Place the chicken stock in a small saucepan over high heat. As soon as it comes to a boil, add the saffron and turn off the heat. Set the saffron-infused stock aside until needed.
Heat the olive oil in a paella pan or a large wok over high heat. Add the unpeeled shrimp and sauté until they change color, about 3 minutes. Transfer the shrimp to a bowl.
Add the chicken to the pan and sauté for a few minutes, until browned. Transfer it to a separate bowl.
Lower the heat slightly and add the chorizo to the pan, stirring continuously until it starts to release its oil. Add the onion and sauté briefly, until it begins to soften.
Add the reserved shrimp heads and sauté for about 1 minute. Add the garlic and bell peppers and continue sautéing until they soften slightly.
Pour the wine into the pan and let it come to a boil for about 1 minute. Add the rice, chicken, and smoked paprika, and season with salt and pepper.
Pour in the saffron-infused stock. Stir and bring to a boil. Let it cook for 2–3 minutes.
Cover the pan and reduce the heat to the lowest setting. Cook for 15 minutes.
Remove the lid and take out the shrimp heads. Add the raw peeled shrimp and the mussels. Arrange the whole shrimp on top in a decorative manner, if desired.
Cover the pan again and cook for another 5 minutes.
Turn off the heat and let the paella rest for 15 minutes before serving.
Sprinkle generously with finely chopped parsley.
You can serve it immediately. However, if you prepare it in advance, add a little more water (about ½ cup) before serving and gently reheat over low heat.