The one-hour special follows Quest, a CNN news anchor and former BBC news reader, as he interviews a host of comedians including Gervais, Connolly, US comedian Jon Stewart and French satirist Les Guignols de l'Info to gather tips on how to deliver a stand-up routine.
According to Gervais: "You've got to have something but I think you can probably get away with bad material, if you've got charisma and a great delivery."
Connolly added: "I have a skeleton. I have stories and situations around which I work every night and I invent every night and the good stuff stays and the old stuff slides off the edge and disappears."
After a brief visit to the Manhattan Comedy School, Quest takes to the stage at Caroline's Comedy Club in New York to see how his debut stand-up performance goes down with the public.
'Quest' will air on April 29 from 10pm on CNN International and is repeated on April 30 and May 1.
A CNN spokesman said: "It shows people CNN is more than breaking news."
Separately, CNN has secured The Portuguese National Tourist Board as its sole sponsor of weather updates on CNN International -- with broadcasts going out to more that 107m households and hotel rooms in Europe, the Middle East and Africa.
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