In a small saucepan, heat half of the heavy cream with the roquefort cheese and honey over medium heat. Stir until the mixture begins to simmer and the cheese is completely incorporated without any lumps. Add the remaining cream, cover and refrigerate until cold. This step can be done a day in advance. Once the cream is cold, whip by hand or in a stand mixer until thick.
Preheat a grill on medium high heat for several minutes, until very hot. Slice the pears in half from stem to root and use a melon baller or small spoon to scoop out the seeds. Brush vegetable oil liberally onto the flat side of the pears.
Carefully place each pear on the grill, flat side down. Close the lid and grill for 4 minutes. Remove and allow to cool until they're warm or room temperature.
Scoop a dollop of roquefort whipped cream onto each pear and top with a sprinkle of chopped pecans. Serve immediately.