On a stove-top, blanch asparagus for 3 minutes. Drain well, set aside. In a small saucepan, melt butter. Stir in the flour; cook, stirring constantly for 1 minute. Gradually whisk in the milk and cook until thickened. Season with salt and pepper. Stir in the beaten egg yolk, cheese and shrimp. In a buttered 2-1/2-quart casserole dish, arrange half the asparagus; pour on half the sauce. Repeat layers.
Top with buttered breadcrumbs. Bake at 350 degrees for 30 minutes.