Heat 1 tablespoon olive oil in a medium saucepan set over moderately high heat. Add shrimp shells and cook, stirring frequently, until the tails turn pink, about 2 minutes.
Add sherry and cook, stirring frequently, until most of sherry is evaporated.
Add water and bay leaf, bring the mixture to a boil, then reduce to a simmer. Let the mixture simmer, uncovered for 20 minutes.
Pour shrimp stock through a fine-mesh strainer into a bowl. Press gently on the shrimp shells to release extra liquid. Discard shells and bay leaf.
While stock is cooking, heat 1 tablespoon olive oil in a large saucepan set over medium heat. Add the shrimp and cook, stirring frequently, until the shrimp are just cooked through, 3 to 4 minutes. Transfer shrimp to a bowl and set aside.
To the saucepan, add 1 tablespoon olive and carrots, celery, and onion. Cook until the onion and celery are soft, about 5 minutes.
Stir in shrimp stock, rice, tomato paste, cayenne pepper, and salt.
Cover the saucepan and simmer the mixture until the rice is tender, about 20 minutes.
Reserve 8 shrimp and stir the remaining shrimp into the soup. Allow the mixture to cool for 10 minutes.
Using an immersion blender or a regular blender (in 2 to 3 batches), puree the soup until smooth. Take care not to burn yourself.
Return the soup to the saucepan and stir in cream. Reheat on low.
Serve soup and garnish each serving with 2 of the reserved shrimp.
Notes
Please note that I am not a medical or nutritional professional. I provide nutritional information for my recipes as a courtesy to my readers. It is calculated using the WP Recipe Maker calculator. While I attempt to provide information that is as accurate as possible, you should calculate the nutritional information independently before relying on it.