Gently press the chicken breasts into the flour to coat and shake off the excess flour. Dip into the beaten egg, then press into breadcrumbs. Gently toss between your hands so any breadcrumbs that haven't stuck can fall away. Place the breaded chicken onto a plate whilst breading the rest; do not stack.
Heat the oil in a large frying pan over medium-high heat. Cook the breaded chicken breasts on both sides in the hot oil until evenly browned; transfer to a large baking dish. Sprinkle Parmesan cheese over the chicken and season with salt and pepper. Pour the brandy and milk over the chicken.
Bake in the preheated oven until the milk is bubbly and browned around the edges, about 1 hour.