Using a meat mallet or hammer, crack open crab shells until meat is exposed. In a 1-gallon stockpot, heat olive oil; add cracked crabs and sauté for 5 minutes.
Add vegetables and bay leaves; continue to sauté for 5 minutes.
Add brandy, white wine and water; bring to simmer over medium heat and cook for 45 minutes.
Using a skimmer remove crabs and vegetables from stock.
In a small sauté skillet, melt butter and blend in flour until smooth and creamy; simmer over low heat for one minute.
Add mixture to stock using a wire whisk until roux is dissolved. Add heavy cream and simmer for 10 minutes.
Remove outside rind from Brie and discard, cut cheese into 1-inch cubes and add to stock stirring constantly until cheese completely melts.
Season soup with salt, white pepper, and cayenne. Strain soup through a fine strainer; add jumbo lump crab meat and serve.