1. Kill the lobsters by plunging a sharp knife directly behind its head. Cut the lobster in half lengthwise; make sure to collect the juices that will run out.
2. Remove the claws and tail pieces and set aside. Remove the head sac and liver and discard them; cut the body into pieces.
3. Heat 3 tablespoons olive oil in a large pot over medium heat and melt 3 tablespoons butter in it
4. Add the chopped lobster bodies and heads and their juices, the leeks, 1 onion, celery, carrots, 1/2 the thyme, 1/2 the orange zest and the tomato paste. Cook until the shells are red and the vegetables are soft, about 10 to 15 minutes.
5. Remove the pot from the heat and carefully pour in 1/4 cup cognac. Ignite the cognac with a long kitchen match and let the alcohol burn off. Return to the heat, sprinkle in the flour, stir, and cook for another 2 minutes. Add water to cover and stir up all the browned bits on the bottom of the pot with a wooden spoon. Add the cream and bring to a boil. Immediately decrease the heat and gently simmer until the soup is reduced and thickened, about 30 to 45 minutes. Strain this into a clean pot and season with salt and pepper if needed; keep warm.
6. Heat the oven to 400 degrees F. Heat the remaining 2 tablespoons olive oil and 2 tablespoons butter in an ovenproof skillet over medium heat..
7. Add remaining onion, thyme, bay leaf, and orange zest along with the peppercorns and let this mixture cook for about 5 minutes. Add the lobster claws and tails; toss to coat with the fat and flavors. Remove the pan from the heat and carefully pour in the remaining 1/4 cup cognac. Ignite the cognac with a long kitchen match and let the alcohol burn off. Put the pan into the oven and roast until the lobster pieces are cooked through, about 15 minutes. Remove the lobster pieces and set aside.
8. When they are cool enough to handle, remove the lobster meat from the claws and tails. Chop the meat roughly and add it to the strained bisque.
9. To serve, ladle the bisque into warmed soup bowls.