In a large pot, steam the lobster tails, shell-side down, in salted water for approximately 5 minutes or until they are cooked through. Using tongs, transfer the tails to a plate and allow to cool. Reserve the steaming water for the stock.

When the lobster is cool enough to handle, remove the meat from the shells and set aside.

In a large pot, heat the olive oil over medium-high heat. Add the onion and cook until translucent. Add the fennel and cook until softened. Stir in the garlic and continue cooking for 1 minute. Add the tomato paste and cook until it the mixture becomes a deep burgundy color.

Add the wine to the pot and deglaze, scraping the bottom of the pan to release the brown bits. Stir in the thyme, bay leaf, paprika, cayenne pepper, chicken stock, reserved steaming liquid and tomatoes. Return the shells to the pot and allow the mixture to simmer for 45 minutes.