Wash the cockles, removing any small crabs and other undesirable tenants from the shells. Soak them in at least four fresh lots of cold water and drain in a colander.
Bring the champagne and the chopped shallot to the boil in a large saucepan. Throw in the cockles and cover the pan. Shake from time to time to make sure that none of the cockles are left too long in the liquid at the bottom of the pan. After about 10 minutes, when all the shells are open, tip the pan, keeping the lid on but just slightly open, and pour the cooking liquid into a smaller saucepan, taking care not to pour out all the liquid, as there are always traces of sand at the bottom of the pan. Keep the cockles warm in the pan.
Reduce the cooking liquid by boiling over a brisk heat until there are barely 3tablespoons left. Then add 5tablespoons of the cream and return to the boil. Meanwhile whisk the remaining cream and the egg yolk together thoroughly in a bowl. When the sauce has boiled, remove the pan from the heat and whisk in the egg/cream mixture. Allow to thicken over a very slow heat, without allowing the sauce to boil again, adding the butter little by little, in small pieces, whisking all the time. Add the chervil and parsley, taste and add a pinch of salt or pepper if necessary.
Remove the cockles with a slotted spoon (to avoid scooping up any of the sand), and arrange them in two deep plates. Coat with the sauce and serve.