Cut pumpkin in half and remove seeds. Brush all over with olive oil and season with salt and pepper. Place onto a baking tray, cut side down and poke a few times with a sharp knife. Add a bit of water to the tray and roast in preheated oven for about 1 hour until pumpkin feels soft when pricked with a knife.
Allow to cool and scrape out pumpkin flesh. Very finely puree and add to stock in a large pot. Bring to the boil and add chestnut puree. Reduce heat and add cream. Do NOT boil. Season with salt, pepper and cognac. If soup is too thick, add more stock. Serve hot.