Position a rack in the lower third of the oven and preheat the oven to 400 degrees F.
In a medium bowl, combine the crab, cornflakes, half the prosciutto, the mayonnaise, scallions, egg, 1 teaspoon salt and cayenne pepper, if using.
Spoon the filling into the bell pepper halves, dividing it evenly. Place the remaining prosciutto on top of the filling and drizzle with olive oil. Arrange the filled peppers in a single layer in a 13-by-9-inch glass baking dish or small roasting pan. Pour the broth around the peppers. Bake until the peppers are tender, 40 to 45 minutes.
Transfer to a platter and serve.