Preheat oven to 400ºF for gas, 450ºF for electric.

Place chicken broth and saffron in a small saucepan over medium-high heat. Bring to a bare simmer, reduce heat to low, and keep warm.
Place olive oil in a large ovenproof pan over medium heat. When hot, add onion and bell pepper and cook, stirring frequently, until softened, 10 to 12 minutes; do not brown. Add garlic and cook an additional 2 minutes. Add cumin and smoked paprika; combine and cook for 2 minutes, stirring often. Add rice and stir to coat with pan juices; cook, stirring often, until rice just begins to turn translucent. Add warm chicken stock, chicken, and salt, black pepper, and cayenne pepper to taste. Bring to a simmer and cook, stirring occasionally, until most of the broth is absorbed, 8 to 10 minutes. Transfer to the oven and bake until rice is al dente, 12 to 15 minutes. Remove from the oven, cover, and allow to rest for 10 minutes.