I want to make vodka or liquor which tastes similarly to Brennivin. The taste which dominates Brennivin is cumin so you can say that I can basically want to prepare cumin-flavored vodka or liquor.  The question is how should I process vodka to achieve such taste? 
I would try Dave Arnold's cream whipper infusion method. It is very fast and flexible, which will allow you to experiment to find your ideal flavor. You'll want to play with the ratio of cumin to vodka, whether you toast the cumin first, and and whether you lightly crush it. After you depressurize the vodka, be sure to strain it and let it sit about 10 minutes before judging the flavor, it seems to take a little while to settle. And of course if you overdo it a bit, you can always dilute the output with more unflavored vodka. 