Heat oven to 350°F. Place silicone baking mat on cookie sheet with sides or line cookie sheet with parchment paper.
On baking mat, unroll dough into 1 large rectangle; press perforations and edges to seal.
In medium bowl, mix chicken, bell pepper, cheese, mayonnaise and curry powder. Spoon chicken mixture lengthwise down center of dough. Using sharp knife, cut 1-inch-wide strips of dough on both sides of chicken mixture. Bring dough strips up over chicken mixture, crisscrossing to form braid.
Using pastry brush, lightly brush egg yolk over top of dough.
Bake about 20 minutes or until top is light golden brown.