In a small bowl, dissolve the brewer's yeast in the warm milk. In the meantime, in a bowl, mix together egg, olive oil and flour. Once the brewer’s yeast is completely dissolved, add it to the flour mix. Knead the mix in order to obtain a smooth dough.
Score a cross into the dough and let it rise for at least 2 hours (until the dough doubles in volume).
Soak the capers in water; replace the water 2-3 times so that the capers become less salty. Wash the bell peppers and bake them in the oven for 10 minutes at 180°C so that they can be easily peeled. Meanwhile pit the olives.
Peel the peppers, cut them into strips and sauté them with a dash of olive oil and a clove of garlic. Add the olives and the well dried capers.
Prepare the Parmigiano Reggiano slivers. Put the leavened dough on a pastry board and roll out into a very thin sheet. Top the dough with peppers, capers, olives and cheese slivers. Roll the dough and seal the edges of the shape well.
Brush with a beaten egg and place the roll on a buttered and floured baking tin. Let it rise for 30 minutes.

Bake in the oven at 170°C for 50 minutes.