Preheat oven to 375 degrees. Cut 9 shrimp in half lengthwise, and reserve for garnish. Arrange shrimp shells in a single layer on a parchment-lined baking sheet. Roast until completely dry and slightly browned, about 20 minutes.
Meanwhile, heat 2 teaspoons oil in a large pot over medium heat. Add remaining whole shrimp, and cook until pink and just cooked through, 1 to 2 minutes. Transfer to a plate.
Reduce heat to medium-low. Add shallots, fennel, and carrot to pot. Cook, stirring occasionally, until vegetables are tender but not browned, about 15 minutes. Add shells, and cook for 2 minutes. Add tomato paste, and cook, stirring often, for 2 minutes. Add Cognac, and simmer until liquid has almost evaporated. Add the water, salt, peppercorns, bay leaf, and parsley. Bring to a boil, then reduce heat, cover, and simmer for 25 minutes. Uncover, and let cool to room temperature. Discard bay leaf.
Working in batches, puree soup and cooked shrimp in a blender until smooth. Strain each batch through a fine sieve into a large bowl, pressing liquid through with a rubber spatula. Return solids to blender to be pureed with next batch. Discard remaining solids after all soup has been pureed.
Transfer soup to a clean large pot, and place over low heat, stirring occasionally, until just warmed through. (Do not boil or soup will curdle.) Stir in evaporated milk.
Heat a medium saute pan over medium-high heat for 2 minutes. Add remaining 2 teaspoons oil. Add reserved raw shrimp, and cook until pink and just cooked through, 1 to 2 minutes. Season with pepper. Divide soup among 6 bowls, and garnish each with 3 shrimp halves and a sprig of chervil. Serve immediately.