The Norwegian GEMA (called TONO) is responsible for distributing money to the music industry (not the artists). I don't know if anything's changed since I looked into it many years ago, but if you self publish, they classify your release as a "demo", and you won't get money from them.
So, in effect, if you rent a venue and play a show with your own music, you must pay a fee, collected by the police(!), which they will distribute to the big labels.