Preheat the oven to 400°F (200°C).

Season the sea bass fillets with salt and pepper on both sides.

In a large skillet, heat the olive oil over medium heat. Add the fennel slices and sauté for 5 minutes until slightly softened.

Pour the heavy cream over the fennel and bring to a simmer. Cook for 5 minutes, stirring occasionally.

Transfer the fennel mixture to a baking dish and sprinkle the grated Parmesan cheese on top.

Place the sea bass fillets on top of the fennel gratin.

Bake in the preheated oven for 20 minutes, or until the fish is cooked through and the cheese is golden and bubbly.

Serve hot and enjoy!