Heat the oil in large pot with a lid over medium heat until shimmering. Add the annatto seeds, if using, and stir until the seeds begin to sizzle. Remove the skillet from the heat and let sit until the oil comes to room temperature. Strain the oil, discarding the seeds, pour the infused oil back into the pot.
Heat the oil over medium heat until hot (whether you sautéed the annatto seeds or not), then add the sofrito, olives, salt, pepper, and cumin. Cook, stirring often, until the liquid evaporates and the mixture starts to sizzle, about 5 minutes.
Add the smoked pork and the rice and stir to blend the rice with sofrito mixture. Add the pigeon peas, bay leaf, and enough broth, to cover rice by 1 inch.
Increase the heat to high and bring mixture to a boil over high heat without stirring. Let the liquid boil until it evaporates to the level where you can see the rice peeking out above the liquid. Cover the pot, reduce the heat to low, and cook for 20 minutes without opening the lid.
Fluff the rice with a fork and serve.
Notes
If you are a big pan of pigeon peas there is no reason you might not want to add two cans — traditionally there is a lot of rice, dotted with a small amount of pigeon peas, but if you like them lots and want to bump up the protein in this dish, feel free to double the amount. If you can’t find pigeon peas for some reason you could sub in pinto beans, pink beans or red beans.