Heat the oil in a frying pan and add the red pepper. Fry for three minutes, until beginning to soften, then add the cauliflower and cook for two minutes.
Transfer the pepper and cauliflower mixture to an ovenproof dish.
For the cheese sauce, heat the cream and 100g/3½oz of the cheddar in a saucepan over a low heat, stirring to melt the cheese. Bring to a simmer and cook for three minutes, then remove from the heat and add the egg yolk. Stir well to combine, then pour the mixture over the cauliflower and peppers.
Top the dish with the remaining grated cheddar and place into the preheated oven to bake for eight minutes, or until bubbling and golden brown.
Serve in the ovenproof dish straight from the oven.