Heat the oil over medium-high heat in a large heavy pan.
Add the fennel, garlic, and shallots and cook, stirring occasionally with a wooden spoon, until the vegetables are softened, about 10 minutes.
Add the sausage and break it up with the spoon. Cook until the sausage is brown, about 5 minutes.
Add the wine and use the spoon to get up any browned bits from the bottom of the pan.
Stir in the tomato paste, chicken broth, and bay leaf and bring to a simmer.
Cover and cook for 10 minutes.
Uncover the pan and add the shrimp, beans, basil, and thyme.
Simmer, uncovered, until the shrimp are pink and cooked through, about 4 minutes. Discard the bay leaf.
Season to taste with kosher salt and fresh ground pepper.