Heat 1 tablespoon of oil in a large skillet over medium-high heat. Add the shrimp peels and cook for 2 minutes, stirring constantly. Reduce the heat to medium, and add the leeks, carrot and shallots. Cover and cook for 2 minutes to sweat the vegetables. Season with paprika and cayenne pepper, and mix well. Stir in the cognac, white wine, water and fish stock. Simmer gently for 10 minutes.
Strain the liquid from the skillet into another skillet, pressing any juices out of the shrimp peels and vegetables. Discard the solids. Return the strained liquid to the heat, and stir in cream. Season with salt and pepper and simmer for 5 minutes over medium-low heat. Remove from the heat, and whisk in the egg yolk.
Preheat your oven's broiler. In a separate skillet, heat the remaining olive oil. Add the shrimp; cook and stir for about 1 minute. Divide the shrimp evenly between four oven-safe dishes. Pour the sauce over each portion of shrimp. Place the dishes on a baking sheet.
Broil the dishes of shrimp for 2 to 3 minutes, or until nicely browned on the top. Remove from the oven, and sprinkle chives over the top.