How to Make It
In a large saucepan, combine the wine, water and olive oil. Crumble in the saffron, add a pinch of salt and bring to a boil. Add the shrimp and simmer over moderate heat for 2 minutes. Transfer the shrimp to a shallow baking dish and let cool. Simmer the cooking liquid until reduced to 3/4 cup, about 12 minutes; let cool slightly. Stir in the anchovies and garlic and season with salt and pepper. Pour the cooking liquid over the shrimp and refrigerate for 2 to 3 hours.
Preheat the oven to 350°. Cut the tops off the cherry peppers and reserve; remove the seeds and membranes. Salt the insides of the peppers and turn upside down to drain for 10 minutes.
In a small saucepan, boil the corn kernels in water until almost tender, about 3 minutes; drain. In a bowl, whisk the whole egg with the yolk and 1/2 teaspoon of salt. Whisk in the cream and milk, then whisk in the grated cheese.
On a baking sheet, add a teaspoon of the corn to each pepper, then fill with the custard. Bake for 30 minutes, or until set. Serve warm with the shrimp.
Serve with Manchego cheese, green olives, Serrano ham and bread.