Rinse the bell peppers and place under preheated broiler, watching carefully, until the skin blackens. Allow to cool, then remove the skin, halve the bell peppers, remove the seeds and cut the bell peppers into strips.
Cut an X into each tomato and briefly place in boiling water. Remove from water and remove skin. Cut the tomatoes in half, remove the seeds and stem and cut into cubes. Peel the onion and garlic and chop finely.
Heat the oil in a pan over low heat. Place chicken in the oil, cover and cook for about 30 minutes. Rinse the shrimp and mussels and add to the chicken legs. Cook for another 5 minutes or until the mussels open. Discard any mussels that do not open. Remove the chicken, shrimp and mussels from the pan and heat the broth.
Place the bell peppers, tomatoes, onion and garlic in the broth and cook for 5 minutes. Add the rice, bay leaf and saffron and season with salt and pepper.
Cover and bake in a preheated oven at 160°C (approximately 325°F) for 25 minutes, stirring occassionally.
Add the chicken legs, mussels and shrimp to the pan and cook for another 15 minutes in the oven.