Bring a large saucepan of water to a boil over medium-high. Add lobster. Cover and cook until lobster shells are bright red, about 8 minutes. Once cooked leave on a cooling rack. Discard water. If you are buying cooked lobster move straight to next step.
Once cool, split the lobster down the middle from head to tail with a sharp knife. Remove the tail meat, set aside, wash out the shells and discard the head’s contents. Place shells cut side up on a baking sheet. Roughly chop the meat into 1-inch sized pieces.
Heat butter in a saucepan, medium heat. Add shallot, garlic, and mushrooms, and cook, stirring often, until liquid has evaporated, and mushrooms begin to colour. Meanwhile, whisk together cream, egg yolks, and brandy. Add cream mixture to mushroom mixture, and cook, stirring constantly on a low heat until sauce thickens slightly, 1 to 2 minutes. Remove from heat, add mustard, chervil, and season to taste.
Fold the chopped lobster meat into the mushroom cream and spoon mixture evenly into lobster shells. With a micro plain, shave the pecorino over the lobster. Preheat oven grill, place the lobster about 4 inches below the heating elements. Grill until golden brown. Serve with lemon, watercress salad and warm crusty bread.