Saute sausage in heavy large pot over medium heat until brown, about 4 minutes. Transfer to large bowl. Sprinkle chicken with salt and pepper. Add chicken to pot and cook until browned, about 3 minutes per side. Transfer chicken to bowl with sausage. Pour off all but 1 tablespoon pan drippings.
Add onions and bell peppers to pot; saute until vegetables are tender and light golden brown, about 15 minutes. Add garlic, oregano, thyme and paprika; saute 2 minutes. Return sausage, chicken and any accumulated juices to pot. Add tomatoes with juices, chicken broth and wine. Bring to boil. Reduce heat; cover and simmer until chicken is cooked through, about 25 minutes.
Uncover pot. Add olives and simmer until chicken is very tender and liquid is reduced to thin sauce consistency, about 40 minutes. Add shrimp and simmer just until cooked through, about 5 minutes longer. Season to taste with salt and pepper. (Stew can be prepared 1 day ahead. Refrigerate until cold, then cover tightly and refrigerate. Before serving, rewarm over medium-low heat.)