Preheat oven to 400 degrees F (200 degrees C). Lightly grease 6 individual baking dishes.
Bring sherry to boil in a medium saucepan, and stir in shallots, green bell pepper, mushrooms, and pimento. Over medium heat, cook, stirring occasionally, until only a small amount of liquid remains.
In a small saucepan over low heat, whisk together heavy cream and egg yolk for about 3 minutes. Stir into the shallot mixture. Mix in dry mustard.
Remove the mixture from heat, and stir in the crab. Cool, stir in the mayonnaise, then scoop into the prepared dishes. Top with Gruyere cheese.
Bake 10 minutes in the preheated oven, until lightly browned.
