First make the sauce. Place the milk, butter and flour in a pan.
Bring to the boil, stirring constantly, cook for 2 minutes, then remove from the heat. Season with salt and freshly ground pepper.
Mix the brandy into 1 cup of the freshly made white sauce (reserving the remainder for other dishes), along with the nutmeg, paprika, mustard and chives.
Mix the shrimp with just enough of the flavoured white sauce to bind them together.
Cut the avocadoes in half, remove the stones and squeeze over a little lemon juice.
Preheat the grill until very hot. Pile the shrimp mix into the avocado halves, sprinkle over the Gruyere and flash under the preheated hot broiler to glaze. Serve at once, garnished with curly parsley.