In the UK, Belgium and Holland, most corner shops are part of one or more logistics networks, and hence drop-off points for senders; with many also pickup points. Often (via say Amazon.UK or Bol.com etc) you can choose them as destination from webshops. These same networks should fit in the chain that gets the package to you.
It's a very reasonable idea to tell the sender: You'll be out at work (though I use my work address for such, which has a receptionist!) so would hate to miss the gift. So go to the cornershop where they know you by sight or name, ask if you can get it delivered in your name ["A.E. Neumann, C/O The Corner Shop, 12 High Street, Mummerset"] there. This doesn't unload the risk onto them, as its your name and their location so not relevant to any bank account or so.
But consider they might find your real address even then. E.g., in the UK, I was surprised when googling my name for free it clearly hints my longterm partners (several addresses shared over time; precise up to city quarter if not paying for the data; a mixture of Electoral roll data before opting out, and other sources).
I wouldn't judge this approach risky; in the real world there's thousands of instances where your details have been taken at a higher risk. I once got one UK parking fine (escalated over months of non-paying) while not owning a car, having no driving license, nor living (nor having lived) in the country; somebody had declared to the parking attendant that it was my car, and passed my details (collected from a B&B guest registration years before, in another country, because very very specifically misspelled)! Of course in ID-card-less UK there's no trace of the original declarant (I bet the then-owner), and I think no legal way for an individual like me to find the car owner's info from their numberplate. To get the bailiffs off eventually took months, hours of paperwork, various registered letters, and a statement from the DVLA (the UK "DMV") that I wasn't the owner.