In a double boiler, combine the heavy cream (or heavy cream and almond milk), egg yolk and powdered erythritol. Whisk constantly until the mixture thickens and erythritol dissolves.
Add the xanthan gum and whisk until thickened even more. The mixture should coat the back of a spoon.
Add the banana extract and a pinch of salt. Stir well.
Strain through a sieve and transfer to the serving dish. Cover with plastic wrap so that it touches the surface of the pudding.