This is another Cuban recipe I picked up. It is outstanding. You can go with regular white rice here, but breakdown and buy the Valencia rice online if you don't have it locally. It holds more liquid and gives your meal a more authentic look
Place shrimp shells in a saucepan with the water and boil about 15 minutes. Strain and reserve 3 cups of the water (adjust for serving changes). Discard the shells.
In a shallow pan, heat the oil over medium heat until fragrant and saute shrimp quickly, just until they turn pink. Refrigerate again.
In the same oil, saute the onion and bell pepper until onion is translucent, about 3 minutes. Stir in the garlic and cook another 2 minutes. Stir in the tomato sauce, wine, salt, pepper, saffron, cumin, oregano and bay leaf and cook for a few more minutes.
Add the rice and the reserved shrimp water. Bring just to a boil, reduce heat to low, cover the pan and cook gently for about 30 minutes until the rice is tender and almost dry. Add the shrimp 5 minutes before the rice is done.