Preheat your oven to 375°F (190°C). Remove the lobster meat from the shells and chop it into bite-sized pieces. Set aside the shells for later use.
In a medium skillet, melt the butter over medium heat. Stir in the flour and cook for 1-2 minutes to form a roux.
Carefully add the brandy and cook until slightly reduced. Then add the heavy cream and Dijon mustard, stirring constantly until the sauce thickens.
Remove the skillet from heat, whisk in egg yolks one at a time, then return to low heat. Add the chopped lobster, seasoning with salt and white pepper to taste. Stir well.
Spoon the mixture into the reserved lobster shells, sprinkle with Parmesan cheese, and bake in the preheated oven for 10-12 minutes, or until the tops are golden brown.
Serve immediately, garnished with fresh herbs if desired.