Scrape the carrots and slice them. Combine with the celery, bay leaf, chicken broth, salt and pepper. Bring to a boil and simmer until the carrots are tender. Do not overcook. Remove the bay leaf.
Force the mixture through a food mill or puree in an electric blender. Return the mixture to the saucepan and bring to a boil. Remove from heat and add the heavy cream and egg yolk. Reheat but do not boil.