How to remove a brass concrete anchor?
A slide hammer would be the most likely to work in that case. Drill a hole in the broken part, screw in the tip of a slide hammer, hammer it up and out. 



Using a penetrating lubricant and a screw extractor to get the broken threaded part (only) out would be an alternate approach.

Be sure to apply anti-seize to the threads of all the ones that still work, and the new one, to reduce your odds of having this type of problem in the future.