Pour in the white wine, cream, and broth, and stir well. Stir in the saffron, bring to a boil then turn down the heat to a gentle simmer for 3-5 minutes. If the sauce is too thick, add a little bit more broth.
Add one third of the sauce to a 12.5-inch (32 cm) baking form, then place the fish pieces and the shrimps on top. Cover with the remaining sauce, sprinkle parmesan cheese over and bake for 20-25 minutes at 350° F (180° C).
Garnish with fresh dill and serve with boiled potatoes.