An US organisation has ranked Finland as the world's strongest country based on a dozen key political, social and economic indicators and more than 100 sub-indicators, including public services, income distribution, human rights and the rule of law.
I'd say Finland, but both are very safe and nice places to live.
The city of Malm? in Sweden, close to Copenhagen, has problems due to the amount of immigrants from Middle East and Africa, but otherwise both countries are among the safest countries in the world. The biggest safety issues are slippery pavements and moose running from a forest in front of your car.
Safer in what way? Finland has a very hard winter - you can kill yourself if you are careless in winter. Sweden also has a hard winter, but not as hard as Finland.
If you are asking about crime, both Sweden and Finland are very very very safe.
No difference at all