The agency picked up the business after a nine-month pitch that came down to a final shoot-out against the incumbent, McCann Erickson.
Krung Thai Axa was formed earlier in the year as a joint venture between Thailand's largest bank and Axa, the French insurance giant.
Grey's first work will be a TV and print campaign which will be aimed at informing stakeholders of the merger with the line: "The power of two."
It will be aimed at consumers using the existing "Axa Plan" line, which has been developed by Grey in Sydney.
