Peel and finely dice the shallots. Clean and clean the mushrooms and chop them finely, except for 4 pieces for garnishing. Sprinkle with lemon juice.
Wash the thyme, shake dry and chop finely. Heat the oil in a pan. Steam shallots in it at low heat for about 3 minutes. Add chopped mushrooms and thyme. Fry over medium heat for about 10 minutes.
Deglaze with Madeira. Season with salt and pepper. Remove the pan from the stove.
Whisk cream, milk and eggs. Season with salt and pepper. Place the fried mushrooms in 6 ovenproof baking dishes (approx. 225 ml each). Pour egg cream over them. Place the ramekins in the fat pan of the oven.
Pour on so much water that about 1/3 of the moulds are in water. Leave in the preheated oven (electric cooker: 175 °C/ circulating air: 150 °C/ gas: see manufacturer) for approx. 30 minutes.
Remove the moulds from the water bath. Pour off the water. Grate the Parmesan and spread it on the crème brûlée. Grill under the hot grill of the oven for 2-5 minutes until golden brown. Wash the chervil, shake dry.
Cut the remaining mushrooms into slices. Garnish crème brûlée with chervil and mushrooms.