Put mussels and 2 cups water into a saucepot, cover tightly, and bring to boiling.
Steam until the shells open.
Remove top shells.
To prepare sauce, combine tomato puree, lemon juice, sherry, cognac, garlic, onion, and 1/2 cup water in a saucepan and cook until the mixture is reduced to one third of its original quantity.
Strain the sauce; cool.
Add mayonnaise, sour cream, and horseradish to the cooled sauce.
Season to taste with salt and paprika.
Chill 1 to 2 hours.
Top each mussel with the Pink Sauce and garnish with caviar.