As Milo Baughman is to anything made with chrome from 1965-1975, Flemming Lassen seems to be the man for Danish lounge chairs from the 1940's upholstered with shearling or sheepskin. His "Tired Man" chair from 1935 is an iconic chair in this style. There are many examples of similar chairs online attributed to Lassen and others (Fritz Hansen, Finn Juhl, etc) but few are marked, so it will be hard to make a firm ID.
A couple of chairs similar to yours were listed on 1stDibs by a Danish dealer called The Apartment but they did not list a designer or maker. Here's a pic of one of them:
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