History

The family itself came about after Winston Frost and Hazel Frost  wed, their joint accounts and his business knowledge made them one of the wealthiest families in America.  Four children were born to the family: Christian Frost,  Adrienne Frost , Emma Frost  and Cordelia Frost . The family itself due to wealth gained entrance/admittance to the hellfire club.

Over time the family splintered off after Emma Frost  left and Christian Frost  was institutionalized. Its unknown the true fates of Hazel Frost  and Winston Frost , though Winston died and left an inheritance to his daughters.  Adrienne Frost  came in contact with Emma briefly before she was killed. 
 
So far only Emma and Cordelia Frost  are currently Active.
 

Other Versions

In the X-men the end universe known as Earth 4100, The frost family has grown due to Emma Marrying Scott Summers. Their children are  Megan Summers , 
Summer-Frost Twins  and  Alex Summers  After the events of the series in a possible future Scott is absent from the family due to apparently being dead.
 
In bishops time line they don't exist as a team but  Ruby Summers  is Emma Frost  and Scott daughter thus making her a family member.