Preheat oven: Set to 350°F (175°C) and grease a 9×13-inch casserole dish.
Cook grits: In a saucepan, bring chicken broth and water to a boil. Gradually whisk in grits, reduce heat, and simmer for 5–7 minutes until thickened.
Add cream and cheese: Remove from heat and stir in heavy cream, butter, 1½ cups of cheddar cheese, salt, and pepper until smooth. Let cool slightly.
Sauté vegetables: Heat olive oil in a skillet over medium heat. Cook onion, bell pepper, and garlic until soft and fragrant.
Cook shrimp: Add shrimp, Cajun seasoning, and paprika. Cook for 3–4 minutes until shrimp turn pink and are just cooked.
Combine: Fold shrimp and vegetable mixture into the prepared grits.
Bake: Pour mixture into the greased casserole dish. Top with remaining cheese and bake for 25–30 minutes until bubbly and golden.
Serve: Allow to cool for 10 minutes before slicing. Enjoy warm.