Preheat the oven to 170C/325F/gas 3.
Remove the meat from the lobsters including the claws, place in the medium bowl and set aside.
Remove the remaining innards of the lobster and reserve the shells.
Heat the oil in the casserole and add the reserved shells and the legs of the lobster and sauté, tossing and turning frequently for about 4 to 5 minutes.
Lower the heat and add salt and pepper.
Pour in the cognac and ignite.
Continue to stir the lobster shells and shake the dish until the flames die down.
Pour in the wine and add the mace and cayenne. Cover and simmer gently for 20 minutes.
Place the sieve over a medium saucepan and strain the liquid from the shells.
Place the saucepan of strained liquid on the hob and heat to a fairly fierce simmer until the liquid has reduced by a half.
Stir in the cream and cook until thickened. Set aside.
Chop up the lobster meat and add to the cream sauce. Pour into the pie dish, cover with clingfilm and set aside to cool completely.
To make the pastry sift the flour and salt into the large bowl.
Cut the butter into very small chunks, add them to the bowl and stir them in.
Add the cold water and bring together to a wet dough with a lumpy consistency.
Cover with clingfilm and place in the fridge for 30 minutes.
Place the dough on a floured work surface and shape into a rectangular block.
Roll the dough to a rectangle three times longer than it is short, keeping the edges straight and even. The rolled-out pastry should have a marbled effect from the lumps of butter.
Fold the top third down to the centre, then the bottom third up and over that.
Give it a quarter turn and roll out again to the original sized rectangle.
Repeat the folding, turning and rolling out 3 more times or until the marbling effect has disappeared. Fold once more and place in the fridge for 30 minutes.
Take the pastry out of the fridge and roll out on a lightly floured work surface to 3mm thick.
Brush the edges of the pie dish with the beaten egg.
Cover the filling with the pastry, crimping the sides to secure the pastry to the pie dish edge.
Decorate the top of the pie with shapes made from the trimmings of the pastry which you should stick down with beaten egg. Remember that you can't re-roll the pastry as it will lose the lamination so try to make shapes out of the un-rolled trimmings.
Brush the pastry with beaten egg.
Place in the oven and bake for 20 to 30 minutes or until the pastry is cooked and golden and the filling bubbling.
Serve immediately with wedges of lemon.
