In a medium-size pot, bring water to a boil. Add butter, salt, and pepper. Mix in dry polenta and cook until thickened, approximately 8 minutes.

When the polenta has thickened, gently blend mascarpone cheese into it. Remove the pan from heat. Spread polenta-cheese mixture to a 2-inch thickness on an oil-coated surface. Let cool, then cut disks using a drinking glass. Saute polenta disks in olive oil in a non-stick skillet. Set aside.

Coat shrimp with hazelnuts and wrap each with a slice of prosciutto. In a skillet, saute shrimp carefully in the remaining olive oil. Remove shrimp from the pan and keep them warm.

Pour hazelnut liquor into another skillet (or use the same skillet cleaned). Heat until just before boiling, then carefully flambe by igniting the liquor with a match. After flames subside, add cream and remaining hazelnuts. Lower heat and cook until the mixture thickens.