Place the lamb, shallots, garlic, mint, parsley, salt, pepper, cumin and coriander in a bowl. Combine thoroughly - using your hands works the best.

Unfold the pastry sheet onto a lightly floured flat surface and roll out gently to smooth the creases and stretch the sheet to a 10 x 12-inch rectangle. Slice the pastry into 3 strips (10 x 4-inch) and brush with beaten egg.

Place 1/3 of the lamb mixture lengthwise down the middle of each strip of pastry. Fold the long side of the pastry over the filling as tightly as possible and press to seal. Place each roll, seam side down on a piece of plastic wrap. Wrap tightly and refrigerate for at least 1 hour.

Preheat the oven to 425°F and line a baking sheet with parchment. Unwrap the pastry rolls and, using a sharp knife, slice them into 8 pieces each. Arrange in a single layer on the prepared baking sheet and brush each piece with beaten egg. Bake for 20 minutes, or until golden brown.

Combine the Greek yogurt, chutney and cayenne in a small bowl and serve as a dipping sauce.