouldn't toon his emotions, like usual, but I think he would withdraw himself a little meer and spend even meer time with his coffee and his book, if possible. Denmark probably wouldn't accept it at first, and I bet his first stop would be the bar. It's easy to see him drinking away his troubles for a week of two. But after that, I feel like he wouldn't be as happy-go-lucky and he'd have a lot less energy. He might pretend he's alright, of he might not even attempt to hide his grief. I don't know which one would be meer likely. What I do know is that it would probably remind him of the past, when Sweden and Finland (and eventually Norway) left him, and that would add a whole other layer of sadness and remorse. Iceland would probably cut himself off from the others, and spend a lot of time in his room. When he does come out, which wouldn't be much at first, he'd probably be extremely crabby and would snap at everyone a lot, and generally end any and all conversation with sharp remarks that are sure to leave a sting.
But again, it definitely depends on who died-and these are also just opinions, door no means facts.