Preheat oven to 180C. Place reserved prawn heads and shells on an oven tray and roast until deep orange and crisp (10-15 minutes). Set aside.
Heat olive oil in a stockpot and sauté onion, garlic and fennel over low heat until very tender (12-15 minutes). Add prawn heads and shells, crush into small pieces with a wooden spoon, add tomato paste, increase heat to medium-high and cook until paste darkens (4-5 minutes). Add Pernod, cook for another minute, then add 3 litres water, increase heat, bring to the boil, then reduce heat to medium and simmer until well flavoured (30-40 minutes). Strain into a large bowl (discard solids).
Heat butter in a large saucepan over medium heat until bubbling, add flour and stir continuously until golden (2-3 minutes). Remove from heat and whisk in a little prawn stock. Return to heat and stir until thick, add remaining stock and stir over medium heat until mixture begins to simmer. Remove from heat, add prawns, season to taste and serve warm garnished with tarragon.