Preheat the oven to 400°. In a baking dish, toss the carrots with the olive oil and season with salt and pepper. Cover with foil and bake for about 30 minutes, until tender and lightly browned. Let cool slightly.
In a small skillet, melt the butter. Add the shallot and cook over moderate heat until softened, about 3 minutes.
In a food processor, combine the carrots, shallot and cream and puree until smooth. Transfer the puree to a bowl. Stir in the ricotta, Parmigiano and nutmeg and season with salt and pepper. Stir in the egg yolk.
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