Quarter the fennel, and lightly brush the slices on all sides with the olive oil.
Heat a grill pan over a high heat, and grill the fennel slices for a few minutes on each side, until they begin to soften and become nicely charred. When they are cooked, set to one side to cool a little.
Spoon the mascarpone into a small bowl, and grate in the pecorino, then mix well together. Add a little salt and pepper to taste.
Roll out the pastry and cut into four rectangles, all roughly the same size.
Spread the pastry rectangles out on the baking tray, spoon a quarter of the cheese mixture on to the middle of each piece and spread it out, leaving the outer edge (roughly 1 to centimeters in width) bare.
Now, lay the fennel pieces on top of the cheese base, and press down gently.
Sprinkle with a little salt, then brush the edges of the pastry with the milk.
Set the tray in the oven and bake the tartlets for 20 to 25 mins until the pastry becomes golden brown on top and is crisp underneath. Leave to cool for a few minutes before serving.