Warm the milk in a small saucepan until steaming. Dissolve the yeast in 1/2 cup warm water. Combine the milk, shortening, granulated sugar, salt and eggs in a large bowl with a wooden spoon. Add the yeast mixture and mix until combined. Stir in the flour to form a soft dough. Transfer to a lightly floured surface and knead until smooth and elastic, 6 to 8 minutes. Transfer the dough to an oiled bowl, turning to coat. Cover with plastic wrap; let rise in a warm place until doubled in size, 1 to 1 1/2 hours.
Meanwhile, make the caramel: Combine the brown sugar, corn syrup and butter in a medium saucepan and bring to a boil; cook until the butter melts and the sugar dissolves, about 5 minutes. Remove from the heat and add the heavy cream; whisk until combined and slightly cooled. Lightly oil a rimmed baking sheet; spread the caramel on the baking sheet and let cool completely.
Make the filling: Mix the brown sugar, melted butter and cinnamon in a bowl. Punch down the dough and roll out into a 12-by-24-inch rectangle on a floured surface. Spread the filling on the dough and roll up, starting at a long side. Cut into 1-inch pieces and arrange cut-side up on the caramel. Cover loosely and let sit at room temperature until puffed, about 1 hour.
Preheat the oven to 375 degrees F. Uncover the rolls and bake until golden brown, about 20 minutes. (Put a baking sheet on the lower oven rack to catch any drips.) Let cool slightly on the baking sheet, then invert onto a large cutting board or platter.
Photograph by Antonis Achilleos
Courtesy of Food Network Magazine