Season chicken thighs with salt and pepper, and brown on skin side only in a hot, large, deep saucepan. Remove and set aside. Sweat off onion, garlic and fennel in the same pan.
Add white wine and bring to a boil. Add apple juice and return to a boil. Stir in apples, thyme, bay leaves and saffron.
Return chicken to the pan. Simmer, cover and cook until chicken is done — approximately 20 minutes — or alternately bake, covered, in a 350°F oven until chicken is done. Season to taste. Serve over rice.