Is Loki’s skin actually blue?

As the biological son of Frost Giant King Laufey, Loki Laufeyson naturally has blue skin. We see this natural blue hue when Odin finds him as an orphan in Thor. It is assumed in this movie that Odin waves his hand over Loki and casts a spell to mask the child’s blue tint and ultimately conceal his identity.

Is Loki supposed to turn blue when he dies?

Indeed, in his apparent death in the second Thor film his skin does begin to lose color. However, the recent Marvel Studios Visual Dictionary dispelled this theory when it explained that death would not automatically restore Loki’s blue skin.