Put the saffron, bay leaves and chicken stock in a saucepan over a low heat, bring to a simmer then turn off the heat and set aside.
Heat the olive oil in a 13-inch paella pan or sauté pan over medium heat. Add chorizo and sauté for 5 minutes, stirring occasionally. Add the cubed chicken and continue to cook, stirring frequently until chicken is lightly browned on all sides. Add the onion and garlic and continue cooking until onion is soft.
Add the tomatoes, piquillo peppers, rice, paprika and chicken stock. Mix well and leave to simmer vigorously for 6 minutes. Add sea salt and freshly ground black pepper to taste. Stir in peas, lower the heat and simmer gently for 15 minutes. It is important to not stir the rice after this point. Tuck in the shrimp and cook for 5 minutes more. At the end of cooking, all the liquid should have been absorbed and the rice should be just tender.
Turn off the heat, cover the pan with a sheet of foil and leave to rest for 5 minutes. Remove foil and garnish with the chopped parsley leaves.