Cut the underside of each lobster tail shell with kitchen shears and lift out the raw meat. Remove any dark intestinal vein, cut meat into 1-inch pieces and refrigerate; rinse the shells and cut them into large pieces.
Melt butter in a soup pot over medium heat. Cook onion, carrot and celery for 7 minutes, then stir in tomato paste and shells for 2 minutes.
Add wine and simmer for 3 minutes. Add water and bay leaf, cover partly and simmer gently for 20 minutes.
Lift out and discard the large shells and bay leaf. Pour the stock and vegetables through a fine sieve lined with damp cheesecloth into a clean pot, pressing gently for liquid, then discard the strained solids; never blend shells.
Add rice, salt and cayenne to the strained stock. Cover and simmer for 20 to 25 minutes until rice is very soft, then blend the rice into the liquid with an immersion blender until smooth.
Stir in cream and bring to a very gentle simmer. Add the refrigerated lobster meat and cook gently for 4 to 6 minutes until opaque throughout and 145°F in the thickest pieces.
Divide the bisque and lobster pieces evenly among 4 bowls and serve immediately.