For the sauce: Heat the butter over low heat. Saute the carrots and onions for 2 minutes. Chop the shrimp, add them, turn up the heat and fry until they turn bright red, about 3 minutes. Flame with the Cognac. Add the wine and reduce by half. Add the stock, bring to a boil and reduce to a simmer. Add the tomato paste, cayenne, paprika, bay leaf and thyme and cook for 30 minutes. Stir in the cream and let bubble a further 10 minutes. Pull out the bay leaf and thyme and blitz the mixture in the food processor. Strain through a fine-mesh sieve. Bring the sauce back to a boil in a saucepan, reducing to sauce consistency. Season with salt and pepper.
For the fish: Put the fish, cream and egg in a food processor and whiz just a few seconds to form a paste. Stir in the parsley, salt and pepper and chill for 30 minutes.
Before serving, preheat the oven to 350 degrees F/180 degrees C. Butter 6 ramekins (or a terrine) and put a round of parchment in the bottom of each. Fill the ramekins with the fish mixture. Set them in a baking dish and pour boiling water around to come halfway up the sides. Bake until just set, about 20 minutes.
Unmold onto warm serving plates. Spoon the sauce over the top, and serve hot.