Cut the fennel into thin rings. Mix the milk and water, season with salt and cook the fennel in it for a few minutes until the rings are al dente. Place the fennel on a paper towel and allow to drain, then place in a buttered, ovenproof dish, pour on the cream, sprinkle with the Parmesan cheese and spread the Roquefort on top. Bake the fennel in an oven preheated to 200 degrees for about 20 minutes and serve warm.