Yeah, the rules are similar in Finland (hardly surprising since the Nordic countries often try to harmonize laws), but there are specific requirements for buildings if one intends to live there permanently -- i.e. if you're building a shed in the yard then you might not require a permit, but you might need one if you build a small cottage and intend to live in it.

Regardless, it's usually a matter of documenting that the new building adheres to various standards.