Shell the frozen shrimp, reserving the shells. Place the shrimp in a bowl and transfer to the fridge until ready to use. Place the shells with the other shrimp shells and set aside.
Heat 2 tablespoons of the olive oil in a large dutch oven over medium-high heat until shimmering. Add the onions, carrots, fennel, celery and tomatoes to the pot and sprinkle with salt. Sauté the veg until the onions are translucent, about 7 minutes. Stir in the shrimp shells and sauté until they turn a pink. Add the tomato paste and cook for another 2 minutes.
Pour the brandy over the veg and scrape the bottom of the pot with the back of a spoon. Cook until the alcohol cooks off.
Gather the tarragon sprigs into a bundle and fasten with butcher's twine. Add the tarragon to the pot followed by the parmesan rind and bay leaves. Pour the water over top and bring to a boil. Reduce the heat to a simmer and liberally salt the mixture. Let the broth cook, uncovered for 30 minutes.
Take the broth off of the heat and remove the bay leaves, Parmesan rind and tarragon. Working in batches, puree the broth in a blender or food processor. Pour the pureed soup through a fine mesh strainer lined with cheese cloth. Transfer the soup back to the pot and place it on the back burner. Bring the soup to a low simmer.
Pour the remaining olive oil in a deep, large skillet or braiser. Heat the oil until shimmering, then add the rice. Saute the rice until it starts to crackle and produce a nutty aroma. Lower the heat and add a ladle-full of the simmering soup to the rice and stir until it is completely absorbed. Add another ladle of soup and again, stir until the soup has been absorbed. Repeat until the soup is nearly gone and the rice is tender and creamy. Taste and season with salt accordingly. Remove from the heat. Pour in the cream and stir to integrate.
Coarsely chop the reserved shrimp and add them to the risotto, stir until the shrimp turn pink. Finish the risotto with the lemon juice and divide amongst 4-6 bowls. Garnish with Parmesan cheese and serve immediately.