In a large pot, heat the olive oil over medium heat. Add the diced onion and sauté until translucent, about 5 minutes.
Add the minced garlic, diced carrot, and celery to the pot. Continue to cook for another 5 minutes, stirring occasionally.
Stir in the cayenne pepper, paprika, dried thyme, and bay leaf. Cook for 1 minute until the spices are fragrant.
Pour in the dry sherry, scraping the bottom of the pot to deglaze. Allow it to simmer for about 2-3 minutes.
Add the seafood stock and bring the mixture to a boil. Reduce heat and let it simmer for about 10 minutes.
Add the shrimp to the pot and cook for 3-4 minutes, or until they are pink and cooked through. Then, gently fold in the lump crab meat.
Remove the bay leaf and use a blender or immersion blender to puree part of the bisque for a creamy texture while still leaving some chunks of seafood.
Stir in the heavy cream and season with salt and pepper to taste. Heat through for another 2-3 minutes, but do not boil.
Ladle the bisque into serving bowls and garnish with fresh chopped parsley.