Peel the shrimps, removing heads and shells. Reserve the shrimps.
Boil the heads and shells in the water over low heat until the liquid reduces to half.
Sift to remove heads and shells. Reserve liquid.
To make the locrio
In an thick-bottom pot heat the oil over low heat. Add bell peppers and garlic and cook and stir about 3 minutes. Stir in tomato sauce and olives. Pour in 6 cups of the broth you had reserved.
When it breaks the boil, season with salt to taste, add parsley and rice and stir. Simmer over medium heat. Stir regularly to avoid excessive sticking. When all the liquid has evaporated add the shrimps and mix well.
Cover with a tight-fitting lid and simmer over very low heat for 15 minutes. Uncover, stir, moving the rice at the bottom to the top. Cover and simmer another 5 minutes. Uncover and try the rice for doneness, it should be firm but tender inside.