Heat the oil in a large pot over medium heat.
Add the lobster shells and sauté for 10 minutes, stirring occasionally, or until they are lightly browned.
Add the onion, carrots, and fennel, and cook until they are slightly softened (about 4 minutes).
Add the garlic and cook for 1 minute.

Moisten with wine and bring to a boil.
Let it boil for 1 minute, or until the liquid has reduced by half.
Add the tomatoes, fish broth, tarragon, parsley, orange zest, bay leaf, and cayenne pepper.
Add enough water to cover the lobster shells.
Let it simmer for 1 hour 30 minutes, or until the broth is flavorful.

Strain the broth and discard the solids.
Put the broth in a saucepan over medium heat and reduce it until about 8 cups (2 liters) remain.
Add the rice and let it simmer for 30 minutes, or until the rice is very tender.
Put the contents of the saucepan into a blender and puree until smooth.
Now add the cream and let it simmer for another 10 minutes.
Serve with small croutons (and a little rouille) or some lobster meat, if you had thought to reserve some.