Heat olive oil in a large dutch oven over medium heat. Add the onion, bell peppers and cook until softened, about 10 minutes. Add garlic and stir for another 30 seconds.
Add in the paprika, oregano, thyme, bay leaf, cayenne pepper, tomato paste, ham, chicken broth and tomatoes. Bring to a boil.
Stir in rice, cover and reduce heat to low. Simmer until rice is tender, about 20 minutes. Most of the liquid will be absorbed as well.
Add the shrimp and cover. Cook for another 5 minutes or until shrimp is fully cooked. Salt and pepper to taste. Serve with hot sauce on the side, if you like it extra hot!