Hey there,
my approach of Jack Frost goes into the direction that Jack Frost is a mighty Lord in a fantasy setting.
Where ever he goes, winter follows him! With his ice sword he can crush every enemy and spread winter! In my mind a nice story can be told with such a Jack Frost! :-)
I hope you like my concept idea. I kept it relatively rough but hopefully still expressive what a concept art should be imho.
**Update**
I refined the overall concept. Added some details here and there. I added some glowing eyes and tried to create an intense look in contrast to the overall cold colors.