Preheat the oven to 200°C (390°F).

In a saucepan, combine heavy cream, sugar, cornstarch, and vanilla extract. Cook over medium heat, stirring, until thickened. Let it cool.

Roll out the croissant dough and cut it into triangles. Place a teaspoon of the cream filling on the wide ends of the triangles and roll them up.

Brush the croissants with egg yolk and bake for 20 minutes until golden brown.

Serve warm or at room temperature.