Peel and devein shrimp, reserving shells. Coarsely chop shrimp. Cover shrimp and chill.
Remove kernels from ears of corn to measure 2 cups, and set aside. Reserve the corn cobs.
Heat a stockpot coated with cooking spray over medium-high heat. Add the shrimp shells and onion to pan; sauté 5 minutes or until shells turn pink. Add corn cobs, water, bay leaf, and thyme; bring to a boil. Reduce heat, and simmer 30 minutes. Drain the shrimp stock into a sieve over a bowl; discard solids.
Melt butter in a large nonstick skillet over medium heat. Add corn kernels; cook 2 minutes, stirring frequently. Add tomato paste; cook 2 minutes, stirring frequently. Combine sherry and flour, stirring with a whisk to form a slurry. Add slurry to pan; cook 1 minute, stirring constantly. Add shrimp stock, salt, and pepper; bring to a simmer. Cook 4 minutes or until bisque starts to thicken, stirring frequently. Add shrimp; cook 3 minutes or until shrimp are done. Stir in half-and-half; serve immediately.